Trends in the CGBs 25 April 2016 Steady growth in CGB volumes - PDF document

Trends in the CGBs 25 April 2016

Steady growth in CGB volumes Chart 1: Monthly CGB trade volume (notional) monthly sum Can$ bln 350 300 250 200 150 100 50 0 Nov-2007 Nov-2009 Nov-2011 Nov-2013 Nov-2015 Notes: Sum of the notional of monthly quantity traded 6:00-16:30 Source: Montreal Exchange, Bank of Canada calculations Last observation: 31 December 2015 Confidential - For Discussion Only 2

Bid-ask spread has converged to contract minimum Chart 2: Daily average CGB bid-ask spread 20-day moving average Can$ 0.05 0.04 0.03 0.02 0.01 0.00 Oct-2007 Oct-2009 Oct-2011 Oct-2013 Oct-2015 Notes: 20-day moving average of daily average bid-ask spread, 8:20-16:00 Source: Montreal Exchange, Bank of Canada calculations Last observation: 23 March 2016 Confidential - For Discussion Only 3

The MX order book has grown more populated Chart 3: Notional value of visible CGB limit orders at four price ranges from the mid-quote rolling 20-day moving avg Can$ mln 250 200 150 100 50 0 Oct-2007 Oct-2009 Oct-2011 Oct-2013 Oct-2015 limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Notes: 20-day moving average of daily average notional limit orders within four price ranges from the mid-quote, 8:20-16:00 Source: Montreal Exchange, Bank of Canada calculations Last observation: 23 March 2016 Confidential - For Discussion Only 4

Limit-order size at the inside market is unchanged Chart 4: Notional value of visible CGB limit orders at the best bid and ask 20-day moving average Can$ mln 12 9 6 3 0 Nov-2007 Nov-2009 Nov-2011 Nov-2013 Nov-2015 Notes: 20-day moving average of daily average notional limit orders at the best bid and ask, 8:20-16:00 Source: Montreal Exchange, Bank of Canada calculations Last observation: 23 March 2016 Confidential - For Discussion Only 5

Highest trading volume occurs in the morning (ET) Chart 5: Intraday CGB trade volume (notional) five-minute intervals, 2015 data Can$ mln 300 250 200 150 100 50 0 06:00 06:30 07:00 07:30 08:00 08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 Notes: Five-minute sums of the notional of quantity traded, 6:00-16:30 Source: Montreal Exchange, Bank of Canada calculations Last observation: 31 December 2015 Confidential - For Discussion Only 6

The order book is relatively stable through the day Chart 6: Notional value of visible CGB limit orders at four price ranges from the mid-quote five-minute intervals, 2015 data Can$ mln 150 120 90 60 30 0 6:00 6:30 7:00 7:30 8:00 8:30 9:00 9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Notes: Five-minute averages of notional limit orders within four price ranges from the mid-quote, 8:20-16:00 Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Confidential - For Discussion Only 7

Intraday bid-ask spread has become more stable Chart 7: Intraday CGB bid-ask spread average bid-ask spread, five-minute intervals Can$ 0.30 0.25 0.20 0.15 0.10 0.05 0.00 06:00 06:30 07:00 07:30 08:00 08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 Nov 2007-Aug 2008 2009 2011 2013 2015 Notes: Five-minute averages of the bid-ask spread, 6:00-16:00 Source: Montreal Exchange, Bank of Canada calculations Last observation: 31 December 2015 Confidential - For Discussion Only 8

CGB intraday order book during the US Flash Rally Chart 8: October 15, 2014 notional value of visible CGB limit orders at four price ranges from the mid-quote five-minute intervals, October 15, 2014 Can$ mln 250 200 150 100 50 0 6:00 6:30 7:00 7:30 8:00 8:30 9:00 9:30 10:00 10:30 12:25 12:55 13:25 13:55 14:25 14:55 15:25 15:55 limit orders (50 cent) limit orders (25 cent) limit orders (10 cent) limit orders (5 cent) Notes: Five-minute averages of notional limit orders within four price ranges from the mid-quote, 8:20-16:00 Last observation: 31 December 2015 Source: Montreal Exchange, Bank of Canada calculations Confidential - For Discussion Only 9