How big is cash-futures basis trading in Canada’s government bond market?

Andreas Uthemann and Rishi Vala

No 2024-16, Staff Analytical Notes from Bank of Canada

Abstract: Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity.

Keywords: Financial institutions; Financial markets; Financial stability; Market structure and pricing (search for similar items in EconPapers)
JEL-codes: D4 D47 D5 D53 G1 G12 G2 G23 (search for similar items in EconPapers)
Date: 2024-06
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