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Uncollateralized Overnight Loans Settled in LVTS

Scott Hendry () and Nadja Kamhi

Staff Working Papers from Bank of Canada

Abstract: Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion. This makes the market slightly larger than the brokered repo market but only about one-tenth of the estimate for the direct trade repo market. The implied uncollateralized overnight rate was found to be remarkably stable relative to other measures of the overnight rate. Loan rates are found to vary with market conditions, the size of the loan, and the type (big vs. small) of the borrower and lender.

Keywords: Financial markets; Interest rates (search for similar items in EconPapers)
JEL-codes: E44 E50 G12 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2007
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:07-11

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