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Ottawa, August 5, 1997
1997-067
Government Announces Measures to Enhance Liquidity in the Treasury Bill Market
Related document:
Secretary of State (Finance) Jim Peterson today announced on behalf of Finance Minister Paul Martin changes to the issuance pattern of Government of Canada treasury bills.
The changes are designed to enhance the liquidity of the market for new issues of treasury bills. Beginning on September 18, 1997, the weekly cycle for treasury bill auctions will be replaced by a 2-week cycle and the maturity of 3-month treasury bills will be lengthened by 7 days.
The measures reflect the government's desire to maintain liquid markets for its securities, and take into account its declining borrowing requirements and the shift to a higher fixed-rate proportion of the government debt. The changes are based on extensive discussions with market participants and follow those initiated in 1993 and 1996 for the 1-year and 6-month treasury bill issuance pattern.
"The success of federal debt management depends on a well-functioning domestic capital market and the new Government of Canada treasury bill issuance pattern will enhance the liquidity and efficiency of the market", Secretary Peterson noted. "I would like to express particular appreciation for the contribution made by market participants in the consultation process."
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For further information:
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Rob Stewart |
Donna Howard Financial Markets Department Bank of Canada (613) 782-8474 |
Backgrounder to the Press Release:
Technical Details of The Measures To Enhance Liquidity in The Treasury Bill Market
The measures will increase the size of amounts auctioned at each treasury bill tender and the outstandings for each particular bill maturity relative to the current issuance pattern. The new cycle (ex-holiday) will consist of a new 98-day treasury bill at each bi-weekly auction; an initial 182-day offering followed by a re-opening of this bill (with 168 days remaining) at the following regular treasury bill auction; and an initial 364-day offering followed by a re¦-opening of this bill (with 350 days remaining) at the following regular treasury bill auction. The lengthening of the 3-month term by 7 days has the liquidity advantage of permitting outstanding 6-month and 1-year treasury bills to be fungible with the 3-month bills.
In order to support the active trading of treasury bills to be auctioned, the government will announce minimum tender sizes for 3-, 6- and 12-month treasury bills two weeks prior to the auction and the final tender size one week prior to the auction. These changes may require more frequent use of cash management bills to effectively manage the government's balances. There will be a 6-month transition phase when treasury bills mature every week but regular auctions are held every second week.
Comparison of the Current Issuance Pattern of Treasury Bills and the Issuance Pattern Beginning September 18, 1997
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Current Issuance Pattern |
Issuance Pattern Beginning |
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| 3-,6- and 12-month t-bills issued each week | 3-, 6- and 12-month t-bills issued every two weeks |
| New 3-month t-bill issued each week | New 3-month t-bill issued at each auction |
| New 6-month t-bill issued one week and re-opened once the following week | New 6- and 12-month t-bills issued at same auction and re-opened once at the following auction |
| New 12-month t-bill issued one week (when 6-month bill re-opened) and re-opened once the following week | |
| When-issued market extends for one week (auction size announced one week before the auction) | When-issued market extends for two weeks (minimum t-bill issue size announced two weeks before the auction; final tender size announced one week before the auction) |
| Outstanding 6- and 12-month t-bills with 91 days to maturity are each fungible (i.e. interchangeable) with new 3-month t-bills | Outstanding 6- and 12-month t-bills with 98 days to maturity are each fungible (i.e. interchangeable) with new 3-month t-bills |
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| Last Updated: 2005-01-04 |
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