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A monthly bulletin from CanDeal Data and Analytics on news and developments in Canadian money markets.
Statistics are starting to show the results of Canadian money market investors’ activities as they work toward June 2024, when Canadian Bankers’ Acceptances (BA) will have matured out of existence. The cessation of BA issuance is aligned with Canada’s transition to using Canadian Overnight Repo Rate Average (CORRA) and Term CORRA instead of Canadian Dollar Offered Rate (CDOR), as recommended by the Canadian Fixed Income Forum (CFIF) and Canadian Alternative Reference Rate working group (CARR).
CanDeal Benchmark Solutions has been designated the benchmark administrator for Term CORRA, with CanDeal Data & Analytics (DNA) acting as the calculation agent. Data licensing and access to Term CORRA data can be obtained from TMX DataLinx.
Bank of Canada has identified there is currently a gap in money market instruments available for investment in 30-day and 90-day maturities. In December 2023 the value of BA’s outstanding was $78.04 billion, down from $82.58 billion the prior month and down from $93.60 billion in December 2022. This is a change of -5.50% month over month and -16.63% from the previous December. BA’s outstanding are expected to decline to $35 billion by end of April 2024, $10/$20 billion by June 2024 and finally to $0 in July 2024.
When looking at the last 6 months, the End of Month Spread Differentials between 1-month and 3-month Government of Canada T-bills and Banker’s Acceptances, Commercial Paper (CP), and Asset Backed Commercial Paper (ABCP) show tightening spreads towards the end of 2023.
More recently, in the first weeks of 2024, the Weekly Spread Differentials illustrate a recent trend reversal with widening spreads, especially for BAs.
All eyes will be on the Federal Budget announcement on April 16, 2024, for potential news about the creation of a new one-month T-Bill.
Check the CanDeal News page for updated statistics and information on new Canadian Money Market instruments and initiatives.
CanDeal is a pioneer in the development of electronic marketplaces for fixed income and derivatives in Canada.
Disclaimer
© 2024 by CanDeal Group Inc. All rights reserved. Reproduction in whole or in part by any means without prior written permission is prohibited. Used with permission. This information is not intended to provide specific personalized advice including, without limitation, investment, financial, legal, accounting or tax advice.
Image: iStock.com/Torsten Asmus
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