Adrian Walton is a Director in the Financial Stability Department. He specializes in Canadian fixed-income markets, contributing to peer‑reviewed research, Bank publications, and policy analysis. He holds a PhD from Western University.
We show that haircuts are rarely used in the Canadian dealer-to-client repo market and their usage did not increase materially during past stress events. Usage is concentrated among wealth managers and some foreign official institutions, likely reflecting regulatory or internal requirements.
This note examines whether central clearing of repos benefits non-dealer participants in Canadian fixed-income markets. While prior research highlights lower funding and balance-sheet costs for dealers, less is known about client effects. Understanding these broader implications is important for assessing central clearing’s contribution to market efficiency and resilience.
This analytical paper examines the organization of Government of Canada bond dealing. We focus on dealers’ hedging and funding practices, the market infrastructures that support those practices, and trading costs across the yield curve. This paper builds on earlier work discussing Canada’s fixed-income market: "Government of Canada Fixed-Income Market Ecology."
We develop an approach to quantify transaction costs in the repo market using OTC transaction data, where quoted bid-ask spreads are not observable. By estimating effective spreads at the level of individual trades, we construct a novel metric to evaluate intermediation costs across different segments of the market.
Hedge funds are active in Canadian government bond markets and help improve market efficiency. But their trading strategies are not well understood. We offer insights into the range of strategies hedge funds use beyond the more commonly known cash-futures basis trade. We also explore the concentration of trading activity among a few large funds.
We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022.
“Central bank liquidity facilities and market making” (with David Cimon), 2024, Journal of Banking & Finance
“Speed segmentation on exchanges: Competition for slow flow" (with Lisa Anderson, Emad Andrews, Baiju Devani, and Michael Mueller), 2022, Journal of Financial Markets
“Alternative futures for Government of Canada debt management" (with Corey Garriott, Sophie Lefebvre, Guillaume Nolin, and Francisco Rivadeneyra), 2020, Journal of Financial Economic Policy
“Retail Order Flow Segmentation” (with Corey Garriott), 2018, The Journal of Trading
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