Borrowing Costs for Government of Canada Treasury Bills

Jessica Lee, Jabir Sandhu and Adrian Walton

No 2019-28, Staff Analytical Notes from Bank of Canada

Abstract: The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.

Keywords: Financial; markets (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G20 G21 G23 G32 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2019-10
New Economics Papers: this item is included in nep-fmk
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