Measuring Limits of Arbitrage in Fixed-Income Markets Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, International financial markets JEL Code(s): G, G1, G12
October 12, 2017 Bank of Canada note liabilities (formerly K1) Bank of Canada note liabilities include notes issued by chartered banks, the Dominion of Canada, provinces and defunct banks as at year-end. These are note issues that are in the process of being retired, and liability for them has been taken over by the Bank of Canada from the original issuers.
October 12, 2017 Chartered banks: Total foreign currency assets and liabilities (formerly C9) Month-end data on chartered bank foreign currency assets and liabilities.
October 12, 2017 Historical chartered bank assets and liabilities: Selected seasonally adjusted series (formerly C8) Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table.
October 12, 2017 Historical chartered bank liabilities and shareholders’ equity: Month-end (formerly C4) Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table.
October 12, 2017 Historical chartered bank assets: Month-end (formerly C3) Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table.
October 12, 2017 Chartered bank selected liabilities: Month-end (formerly C2) Month-end data on chartered bank Canadian dollar deposits and foreign currency business with Canadian residents.
October 12, 2017 Chartered bank selected assets: Month-end (formerly C1) Month-end data on chartered bank assets by level of liquidity.
October 12, 2017 Historical strip bond trading and repos by type of security (formerly F14) Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada. Content Type(s): Banking and financial statistics
October 12, 2017 Historical Government of Canada treasury bill and bond trading with counterparties (formerly F13) Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada. Content Type(s): Banking and financial statistics