Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns Staff Working Paper 2025-34 Ragnar Juelsrud, Plamen Nenov, Fabienne Schneider, Olav Syrstad We study the cross-section of equilibrium returns on safe assets using a tractable asset pricing model with a micro-founded demand for liquidity and multiple safe assets with heterogeneous transaction costs. We test the main predictions of our theory using a novel measure of relative (in)convenience yields in the US Treasury market. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Financial markets, Monetary policy JEL Code(s): E, E4, E44, G, G1, G12
The Dealer-to-Client Repo Market: A Buoy on a Swaying Sea Staff Discussion Paper 2025-14 Greg Adams, Evan Dudley, Jean-Sébastien Fontaine, Sofia Tchamova, Andreas Uthemann In 2024, the Canadian Overnight Repo Rate Average (CORRA) rose 7 basis points above the Bank of Canada’s target overnight rate as settlement balances declined and hedge fund borrowing increased by $30 billion, straining dealers’ balance sheets. Exercising market power, dealers raised rates, and as client activity grew, these higher rates increasingly influenced CORRAs deviation from target. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial markets, Interest rates, Market structure and pricing, Monetary policy implementation JEL Code(s): D, D4, D5, D53, E, E4, E43, E44, E5, E52, G, G1, G12
November 21, 2025 Update: Senior Loan Officer Survey 10:30 (ET)The Senior Loan Officer Survey collects information on the business-lending practices of Canadian financial institutions. Content Type(s): Upcoming events
November 20, 2025 Bank of Canada updates Terms and Conditions for the Receiver General morning auctions The Bank of Canada, in its role as fiscal agent for the Government of Canada, is announcing updates to the governing the morning auction of Receiver General (RG) cash balances. Content Type(s): Press, Market notices
November 19, 2025 Speech: Nicolas Vincent, External Deputy Governor 12:45 (ET) Québec, QC Content Type(s): Upcoming events
November 19, 2025 Speech by Nicolas Vincent, External Deputy Governor of the Bank of Canada On Wednesday, November 19, 2025, Nicolas Vincent, External Deputy Governor of the Bank of Canada, will speak before the Association des économistes québécois (ASDEQ) and CFA Québec. Content Type(s): Press, Media advisories