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Uncollateralized Overnight Loans Settled in LVTS

  • Scott Hendry
  • Nadja Kamhi

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.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-11.pdf
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Paper provided by Bank of Canada in its series Working Papers with number 07-11.

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Length: 25 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bca:bocawp:07-11
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Web page: http://www.bank-banque-canada.ca/

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  1. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada.
  2. Selva Demiralp & Brian Preslopsky & William Whitesell, 2004. "Overnight interbank loan markets," Finance and Economics Discussion Series 2004-29, Board of Governors of the Federal Reserve System (U.S.).
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