Posts

• April 29, 2020

  Provincial Bond Purchase Program

  The Provincial Bond Purchase Program (PBPP) aims to support the liquidity and efficiency of provincial government funding markets. It supplements the Provincial Money Market Purchase Program (PMMP).
• April 27, 2020

  CARR Meeting (April 27, 2020)

  Content Type(s): Meetings Source(s): Canadian Alternative Reference Rate Working Group
• April 27, 2020

  Bank of Canada announces asset manager for Corporate Bond Purchase Program

  The Bank of Canada announced today that TD Asset Management was selected as the asset manager for its Corporate Bond Purchase Program (CBPP).

  Content Type(s): Press, Market notices Source(s): Corporate Bond Purchase Program
• April 24, 2020

  Bank of Canada Announces Further Enhancements to its Standing Term Liquidity Facility (STLF)

  Following the launch of the Bank of Canada’s new Standing Term Liquidity Facility (STLF), the terms and conditions have been revised to include term of up to ninety (90) days.

  Content Type(s): Press, Market notices Source(s): Standing Term Liquidity Facility
• April 24, 2020

  Debt Management Modelling Workshop

  The Bank of Canada hosted a one-day workshop focusing on advances in models and frameworks for sovereign debt management.

  Content Type(s): Conferences and workshops
• April 23, 2020

  Results of today’s Canada Mortgage Bond purchase operation

  Today the Bank of Canada purchased $ 160,000,000 of Canada Mortgage Bonds in the secondary market.

  Content Type(s): Press, Market notices Source(s): Canada Mortgage Bond Purchase Program
• April 23, 2020

  Bank of Canada announces asset manager for Provincial Bond Purchase Program

  The Bank of Canada announced today that BMO Global Asset Management was selected as the asset manager for its Provincial Bond Purchase Program (PBPP).

  Content Type(s): Press, Market notices Source(s): Provincial Bond Purchase Program
• April 21, 2020

  Bank of Canada Announces Further Enhancements to its Term Repo Operations

  Following the announcement of the Bank of Canada’s new market operations to improve market functioning to support its monetary policy actions, the Term Repo terms and conditions have been revised to include term repos up to 24 months.

  Content Type(s): Press, Market notices Source(s): Term repo operations
• April 20, 2020

  Operational details for upcoming secondary market purchases of Government of Canada securities (April 27-May 8)

  As announced on March 27, 2020, the Bank of Canada (the Bank) launched on April 1, 2020 a program to purchase Government of Canada securities in the secondary market.

  Content Type(s): Press, Market notices Source(s): Government of Canada Bond Purchase Program

• A Simple Method for Extracting the Probability of Default from American Put Option Prices

  Staff Working Paper 2020-15 Bo Young Chang, Greg Orosi

  A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33