Overnight Reverse Repo Operations: Terms and Conditions

April 25, 2022

Operation details

  • Reverse repos are offered to eligible counterparties at the Bank of Canada’s discretion to reinforce the target for the overnight rate. Offerings by the Bank of Canada are subject to limits for each eligible counterparty.
  • Tender date, amount, rate, and other information will be announced in the Bank of Canada Auction System (BCAS) ahead of each operation.

Type of operation

  • Fixed rate offering for a fixed Canadian dollar (CAD) amount.

Eligible counterparties

  • Canadian Primary Dealers in Government of Canada securities. The Bank of Canada has sole discretion to remove a Primary Dealer from the list of approved eligible counterparties for a repo transaction, cap or limit a counterparty’s awards in a particular auction or otherwise cease to enter into a repo transaction with such counterparty for any reason.

Term

  • Transactions are for a term of one business day.

Tender process

  • Overnight reverse repo operations will normally be conducted at 10:30 (Ottawa time) with a deadline of 10:45 for participants to submit tenders. The Bank of Canada reserves the right to conduct these operations earlier or later in the day—with an approximate 15-minute tender submission deadline to be set by the Bank of Canada.
  • Tenders must specify an amount on a cash-value basis. Each counterparty can submit a maximum of one tender.
  • The offer rate on cash for the Overnight Reverse Repo operation is equal to the Bank of Canada target for the overnight rate.
  • Tender amounts are subject to maximum allocation limits. The minimum tender amount is $1 million, with minimum increments of $1 million.
  • Tenders must be submitted in the Bank of Canada Auction System.
  • The Bank of Canada reserves the right to accept or reject any or all offers in part, including, without limitation, the right to accept less than the total amount specified ahead of the operation.

Maximum allocation

  • An eligible counterparty is subject to a maximum tender per operation of $5 billion less any amount the counterparty has transacted that day in the Bank of Canada’s Securities Repo Operation. This maximum tender will be provided to each counterparty in the Bank of Canada Auction System at the start of each ORR operation.

Timing of results

  • Counterparties will be able to access their confirmations in the Bank of Canada Auction System. The Bank of Canada will email the counterparty confirmations, setting out the specific terms of the transaction, including the securities.
  • The total cash received by the Bank of Canada through Overnight Reverse Repos will be announced on the Bank of Canada's website and in the Bank of Canada Auction System as soon as possible following the auction. The securities sold in transactions will also be reflected on the Bank of Canada’s balance sheet.

Eligible securities

  • Directly-issued Government of Canada marketable securities denominated in Canadian dollars are eligible for these transactions.

Notification of securities to be used

  • The Bank of Canada will notify counterparties of the securities that will be used following the offer amount being accepted.

Interest Calculation

  • Interest on the funds will be calculated on an actual/365 day basis.

Coupon Payments

  • All coupon payments received by the eligible counterparty on the securities during the term of the transaction will be kept by the holder of the securities. The final settlement amount will be adjusted, as required, to account for these receipts in accordance with the Bank of Canada's Master Repurchase Agreement.

Counterparty Settlement Instructions

  • Securities shall be delivered from the Bank of Canada by 15:00 (Ottawa time) through CDSX on T+0 same day settlement of the offering, on a delivery of securities versus payment of funds basis. Securities to be delivered shall be confirmed between the Bank of Canada and the eligible counterparty and priced by the Bank of Canada after the offer and prior to delivery.
  • Bank of Canada CDS settlement CUID is BOCB.

Legal Arrangements

  • Eligible counterparties must have made the appropriate legal arrangements with the Bank of Canada.
  • The Bank of Canada reserves the right to change the terms of subsequent reverse repo operations by posting a revised version of these Terms and Conditions.
  • Each tender shall be unconditional and irrevocable after the submission deadline.
  • The Bank of Canada may, in addition to and without prejudice to any rights under the Bank of Canada’s Master Repurchase Agreement, sanction a Primary Dealer if the Bank of Canada is of the view that the Dealer breached any of the terms, including, failing to return the securities on the maturity date. The sanctions that the Bank of Canada may impose include, without limitation, suspending the Primary Dealer from participating in one or more future auctions and changing, on a temporary basis, the bidding limit applicable to the Dealer.