Kirby Millar

Latest

Liquidity Efficiency and Distribution in the LVTS: Non-Neutrality of System Changes under Network Asymmetry

Staff Discussion Paper 2008-11 Sean O'Connor, James Chapman, Kirby Millar
The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of individual participants to a systemwide shock to available liquidity in the system.

The Effects of a Disruption in CDSX Settlement on Activity in the LVTS: A Simulation Study

Staff Discussion Paper 2008-7 Lana Embree, Kirby Millar
The Large Value Transfer System (LVTS) for settling large payments, and CDSX for settling debt and equity trades, are two of the main settlement systems in Canada. They are closely linked; for example, at the end of the day the final CDSX payment obligations must settle on the Bank of Canada's books, with payments made […]

See More

Follow the Bank