Non-centrally cleared bilateral repo is a USD 5 trillion market, about a third of U.S. repo. It is the only segment using foreign sovereign bonds and the only one that is mostly term. The clearing mandate may move USD 1.5 trillion of it into clearing, but most will likely stay uncleared.

Repos with a foreign counterparty are a large share of U.S. repo, concentrated in non-centrally cleared bilateral repo, where cash flows are split about evenly between flowing out and in. Dealer banks and hedge funds drive the activity, and these repos can transmit shocks across borders.

Theory predicts informed traders should move prices when they trade. However, a group of Toronto Stock Exchange trader accounts, selected because they anticipate 11 years of earnings surprises, look almost invisible to the market. While they behave like classic privately informed traders (being patient, directional, and users of limit orders), their trades have zero or even negative price impact.

Queue position is a form of risk, not just a time delay, and that market makers react to that risk by withholding liquidity. A queueing model applied to a price-time priority market finds losses to depth of as much as 8%. This inefficiency does not exist in pro-rata systems (though they have their own problems).

At least for now, moving a big slice of bilateral Treasury repo into central clearing doesn’t budge SOFR itself. It does shift the tails of the SOFR distribution a bit, hinting that the benchmark could get a bit more vol once these trades are pulled into the official rate fix.

The COVID ‘dash for cash’ turned fixed‑income markets into a stress test of a system where asset managers demand liquidity but banks manufacture money. The bottleneck became the dealer balance sheet, not bank solvency. It recommends connecting up asset managers with the clearing, settlement and central banking systems.

Bond ETFs are could turn into balance‑sheet infrastructure for bond markets. Dealers could warehouse large, tradable portfolios of bonds at ETFs, giving them an additional way to lay off risk and source inventory. This would add new layers of intermediation that could reshape how stress propagates through the system.

High-frequency traders in Canadian bond futures mainly act as tiny, fast liquidity buffers for big institutions, not as predators pushing their costs up.

This is my favorite paper. We propose to redesign the government’s debt program to better harvest liquidity premia, such as via bond buybacks, zero-coupon issuance, and perpetuities. The paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile.

Post‑crisis capital and liquidity rules can unintentionally drain dealer risk‑bearing capacity and make markets thinner and more fragile, especially in stress. A model of securities dealers subject to leverage, position, and liquidity constraints inspired by Basel III–style regulation shows these constraints change dealers’ willingness to intermediate trades and hold inventory, which feeds through to bid–ask spreads and market depth.

High-frequency traders on Canada’s Alpha exchange end up looking more like Cournot quantity competitors than razor‑thin price undercutters. Their rivalry makes markets smoother and cheaper for everyone else, as expected in Cournot competition.

Government of Canada bonds, bills, and real‑return bonds form a tightly interconnected ecology: they fund the federal government, anchor Canadian yield curves and pricing, and sit at the core of trading, collateral, and risk management across the financial system.

NYSE’s Retail Liquidity Program segmented its retail flow from the main venue. This is a theoretical worry but, for NYSE, a modest win. The program separated retail trades into a special dark segment makes prices easier to read and trading slightly cheaper for everyone.

Securities‑financing markets in Canada (repos and securities lending) are the plumbing that lets a relatively small stock of government bonds support ever‑rising trading volumes.

Institutional investors do sometimes make markets in Canadian bonds, but only at the margin, and mainly when dealers are stretched. Customer liquidity is small, expensive, and used as a back‑up source rather than a primary one.

At the time, Canadian bond dealers were still mostly principal traders, using their own balance sheets to take the other side of client trades, with pure agency ‘riskless principal’ activity remaining relatively small and concentrated among smaller firms.

Bank of Canada policy statements move markets in two distinct ways: through the surprise in the policy rate itself (the “level” component) and through the surprise in the tone about the future path of rates (the “slope” component).

Decimalizing options on the Montréal Exchange (moving sub‑$3 options from 5‑cent to 1‑cent ticks) tightened spreads, improved depth near the top of book, and made prices more efficient, with the biggest gains in out‑of‑the‑money names.

The Canadian repo market is presented as an ecosystem, in which banks and buy‑side institutions are linked through collateralized funding on the rails of clearing, settlement, and central banking infrastructure. This guide is old but is apparently still used to train new employees at the dealers. Hmm, the Bank of Canada really should issue an update…

Equity-market fragmentation in Canada brought cheaper, more innovative trading, and did not clearly help or hurt market quality, while raising technology costs and operational complexity.