Adrian Walton - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:20:18+00:00Fixed-income dealing and central bank interventions
https://www.bankofcanada.ca/2022/06/staff-analytical-note-2022-9/
We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis.2022-06-30T15:00:43+00:00enFixed-income dealing and central bank interventions2022-06-30Potential netting benefits from expanded central clearing in Canada’s fixed-income market
https://www.bankofcanada.ca/2022/06/staff-analytical-note-2022-8/
We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.2022-06-22T10:00:37+00:00enPotential netting benefits from expanded central clearing in Canada’s fixed-income market2022-06-22Historical Data on Repurchase Agreements from the Canadian Depository for Securities
https://www.bankofcanada.ca/2022/05/technical-report-121/
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.2022-05-03T08:57:44+00:00enHistorical Data on Repurchase Agreements from the Canadian Depository for Securities2022-05-03Econometric and statistical methodsFinancial marketsTechnical Report 121https://www.bankofcanada.ca/wp-content/uploads/2022/05/tr121.pdfHistorical Data on Repurchase Agreements from the Canadian Depository for SecuritiesMaxim RalchenkoAdrian WaltonMay 2022CC5C55C8C81GG1G10Central Bank Liquidity Facilities and Market Making
https://www.bankofcanada.ca/2022/03/staff-working-paper-2022-9/
We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.2022-03-04T11:03:17+00:00enCentral Bank Liquidity Facilities and Market Making2022-03-04Coronavirus disease (COVID-19)Economic modelsFinancial institutionsFinancial marketsMarket structure and pricingStaff Working Paper 2022-9https://www.bankofcanada.ca/wp-content/uploads/2022/03/swp2022-9.pdfCentral Bank Liquidity Facilities and Market MakingDavid CimonAdrian WaltonMarch 2022GG1G10G2G20LL1L10COVID-19 crisis: Liquidity management at Canada’s largest public pension funds
https://www.bankofcanada.ca/2021/05/staff-analytical-note-2021-11/
We examine how the eight largest Canadian public pension funds managed liquidity during the market turmoil in March 2020. The funds were generally resilient to large demands for liquidity and relied heavily on Canada's core funding markets.2021-05-28T09:50:35+00:00enCOVID-19 crisis: Liquidity management at Canada’s largest public pension funds2021-05-28COVID-19 and bond market liquidity: alert, isolation and recovery
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-14/
The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada.2020-07-03T10:00:30+00:00enCOVID-19 and bond market liquidity: alert, isolation and recovery2020-07-03Contagion in Dealer Networks
https://www.bankofcanada.ca/2020/01/staff-working-paper-2020-1/
Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field
of research investigates how networks form.2020-01-10T10:24:52+00:00enContagion in Dealer Networks2020-01-10Financial marketsMarket structure and pricingPayment clearing and settlement systemsStaff Working Paper 2020-1https://www.bankofcanada.ca/wp-content/uploads/2020/01/swp2020-1.pdfContagion in Dealer NetworksJean-Sébastien FontaineAdrian WaltonJanuary 2020EE4GG1G2G21LL1L14Borrowing Costs for Government of Canada Treasury Bills
https://www.bankofcanada.ca/2019/10/staff-analytical-note-2019-28/
The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.2019-10-07T13:42:14+00:00enBorrowing Costs for Government of Canada Treasury Bills2019-10-07Relative Value of Government of Canada Bonds
https://www.bankofcanada.ca/2019/08/staff-analytical-note-2019-23/
Government of Canada bonds in circulation that promise very similar payoffs can have different prices. We study the reason for these differences. Bonds that trade more often and earn high rental income in the repurchase agreement (repo) market tend to have higher prices. Bonds with longer tenors and times to maturity tend to have lower prices. This contrast between cheap and expensive bonds is important because trading volume and rental income can change rapidly, unlike tenor and time to maturity, which are stable.2019-08-02T06:00:27+00:00enRelative Value of Government of Canada Bonds2019-08-02Price Caps in Canadian Bond Borrowing Markets
https://www.bankofcanada.ca/2019/01/staff-analytical-note-2019-2/
Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low.2019-01-14T11:47:36+00:00enPrice Caps in Canadian Bond Borrowing Markets2019-01-14