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385 result(s)

Did Canadian Corporate Bond Funds Increase their Exposures to Risks?

Staff Analytical Note 2018-7 Rohan Arora, Nadeem Merali, Guillaume Ouellet Leblanc
Canadian corporate bond mutual funds have rapidly increased in number and size in recent years. Their holdings have also become riskier, increasing their exposures to credit risk, interest rate risk and liquidity risk. We also briefly discuss financial stability implications.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

Is the Excess Bond Premium a Leading Indicator of Canadian Economic Activity?

Staff Analytical Note 2018-4 Maxime Leboeuf, Daniel Hyun
This note investigates whether Canadian corporate spreads and the excess bond premium (EBP) lead Canadian economic activity. Indeed, we find that corporate spreads precede changes in real gross domestic product (GDP) in Canada over the subsequent year. The EBP accounts for most of this property. Further, an unanticipated increase in the Canadian EBP forecasts a deterioration of domestic macroeconomic conditions: a 10-basis-point increase results in a fall in both GDP and consumer price index (CPI) of 0.4 per cent and 0.1 per cent, respectively, over three years.

High-Frequency Trading and Institutional Trading Costs

Staff Working Paper 2018-8 Marie Chen, Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.

Adverse Selection with Heterogeneously Informed Agents

Staff Working Paper 2018-7 Mohammad Davoodalhosseini
A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with.

Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Staff Discussion Paper 2018-4 Narayan Bulusu, Sermin Gungor
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Wholesale funding JEL Code(s): G, G1, G12, G2, G21, G23

What Drives Interbank Loans? Evidence from Canada

Staff Working Paper 2018-5 Narayan Bulusu, Pierre Guérin
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Wholesale funding JEL Code(s): C, C5, C55, E, E4, E43, G, G2, G23

Speed Segmentation on Exchanges: Competition for Slow Flow

In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.

Who Pays? CCP Resource Provision in the Post-Pittsburgh World

Staff Discussion Paper 2017-17 Jorge Cruz Lopez, Mark Manning
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.
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