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

Author

Listed:
  • Andreas Uthemann
  • Rishi Vala

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.

Suggested Citation

  • Andreas Uthemann & Rishi Vala, 2024. "How big is cash-futures basis trading in Canada’s government bond market?," Staff Analytical Notes 2024-16, Bank of Canada.
    • Handle: RePEc:bca:bocsan:24-16
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    File URL: https://www.bankofcanada.ca/2024/06/staff-analytical-note-2024-16/
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    More about this item

    Keywords

    Financial institutions; Financial markets; Financial stability; Market structure and pricing;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G2 - Financial Economics - - Financial Institutions and Services
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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