Price Caps in Canadian Bond Borrowing Markets https://www.bankofcanada.ca/?p=203197 Repo market* Repo borrowing price (% per year) Securities lending market* Securities lending borrowing price (% per year) Overnight interest rate† Overnight interest rate (% per year) 0.25_Bond in low supply Probability (%) of hitting price cap when overnight interest rate is 0.25 % per year - Bond in low supply 0.50_Bond in low supply Probability (%) of hitting price cap when overnight interest rate is 0.50 % per year - Bond in low supply 0.75_Bond in low supply Probability (%) of hitting price cap when overnight interest rate is 0.75 % per year - Bond in low supply 1.00_Bond in low supply Probability (%) of hitting price cap when overnight interest rate is 1.00 % per year - Bond in low supply 0.25_Bond in median supply Probability (%) of hitting price cap when overnight interest rate is 0.25 % per year - Bond in median supply 0.50_Bond in median supply Probability (%) of hitting price cap when overnight interest rate is 0.50 % per year - Bond in median supply 0.75_Bond in median supply Probability (%) of hitting price cap when overnight interest rate is 0.75 % per year - Bond in median supply 1.00_Bond in median supply Probability (%) of hitting price cap when overnight interest rate is 1.00 % per year - Bond in median supply 0.25_Average price difference for different levels of the overnight interest rate Price difference (%) annualized when overnight interest rate is 0.25% per year 0.50_Average price difference for different levels of the overnight interest rate Price difference (%) annualized when overnight interest rate is 0.50% per year 0.75_Average price difference for different levels of the overnight interest rate Price difference (%) annualized when overnight interest rate is 0.75% per year 1.00_Average price difference for different levels of the overnight interest rate Price difference (%) annualized when overnight interest rate is 1.00% per year Repo market* Repo market (% per year) Securities-lending market* Securities-lending market (% per year) Daily effective federal funds rate Daily effective federal funds rate (% per year) New price cap New price cap (% per year) 0.054.01 0.174.22 0.024.26 0.084.26 1.164.26 0.074.26 4.154.27 1.424.28 0.254.29 4.174.25 0.134.27 0.484.25 0.204.29 0.254.26 0.784.29 1.504.53 0.314.58 4.364.48 0.514.57 0.114.55 0.114.54 3.054.26 3.934.02 1.384.01 0.513.52 2.000.993.04 1.512.923.01 1.500.373.04 2.800.713.02 2.350.633.04 1.142.033.04 1.112.032.26 1.660.742.25 1.480.501.500.080.010.08 0.090.020.11 0.090.020.09 0.080.020.11 0.090.170.10 0.080.010.09 0.070.020.10 0.060.170.10 0.140.080.15 0.010.050.18 -0.11-0.040.19 -0.010.050.20 0.070.020.23 -0.020.000.21 -0.050.030.18 0.010.040.19 0.080.070.18 0.000.020.19 -0.010.030.23 -0.020.060.23 0.310.901.01-0.010.020.24 0.000.050.24 0.060.080.24 -0.020.020.23 0.100.060.23 0.110.080.22 0.010.040.24 0.020.000.22 -0.050.040.25 -0.010.020.23 -0.040.010.21 -0.050.000.20 0.010.020.19 0.080.060.21 0.140.050.21 0.200.150.22 0.220.210.22 0.510.241.000.220.180.22 0.200.180.20 0.210.150.21 0.200.160.20 0.200.150.20 0.200.230.20 0.160.160.20 0.150.150.19 0.100.100.18 0.130.160.15 -0.050.020.20 -0.100.000.20 -0.010.050.18 -0.030.010.17 -0.030.010.18 -0.070.010.17 -0.040.020.17 0.000.040.17 0.010.040.16 0.010.030.15 0.030.030.16 0.030.110.16 0.480.230.52-0.030.020.16 0.050.040.16 0.020.040.13 0.030.060.14 0.020.060.14 0.040.040.14 0.100.060.14 0.080.090.13 0.090.080.16 0.020.050.16 -0.010.070.15 -0.040.070.13 -0.010.070.14 0.020.020.15 0.000.090.15 0.010.090.17 0.020.100.16 0.030.100.17 0.050.020.16 0.070.040.18 0.050.030.20 0.260.230.240.040.060.223.22 0.070.080.223.22 0.030.040.203.20 0.000.020.183.18 0.040.050.173.17 -0.020.050.163.16 0.000.020.153.15 0.100.050.143.14 0.090.030.173.17 0.060.030.173.17 0.130.090.183.18 0.380.370.173.17 1.331.370.173.17 0.350.520.193.19 0.260.050.262.001.810.213.21 2.992.870.203.20 3.213.120.213.21 3.203.150.203.20 3.183.150.213.21 2.972.900.213.21 2.212.270.183.18 2.612.440.183.18 2.782.690.173.17 1.731.740.173.17 0.260.200.223.22 0.120.060.223.22 0.200.150.243.24 0.180.150.253.25 0.330.350.253.25 1.130.950.243.24 0.400.450.243.24 0.180.300.213.21 0.440.320.193.19 0.340.300.183.18 2.062.120.173.17 2.162.140.223.22 3.112.970.203.20 0.280.090.252.962.970.173.17 2.792.720.183.18 2.212.300.183.18 2.252.270.163.16 2.322.130.153.15 1.901.650.153.15 1.781.770.133.13 2.172.150.133.13 -0.030.010.143.14 -0.020.010.153.15 0.020.040.153.15 0.000.040.153.15 0.060.040.143.14 0.190.120.143.14 0.270.160.153.15 0.090.020.153.15 0.120.030.163.16 0.140.080.153.15 0.100.030.173.17 0.360.260.173.17 0.040.030.183.18 0.020.020.183.18 0.220.030.25-0.030.030.173.17 0.030.040.173.17 0.050.050.173.17 0.040.070.173.17 0.060.070.173.17 0.080.090.163.16 0.120.050.153.15 0.060.050.173.17 0.030.020.173.17 0.080.040.173.17 0.120.020.173.17 0.010.030.163.16 0.000.040.163.16 0.020.050.153.15 0.040.050.153.15 0.080.050.143.14 0.000.050.143.14 -0.040.010.153.15 0.240.130.24-0.110.010.153.15 0.270.040.24 0.190.040.25 0.270.240.27 0.300.100.25 0.290.050.25 0.220.050.26 0.300.050.27 0.250.040.26 0.490.240.51 0.400.040.76 0.650.050.76 0.790.401.00 0.600.151.00 0.340.031.02 0.270.041.02 0.330.241.00 0.320.250.99 0.490.251.00 0.300.051.00 0.350.051.01 0.590.151.00 0.510.101.01 0.350.051.02 0.760.501.01 0.950.051.03 0.600.931.01 0.760.041.02 0.490.021.01 0.740.051.00 0.960.101.03 0.420.051.06 0.450.021.03 0.620.251.04 0.750.101.01 0.770.201.03 0.900.111.02 0.760.051.06 0.980.091.05 0.900.061.11 0.810.201.04 1.010.501.03 1.020.441.04 0.810.051.03 0.870.061.02 0.930.261.03 0.870.361.06 0.820.301.02 0.740.001.02 0.940.351.02 0.610.201.02 0.770.301.03 0.780.201.03 0.800.191.03 0.750.251.00 0.610.751.01 0.750.751.02 0.910.301.02 0.850.201.03 0.750.201.01 0.800.201.03 0.800.291.04 0.780.291.03 0.930.251.06 0.790.251.04 0.720.260.88 0.690.250.81 0.600.250.82 0.640.230.76 0.770.260.78 0.710.450.79 0.550.260.60 0.400.160.54 0.530.500.53 0.500.110.54 0.550.300.55 0.550.200.55 0.540.170.54 0.510.200.51 0.510.100.53 0.500.250.54 0.530.150.55 0.520.150.57 0.470.130.55 0.510.250.54 0.520.250.52 0.390.220.53 0.460.200.53 0.350.200.54 0.420.200.52 0.480.200.53 0.310.100.61 0.210.100.52 0.450.050.53 0.400.750.75 0.500.100.75 0.950.051.02 0.510.051.04 0.490.101.02 0.571.001.04 0.400.081.25 0.250.051.25 0.500.201.30 0.410.201.31 91.950000.267000.022702.320000.333000.029700.0016271.043.537.033.0