Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Bank of Canada Staff Discussion Paper 2018-4

45 Pages Posted: 13 Feb 2018

Date Written: January 30, 2018

Abstract

This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Our results indicate that the interaction of search frictions with clientele effects may be key to producing the patterns of trade exhibited by bonds of different maturities.

Keywords: Financial markets, Wholesale funding

JEL Classification: G12, G21, G23

Suggested Citation

Bulusu, Narayan and Gungor, Sermin, Government of Canada Securities in the Cash, Repo and Securities Lending Markets (January 30, 2018). Bank of Canada Staff Discussion Paper 2018-4, Available at SSRN: https://ssrn.com/abstract=3119981 or http://dx.doi.org/10.2139/ssrn.3119981

Narayan Bulusu (Contact Author)

Bank of Canada ( email )

234 Wellington St.
Ottawa, Ontario K1A 0G9
Canada

Sermin Gungor

Bank of Canada ( email )

Bank of Canada, 234 Wellington Street
Ottawa, Ottawa K1A 0G9
Canada

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