debt management report 2003-2004€¦ · as part of good governance and management, different...

DebtManagementReport

2003–2004

DebtManagementReport

2003–2004

Department of FinanceCanada

Ministère des FinancesCanada

Department of FinanceCanada

Ministère des FinancesCanada

© Her Majesty the Queen in Right of Canada (2004)All rights reserved

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Cat. No.: F1-33/2004EISBN 0-660-19395-7

Table of Contents

Foreword by the Minister of Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

Purpose of This Publication . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

Part I: Debt Management Context . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

The Fiscal Plan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

Composition of the Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

Part II: Report on 2003–2004 Debt Strategy . . . . . . . . . . . . . . . . . . . . . . . . 16

Cost and Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

Maintaining a Well-Functioning Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

Participation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

Governance of Treasury Activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Debt Strategy Plan and Actions Taken . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

Part III: Programs and Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

Domestic Debt Programs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

Cash Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

Foreign Currency Debt Programs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

Holdings of Government of Canada Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

External Evaluations of Debt Management Policies and Activities . . . . . . . . . 47

Annex 1—Composition of the Federal Debt . . . . . . . . . . . . . . . . . . . . . . . . 49

Annex 2—Managing the Risks of Holding Cash and Reserves . . . . . . . . . 51

Annex 3—Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

Annex 4—Contact Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

Reference Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

5

Foreword by the Minister of FinanceI am pleased to table before Parliament the Government of Canada’sDebt Management Report for fiscal year 2003–04. It provides accountability byoutlining in detail the financial management of Canada’s debt.

Canadians today are reaping the rewards of sustained fiscal responsibility. Theprevious “vicious cycle” of annual deficits, rising debt, higher interest rates andhigh taxes has been replaced by a “virtuous circle” of seven consecutive budgetsurpluses, a declining debt burden, rising consumer and business confidence, thelargest tax reductions in Canadian history, low interest rates and consistentlystrong economic performance. This has enabled us to reduce the federal debt bymore than $61 billion since we balanced the budget in 1997–98, while maintainingthe resources needed to deal with recent security threats, health emergencies likesevere acute respiratory syndrome (SARS) and the impact of bovine spongiformencephalopathy (BSE). This fiscal responsibility also enabled the Government toprovide $36.8 billion in funding over five years under the 2003 First Ministers’Accord on Health Care Renewal—funding that will be key to ensuring timelyaccess to quality health services for all Canadians.

Such prudence with a purpose means our debt-to-GDP (gross domestic product)ratio today stands at 41.1 per cent, its lowest level since 1983–84. In the processwe have freed up $3 billion in reduced interest charges every year that can now beinvested in national priorities. As I indicated in the 2004 budget, we will maintainthis responsible, prudent approach with a goal of reducing Canada’s debt-to-GDPratio to 25 per cent within 10 years.

This year’s Debt Management Report highlights ongoing efforts to improve themanagement of our debt. Examples over the past year include:

• Reducing debt costs by beginning to gradually lower the fixed-rate debtcomponent from two-thirds to 60 per cent.

• Maintaining an efficient, well-functioning market for Government of Canadasecurities through such measures as a bond buyback program.

• Encouraging a broad group of market investors in Government of Canadasecurities.

• Continually ensuring the federal debt program is well managed.

By never wavering from the “bottom line” of balanced budgets, the hard-earnedrewards of fiscal responsibility will continue to ensure a prosperous future forour country.

The Honourable Ralph Goodale, P.C., M.P.Minister of FinanceOttawa, December 2004

7

Purpose of This PublicationThe Debt Management Report provides a detailed account of the Government ofCanada’s borrowing, cash and foreign exchange reserves management operationsover the fiscal year from April 1, 2003 to March 31, 2004.

It provides a comprehensive report on the environment in which the debt ismanaged, its composition and changes during the year, and strategic plans set outin the 2003–04 Debt Management Strategy, published in March 2003. A set ofreference tables containing statistics on the operation of debt programs isalso provided.

The information contained in this report is designed for a range of interestedparties to ensure transparency and public accountability in the Government’sborrowing and cash management activities. The Debt Management Strategy andthe Debt Management Report are tabled annually in Parliament and are availableon the Department of Finance Web site at www.fin.gc.ca.

Federal Debt Management

Strategic management of the federal debt focuses on two key elements: market debt,and liquid financial assets of the Government of Canada. As of March 31, 2004, theGovernment had $440.2 billion of market debt composed of marketable bonds,Treasury bills, retail debt, foreign currency debt, Canada Pension Plan (CPP) bondsand obligations related to capital leases, and $61.7 billion of liquid financial assetscomposed of domestic cash balances and foreign exchange assets.

(C$ billions)

Market Debt

Payable in Canadian currency

Marketable bonds 278.8(fixed-rate bonds with 2-, 5-, 10- and 30-year maturitiesand real return bonds with 30-year maturities)

Treasury bills 113.4(zero-coupon securities with 3-, 6- and 12-month maturities)

Retail debt 21.3(Canada Savings Bonds and Canada Premium Bonds)

CPP bonds 3.4

Obligations related to capital leases 2.8

Payable in foreign currency

Marketable bonds and foreign currency notes 17.1(fixed-rate bonds, Canada notes and Euro Medium-Term Notes)

Canada bills 3.4(zero-coupon securities with 1- to 9-month maturities)

Liquid Financial Assets

Cash 20.5

Foreign exchange reserves 41.2

This document is structured as follows:

n Part I describes the fiscal environment in which the debt is managed and thecomposition of market debt, which the Government strategically manages.

n Part II reports on the 2003–04 debt strategy by major theme:risk/cost, liquidity, participation and governance.

n Part III provides details on activity in the individual domestic andforeign debt programs during 2003–04.

n Annexes explain the composition of the federal debt and theGovernment’s framework for managing financial risk.

n Reference tables provide historical information on the funding activitiesof the Government.

8 DEBT MANAGEMENT REPORT—2003–2004

OverviewIn 2003–04 the Government continued to reduce its level of indebtedness. On afull accrual basis of accounting the federal debt was reduced to $501.5 billion,down $61.4 billion from its peak in 1996–97. The 2003–04 budgetary surplus of$9.1 billion was used primarily to increase financial assets, which rose by$9.5 billion. Market debt declined by $2.2 billion while obligations to pensions andother accounts increased by $2.6 billion. Both other liabilities and non-financialassets increased by $0.6 billion. Debt-servicing charges were down $1.5 billionfrom fiscal year 2002–03 as a result of a 20-basis-point reduction in the averageinterest rate paid on the public debt. Since 1996–97 the cumulative reduction inindebtedness and reduction in the average interest rate have reduced debtcharges by $11.5 billion. Lower debt-servicing charges benefit all Canadians.

The advent of a period of federal budgetary surpluses in the second half of the1990s ushered in a new area in federal debt management—one focused onmaintaining a well-functioning market for debt or fixed-income securities in anenvironment of declining borrowing needs. Over the past several years the primaryfocus of adjustments to government borrowing programs has been in this domain.

Debt, cash and reserve management actions in 2003–04 included the beginning ofthe orderly reduction in the fixed-rate share of the debt from a target of two-thirdsto 60 per cent by 2007–08, with resulting adjustments to the sizes of the Treasurybill and bond programs. The fixed-rate share fell from 66 per cent to 64 per centover the course of the year. The stock of Treasury bills increased by $9.0 billion to$113.4 billion, while the stock of bonds declined by $10.9 billion to $258.2 billion.Bond repurchases totalled $10.7 billion.

Operational refinements continued to be made to the debt program to improve itsfunctioning, including moving the time of Treasury bill auctions to the morning(when the market is most active) and reducing the target size for the 10-yearbenchmark bond to maintain an annual benchmark cycle.

As part of good governance and management, different aspects of the debtprogram are reviewed periodically. These reviews are conducted internally at theDepartment of Finance and Bank of Canada or by external specialists. In 2003–04reviews were undertaken on the governance framework, the retail debt programand the real return bond program.

This report also features indicators that are intended to provide interestedparties with an understanding of some of the key measures that debt managersfollow with respect to debt management programs and well-functioningsecurities markets.

9


Debt Strategy Framework

Purpose

Raise stable, low-cost funding for the Government of Canada.

Principles and Objectives

Well-functioning market

n Emphasize transparency, liquidity and regularity in the design and implementationof domestic debt programs in order to maintain a well-functioning domesticgovernment securities market.

n Work with market participants and regulators to enhance the integrity andattractiveness to investors of the market for Government of Canada securities.

Cost-effectiveness

n Manage the structure of the debt by balancing cost and risk to help protect theGovernment’s fiscal position from unexpected increases in interest rates.

n Minimize the cost of carrying reserves (i.e. the difference between interest paid onforeign currency liabilities and interest earned on reserve assets).

Prudence

n Raise funding for domestic operational needs in Canadian dollars, and immunizecurrency and interest rate risks arising from the management of the foreignreserves by matching foreign liabilities to reserve assets.

n Manage the Receiver General cash position to ensure that cash balances aremaintained at reasonable cost to the Government.

n Control credit risks through diversification.

n Borrow using a variety of instruments, a range of maturities and a diversifiedinvestor base.

Consultations

n Seek input from market participants on major adjustments to the federal debt,cash and reserves management programs.

Best practices

n Ensure that the operational framework and practices are in line with the bestpractices of other comparable sovereign borrowers and the private sector.

11

Part I: Debt Management ContextSince the annual debt-servicing cost is the largest single budget expense of theGovernment, effective management of the federal debt is especially important forall Canadians. This section provides an overview of the Government’s fiscal planand the composition of the debt stock. The Government’s fiscal position sets thecontext within which debt management decisions are taken. One of the keydecisions of debt management relates to the composition of the debt stock,which directly affects debt costs.

The Fiscal Plan

Budgetary Outcome

Canada has experienced a remarkable turnaround in its fiscal position in recentyears: the Government recorded a budgetary surplus of $9.1 billion in 2003–04,its seventh consecutive budgetary surplus; the federal debt has been reduced by$61.4 billion from its peak in 1996–97; the federal debt-to-GDP ratio has fallen27.3 percentage points from its peak of 68.4 per cent in 1995–96 to 41.1 per centin 2003–04, its lowest level since 1983–84 (see Chart 1); and fiscal and monetarypolicy credibility have contributed to lower interest rates. For detailedinformation, see the 2003–04 Annual Financial Report of the Governmentof Canada at www.fin.gc.ca/toce/2004/afr_e.html.

1994–95 1995–96 1996–97 1997–98 1998–99 1999–00 2000–01 2001–02 2002–03 2003–04

40

30

20

50

60

70

Chart 1Federal Debt–to–GDP Ratio%

Source: Department of Finance.

Financial Source/Requirement

The key budgetary measure for market debt management is the financialsource/requirement. While the budgetary balance is presented on a full accrualbasis, recognizing revenues and expenses when they are incurred, the financialsource/requirement is a cash flow measurement that captures the current- andprior-year budgetary items, as well as the cash implications of non-budgetarytransactions. As such, the financial source/requirement determines the changesin the market debt and in the level of financial assets.

The budgetary surplus of $9.1 billion and a net requirement of funds fromnon-budgetary transactions of $2.8 billion produced a financial source of$6.2 billion in 2003–04. This compares to a financial source of $7.6 billionin 2002–03 and a requirement of $0.3 billion in 2001–02.

The Government has recorded a financial source in six of the past seven years(see Chart 2). The financial source in 2003–04 was used to increase cash balancesby $4.1 billion and to reduce market debt by $2.2 billion.


Chart 2Budgetary Balance and Financial Source/Requirement$ billions

1983–84 1985–86 1987–88 1989–90 2003–04

20

10

0

-10

-20

-30

-40

-50

Sources: Public Accounts of Canada and Statistics Canada.

Budgetary balance

Financial source/requirement

1991–92 1993–94 1995–96 1997–98 1999–00 2001–02

Public Debt Costs

In 2003–04 the Government spent 19 cents of every dollar of revenue to payinterest on the public debt, down from a peak of almost 39 cents in 1990–91.Public debt charges as a percentage of GDP declined to 2.9 per cent in 2003–04from 3.2 per cent in 2002–03 (see Chart 3). In 2003–04 the average interest ratepaid on the public debt declined to 5.8 per cent from 6.0 per cent in 2002–03.

Composition of the DebtThe Government’s gross debt is made up of market debt and non-market debt.Market debt is funded in the capital markets and is strategically managed by theGovernment. Non-market debt comprises liabilities held by the Governmentoutside capital markets. The chart on the next page illustrates the relationshipsbetween the components of government debt, based on the 2003–04 fiscal year.See Annex 1 for a more detailed description of the composition of the federal debt.

13

Chart 3Public Debt Charges% of GDP

1991–92 1995–961993–94 1997–98 1999–00

7

6

5

4

3

2

1

Source: Public Accounts of Canada.

2001–02 2003–04


There are two types of market debt: domestic debt, which is denominatedin Canadian dollars, and foreign currency debt (see Chart 4). (Seewww.fin.gc.ca/invest/instru-e.html for a detailed description of theGovernment of Canada’s market debt instruments.) The Government borrowsin Canadian dollars using wholesale and retail funding. Wholesale funding isconducted through issuance of marketable securities, which include nominalbonds, real return bonds and Treasury bills. These securities are sold via auctionsto Government of Canada securities distributors and end-investors. (The names ofand details on the framework for government securities distributors and primarydealers can be found at www.bankofcanada.ca/en/auct.htm.) Retail funding israised through sales of Canada Savings Bond products to individuals who areCanadian residents.

Total Public Debt as at March 31, 2004

Gross public debt$701.1 billion

Net public debt$556.3 billion

Lessfinancial assets$144.8 billion

(cash, reserves, loans)

Lessnon-financial assets

$54.8 billion(capital assets)

Federal debt$501.5 billion

(accumulated deficit)

Market debt$440.2 billion

(marketable bonds, Treasury bills, retail debt, foreign debt,

Canada Pension Plan bonds and Capital leases)

Non-market debt$260.9 billion

(pensions and other accounts,other liabilities)


15

Funds raised in Canadian dollars are used primarily to meet the Government’soperational requirements. A small portion of Canadian-dollar wholesale debt isswapped to foreign currencies to fund the Government’s foreign exchangereserves. The Government also borrows in foreign currencies for the reserves,which are held in the Exchange Fund Account (EFA). The EFA provides a sourceof foreign currency liquidity and is used to promote orderly conditions in theforeign exchange market for the Canadian dollar. Details on the operations of theEFA can be found in the 2003 Report on the Management of Canada’s OfficialInternational Reserves, located at www.fin.gc.ca/toce/2004/oir04_e.html.

Table 1 shows the change in the composition of federal market debt in 2003–04by domestic and foreign debt programs. Further details of the changes in programsand indicators of debt management operations and activities can be found inPart III. Total domestic debt was reduced by $1.7 billion while foreign currencydebt declined by $0.6 billion.

Table 1Change in Composition of Federal Market Debt, 2003–04

April 1, 2003 March 31, 2004Outstanding Outstanding Change

($ billions)Domestic debt 415.2 413.5 -1.7Foreign currency debt1 21.1 20.5 -0.6CPP bonds and notes 3.4 3.4 0.0Obligations related to capital leases 2.7 2.8 0.1Total market debt 442.4 440.2 -2.2

Note: As at March 31, 2004, the total amount of interest rate ($1.6 billion) and cross-currency ($24.6 billion)swaps outstanding stood at $26.2 billion. Cross-currency swaps convert C$-denominated governmentdebt into foreign currency obligations for the purpose of funding the foreign reserves portfolio.1 Liabilities are stated at par value at the March 31 exchange rate. Source: Public Accounts of Canada.

Chart 4Market Debt, March 31, 2004

Marketablebonds63.4%

Treasury bills25.7%

Retaildebt4.8%

CPPbonds0.8%

Foreigncurrency bonds

and notes3.9% Canada bills

0.8%Obligationsrelated to

capital leases0.6%

Sources: Public Accounts of Canada and Annual Financial Review.


Part II: Report on 2003–2004 Debt StrategyThe federal debt strategy covers the management of federal market debt andoperational activities related to it, including the management of Canadian-dollarcash balances and the funding and investment of Canada’s foreign exchangereserves. Annual debt strategy planning sets out the objectives for the year ineach of these domains and provides for a series of initiatives.

A well-functioning wholesale market in Government of Canada securities benefitsthe Government as well as a wide range of market participants. For theGovernment as a debt issuer, a well-functioning market attracts investors andensures that funding costs are kept low. For market participants, a liquid andactive secondary market in government debt provides credit-risk-free assets forinvestment portfolios, a pricing benchmark for other debt issues and swaps, anda primary tool for hedging risk.

In 2003–04 a large number of initiatives were undertaken to enhance theeffectiveness of the Government of Canada’s debt management. This documentreports on these initiatives organized around four key themes: cost and risk;maintaining a well-functioning government securities market; encouragingparticipation in the government securities market; and enhancing governance.

Cost and RiskThe Government’s objective of maintaining stable, low-cost financing involvesmanaging an exposure to a range of financial risks and managing the balancebetween lower cost and lower risk. The Government has implemented acomprehensive financial risk management framework related to the debt programin line with the increased attention paid to risk management by financial marketparticipants in recent years. The key risk for the Government relates to changes ininterest rates and their effect on domestic borrowing costs (interest rate risk).A lesser risk is the Government’s credit exposure to financial institutioncounterparties with which it transacts (credit risk). There are also exposures toother types of risk, such as operational risks like the August 2003 blackout.

On August 14, 2003, the Bank of Canada took steps to ensure that theGovernment’s cash and debt operations would continue to function throughout theperiod of the blackout. The Bank conducted several Government of Canada termdeposit and debt operations from its backup facility operating on emergencygenerators. All operations were conducted smoothly from the Bank of Canada’sbackup facility.

This section provides an overview of the main considerations in balancing interestrate risk and cost. See Annex 2 for information on the management of the creditrisk associated with the management of cash balances and international reserves.

17

Debt Structure

The Government has access to a variety of instruments to fund its debt, withmaturities ranging from 3 months to over 30 years. As does any other borrower inthe financial markets, the Government generally faces a trade-off between cost andrisk when selecting the instruments it issues. Borrowing costs of longer-terminstruments tend to be higher, but are fixed for long periods. On the other hand,borrowing costs of shorter-term instruments tend to be lower on average, but morevolatile. By choosing the proportion of each instrument it issues, the Governmentcan establish a debt structure that strikes an appropriate balance between keepingcosts stable and low.

The main operational target used to manage the debt structure is the fixed-rateshare, which measures the proportion of interest-bearing debt having fixed rates—debt that does not mature or need to be repriced within one year—relative to totalinterest-bearing debt. In the February 2003 budget, the Government announced itsintention to reduce the fixed-rate share target from two-thirds to 60 per cent by2007–08 (see Chart 5).

The decision to lower the fixed-rate share is based on positive economic and fiscaldevelopments in Canada in recent years. Financial simulation modelling indicatesthat a 60-per-cent fixed-rate share would result in lower borrowing costs under alarge number of interest rate scenarios without compromising debt cost stability.

In 2003–04 the Government began to reduce the fixed-rate share, with the sharedeclining from 65.8 per cent to 63.8 per cent over the fiscal year. The change indebt structure will continue to be implemented gradually, in an orderly andtransparent manner, over the next few years.

1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008

45

50

55

60

65

Two-thirds

One half

60%

65%

70

Chart 5Target Fixed-Rate Share of the Debt

%



As a consequence of the adjustment in the fixed-rate share, the stock ofoutstanding Treasury bills and cash management bills increased from $104.4 billionto $113.4 billion in 2003–04, while the stock of outstanding bonds declined from$269.1 billion to $258.2 billion, increasing the share of floating-rate debt in thedebt structure by 2.0 per cent. See Part III for more details on Treasury bill andbond program changes.

In addition to the fixed-rate share, the Government uses other indicators to trackthe exposure to risk inherent in the debt stock. The average term to maturity(ATM) represents the average length of time before debt instruments mature andbecome subject to refinancing risk. The ATM of marketable debt has stabilized ataround 61⁄2 years in recent years, having increased from roughly 4 years in 1990(see Chart 6). A longer ATM means that debt instruments are rolled over lessfrequently, which implies less uncertainty regarding future debt costs.

Duration, which is often used by other sovereign issuers, is another measure of theaverage length of time before refinancing risk occurs. Duration considers the timevalue of all cash flows (coupon payments and principal repayments) through thelife of debt instruments. From an issuer’s perspective, a longer duration isassociated with lower refinancing risk. At the end of March 2004, theGovernment’s marketable debt had a duration of 4.8 years,1 up from 4.5 yearsat the end of March 2003.

3.5

7.0

6.5

6.0

5.5

5.0

4.5

4.0

Chart 6Average Term to Maturity of Marketable Debtyears

1990Q1

1991Q1

1992Q1

1993Q1

1994Q1

1995Q1

1996Q1

1997Q1

1998Q1

1999Q1

2000Q1

2001Q1

2002Q1

2003Q1

2004Q1

Source: Bank of Canada.

1 Duration is calculated according to the modified duration formula, and includes the effect ofcross-currency and interest rate swaps.

19

Maturity Profile

A related strategy to reduce the risk of higher borrowing costs is the maintenanceof a stable maturity profile. A well-distributed maturity profile limits the need torefinance a large portion of the debt in any given period when borrowingconditions may be unfavourable.

One instrument used by the Government to help stabilize the maturity profilewithin the upcoming year is the cash management bond buyback (CMBB)program, introduced in 2001 on a trial basis. Given its success at reducing peaks inbond maturities, the CMBB program was implemented in 2003–04 on an ongoingbasis. By reducing the need to accumulate high cash balances leading up to largebond maturities, the CMBB program also smoothes out seasonal fluctuations inTreasury bill issuance (see Part III for activity in 2003–04).

Also to facilitate the management of risk around peaks in maturities, the size of2-year auctions was reduced in 2003–04 when the bond being issued was fungible(i.e. having the same maturity date) with another large bond issue. Theseinitiatives, in addition to the emphasis on the regularity of its debt operations, havehelped the Government to maintain a stable maturity profile and manage cashbalances effectively around large maturity dates.

Funding the Foreign Reserves

Foreign currency debt is issued to fund foreign currency assets. In 2003–04 foreigncurrency funding requirements were lower than in previous years due to thestrength of the euro versus the US dollar (foreign currency assets, of whichabout half are composed of securities denominated in euros, are reported on amarket value basis in US dollars). Funding requirements were met entirelythrough cross-currency swaps, which are particularly cost-effective comparedto other funding sources. The Government has in place a collateral managementframework to control the credit risk to financial institutions with which itexecutes swaps (see Annex 2 and the 2002–03 Debt Management Report atwww.fin.gc.ca/toce/2003/dmr03_e.html). In addition to cross-currency swapsof domestic obligations, the Government has access to a short-term US-dollarpaper program, medium-term note issuance in various markets, international bondissues, and purchases of US dollars in foreign exchange markets.

The Government holds foreign exchange reserve assets in the Exchange FundAccount to provide foreign currency liquidity and to provide the funds needed tohelp promote orderly conditions for the Canadian dollar in the foreign exchangemarkets. Further details on the management of international reserves are availablein the 2003 Report on the Management of Canada’s Official InternationalReserves at www.fin.gc.ca/toce/2004/oir04_e.html.


Maintaining a Well-Functioning MarketThe Government supports the maintenance of a liquid well-functioning market forits marketable securities in order to help maintain low funding costs. One way theGovernment achieves this goal is by building large liquid benchmark bonds andTreasury bills in various maturity sectors on a regular, predictable basis. The useof multiple maturities attracts a wide array of investors, while regular andtransparent issuance ensures that there is no uncertainty as to the Government’splans. Initiatives outlined in the 2003–04 Debt Management Strategy to promoteliquidity in the Government of Canada securities market were:

n Benchmark Target Sizes: The targeted new benchmark sizes for nominalcoupon-bearing bonds were maintained from the previous year, except in the10-year sector. After consulting with market participants, the Governmentadjusted the 10-year target benchmark size from $12 billion-$15 billion to$10 billion-$14 billion and to a one-year cycle. The new target size and one-yearcycle ensure that 10-year benchmark bonds will continue to be a key instrumentfor the swap and futures markets. During 2003–04 the June 2013 10-yearbenchmark ended its benchmark building cycle with an amount outstandingof $12 billion, within the new target benchmark size range.

n Diversified and Regular Issuance: The Government continued its practiceof issuing and building large liquid benchmarks in a variety of instruments andterms to maturity to target a diverse investor base. These instruments includefour bond maturity sectors (quarterly 2-, 5- and 10-year auctions andsemi-annual 30-year auctions); three Treasury bill maturity sectors (3-, 6- and12-month maturities with auctions every two weeks); a long-term inflation-indexed bond (quarterly issuance); and debt issued as part of the retail debtprogram. Regular issuance helps provide certainty for dealers and investorsin their preparations for auctions.

n Buybacks: Against the backdrop of debt paydown in recent years, theGovernment has been using a bond buyback program on both a switch and cashbasis to repurchase off-the-run bonds (i.e. securities that are no longer thecurrent market benchmark or the current building benchmark), thereby helpingto maintain gross bond issuance at desirable levels and maintain benchmarkbond sizes. Unlike buybacks on a cash basis, where bonds offered are exchangedfor cash, bonds repurchased on a switch basis are exchanged for the currentbuilding benchmark on a duration neutral basis. The 2003–04 DebtManagement Strategy outlined the Government’s buyback target of about$13 billion. During the year the Government issued $10.7 billion in newbenchmark bonds through the repurchase of $10.2 billion in off-the-run bonds.Steps were taken to maintain the success of buyback operations, which includedincreasing the range of maturities in some buyback baskets of eligible bonds.

The scale of switch buyback operations was increased while buybacks on a cashbasis were decreased, as the scope of the switch buyback program began toinclude more maturity sectors. Switch operations are more attractive for marketparticipants as their market risk is lower than for cash buybacks. In 2003–04the Government repurchased $5.0 billion in bonds through the switch program(in line with the previous year), and $5.2 billion through the cash buybackprogram (a decrease of $1.9 billion.)

21

ParticipationActive participation at auction and buyback operations from a diverse groupof market participants also helps the Government to achieve its key objectiveof stable, low-cost funding. Over the past few years initiatives to enhancetransparency and the bidding process have been undertaken to broadenparticipation. Initiatives undertaken in 2003–04 include:

n Timing of Treasury Bill Auctions: Beginning June 17, 2003, Treasury billauctions were moved from 12:30 p.m. to 10:30 a.m., with cash managementbuyback operations following the auctions at 11:15 a.m. The change was madeto coincide with the time of day when the Treasury bill market is most active inorder to attract more participants to the auctions. Investors supportedthe change.

n Participation at AM Receiver General Auctions: In 2002–03 theGovernment introduced a collateralized framework for the AM Receiver Generalauctions of cash balances to reduce the exposure to counterparty credit risk andencourage more competitive bidding at cash management auctions. In 2003–04the Government increased the list of financial institutions eligible to participateat AM auctions by 1 to 21; work is ongoing to further increase the numberof participants.

n Turnaround Time: In order to reduce market risk for participants and enhancethe efficiency of its operations, the Government took steps in the fiscal yearto streamline these operations to further reduce turnaround times. TheGovernment announced that, starting on April 1, 2004, the turnaround time forauctions and buyback operations would be released on a “best efforts basis”(i.e. when ready rather than waiting to release results at the maximum timesof 10 minutes for bills and bonds and 15 minutes for buybacks).


Charts 7 and 8 show the dramatic reduction in turnaround times in recent years,from 45 minutes at the end of 1998 to 10 minutes for Treasury bill and bondauctions and 15 minutes for buyback operations starting in 2002.

50

45403530252015

1050

Chart 7Turnaround Times for the Release of the Results of Treasury Bill and Bond Auctions, 1998–2004minutes past deadline

1998Q4

2002Q3

December 9, 2002

October 1998

2002Q4

2003Q1

2003Q3

2003Q2

2003Q4

2004Q1


September 26, 2000

May 22, 2001

Implementation ofbest efforts basis

April 1, 2004

50

45403530252015

1050

Chart 8Turnaround Times for the Release of the Results of Buyback Operations, 1998–2004minutes past deadline

1998Q4

2002Q1

2002Q3

December 9, 2002

October 1998

2003Q1

2003Q3

2004Q1


September 26, 2000

Implementation ofbest efforts basis

April 1, 2004

Governance of Treasury ActivitiesThe Government regularly assesses its treasury management policies andprograms as part of good governance and management of the debt program. Thesereviews are conducted internally at the Department of Finance and Bank ofCanada or by external specialists. In 2003–04 the Government conducted fourreviews: an internal evaluation of the Government’s governance framework formanaging treasury activities; an external evaluation of the effectiveness of thegovernance system over the past five years and design of a modified framework; areview of the retail debt program, which has included an external assessment aswell as internal analysis; and an internal review of the real return bond program.

Internal Evaluation of the Governance Framework

In 2003 the Government of Canada reviewed and enhanced the governanceframework for its debt management activities, with the result codified in theTreasury Management Governance Framework document. The report ongovernance, Governance Evaluation: Debt and Reserves Management, isavailable at www.fin.gc.ca/activty/goveval-e.html. The new governance frameworkis designed to enhance the efficiency of debt management policy implementation;ensure accountability through appropriate performance measurement andreporting; clarify and strengthen the framework for risk management monitoringand control; and enhance operational efficiency and effectiveness.

The framework describes the objectives and operating principles that theGovernment pursues in managing its financial assets and liabilities. Theseobjectives appear in this document as well as the Report on the Management ofCanada’s Official International Reserves and the Canada Investment andSavings annual report. In addition, the framework describes the authorities,roles and responsibilities, coordination and control systems, and performanceevaluation systems for managing the Government’s treasury activities.

The governance framework outlines the organizational committees established togovern debt management activities. While the ultimate decision-making authorityrests with the Minister of Finance, the design of key strategies, policies andoperations and the coordination of funding, investing and liquidity managementactivities are accomplished through several key committees and working groups.A detailed description of the composition of these committees and their rolesand responsibilities is contained in the Treasury Management GovernanceFramework document.

External Study of the Governance Framework

A study was commissioned in 2003–04 to evaluate the Government’s policies,practices and procedures for managing its debt and reserves, with three objectives:assess how the governance of debt and reserves management has evolved over thepast five years; develop a framework for the evaluation of debt and reservesmanagement governance; and test the effectiveness of this framework by using itto evaluate the current governance structure, practices and policies.

23


The study was delivered in February 2004 and is available atwww.fin.gc.ca/treas/goveev/govevrepvol1-e.html. At the end of 2003–04 theDepartment of Finance was evaluating the study’s recommendations; its responsecan be found at www.fin.gc.ca/treas/goveev/govevres-e.html.

Review of the Retail Debt Program

The delivery of the Government’s retail debt program is a collaborative effortbetween Canada Investment and Savings (a special operating agency of theDepartment of Finance), the Financial Sector Policy Branch of the Departmentof Finance and the Bank of Canada.

As part of the Treasury Evaluation Program, the Department of Finance hiredCap Gemini Ernst & Young (CGEY) in September 2003 to assess the retail debtprogram and to provide advice on strategic options for the future. The CGEYreport was delivered in January 2004. This report, along with the departmentalresponse, is available at www.fin.gc.ca/activty/goveval-e.html. At the endof 2003–04 the Department was initiating public opinion research to assess theattitudes of Canadians towards the program and potential changes to it. TheDepartment was also undertaking analysis of expected future costs and benefitsof the program under a number of different program designs.

Further information on the retail debt program and a report of 2003–04 activitiesis available at www.csb.gc.ca.

Review of the Real Return Bond Program

In light of the evolution in the macroeconomic environment and the change in thetarget debt structure to a lower fixed-rate share, the Government announced in the2003–04 Debt Management Strategy that it would assess the real return bond(RRB) program. Work was conducted within the Department of Finance and theBank of Canada to evaluate the RRB program relative to its stated objectives andto other borrowing programs. The report, Real Return Bond Funding Review,is available at www.bankofcanada.ca/en/notices_fmd/rrb2003.htm.

The review found that the program has generally fulfilled its stated objectives.Global issuance of inflation-indexed securities has increased in recent years andis expected to continue to grow. In the context of the overall debt program,continued RRB issuance levels at around current levels should not be an immediateconstraint in maintaining issuance levels of nominal bonds and would have littleeffect on the move to a lower fixed-rate share.

In the 2004–05 Debt Management Strategy, the Government announced thatRRBs would remain a part of its debt program, with expected issuance equal toor marginally higher than the $1.4 billion issued in 2003–04.

25

Debt Strategy Plan and Actions TakenThe following summary chart reports on the 2003–04 debt strategy plan initiatives,their purpose and actions taken. All of the strategic objectives for the managementof the Government’s debt, cash and reserves were achieved over the course of theyear. In addition, complementary initiatives were identified based on consultationswith market participants and acted upon.


Debt Strategy Plan and Actions TakenPlan Purpose Actions Taken

(including initiatives identified through

mid-year consultations)

Gradually reduce thefixed-rate share ofdebt from a target oftwo-thirds to a target of60 per cent over 5 years.

Implement a gradualreduction to the newfixed-rate target:

(a) Increase the size ofthe Treasury bill programfrom about $105 billion in2002–03 to approximately$120 billion in 2003–04.

(b) Issue roughly$40 billion of bonds in2003–04, similar to theamount in 2002–03.

Achieve lower debtcharges, while continuingto prudently mitigate therisk to the budgetframework.

The fixed-rate share wasreduced from 66 per centto 64 per cent over the2003–04 fiscal year.

The stock of Treasurybills outstandingincreased by about$9.0 billion to$113.4 billion.

$39.4 billion of bondswere issued. The stockof outstanding bondsdeclined by $10.9 billionto $258.2 billion due tomaturities and buybackoperations.

Cost and Risk

Implement the cashmanagement bondbuyback (CMBB)program on a regularbasis.

Smooth cashrequirements byreducing peak cashbalances needed toredeem upcominglarge maturities.

Reduce the 2-yearauction size to aminimum of $2.5 billionwhen the benchmark isfungible with a largeoutstanding bond.

Limit the need torefinance a large portionof debt in any givenperiod and maintain astable maturity profile.

Continue to use cross-currency swaps to fundthe reserves.

Maintain a low costof funding forreserve assets.

Three cross-currencyswaps were executed in2003–04, totalling$0.1 billion.

The CMBB program andthe reduction inissuance of 2-yearbonds helped to reducepeaks in maturities andmaintain a stablematurity profile.

27

Maintain currentbenchmark target sizes for2-, 5- and 30-year bonds.

Maintain a liquid marketfor on-the-run issues.

Benchmark bond sizeswere maintained.

Debt Strategy Plan and Actions Taken (cont’d)Plan Purpose Actions Taken



Maintaininga Well-FunctioningMarket

Continue regular issues ofmarketable bonds in fourmaturity sectors, Treasurybills in three maturitysectors and inflation-linked bonds in wholesalemarkets.

Provide liquidity acrossinvestor segments,instruments andmaturities, whichcontributes to managingboth cost and risk.

Issuance schedule andmaturities of past yearswere maintained inTreasury bills, bonds andreal return bonds.

Maintain an annualbenchmark cycle.

Support liquidity in theswap and futures marketand satisfy internationaldemand.

Target ranges for the new10-year benchmark bondsize were lowered from$12 billion-$15 billion to$10 billion-$14 billion tomaintain an annualbenchmark.

Continue a similar levelof bond buybacks as in2002–03 of about$13 billion.

Maintain bond auctionsizes and facilitate marketadjustment to changes inthe bond stock.

Buybacks of 2-, 5-, 10- and30-year bonds totalled$10.2 billion.

Modestly increase theamount of buybacks on aswitch basis and slightlylower the amount of bondsrepurchased on acash basis.

Support effectiveoperation of the buybackprogram and total bondissuance.

Bond repurchases throughthe switch program werein line with the previousyear’s amount of$5.0 billion, whilerepurchases through thecash buyback programfell by $1.9 billion to$5.2 billion.





Participation Continue to borrow on apre-announced basis,seek input from marketparticipants on majoradjustments to programs,and provide timelynotices of governmentpolicy decisions.

Maintain transparencyand efficiency toencourage participation.

The Government’s policyof transparency in debtmanagement activitieswas maintained withmarket participants.

Move Treasury billauctions from 12:30 p.m.to 10:30 a.m. on a trialbasis. Schedule CMBBoperations after Treasurybill auctions.

Enhance bidding andparticipation.

Beginning June 17, 2003,Treasury bill auctionswere moved to 10:30 a.m.and CMBB operationswere moved to followTreasury bill auctions at11:15 a.m.

Broaden the list ofparticipants incollateralized ReceiverGeneral cashmanagement operations.

Reduce exposure tocounterparty credit riskand encourage morecompetitive bidding atcash managementauctions.

The number ofparticipants increasedby 1 to 21 financialinstitutions. Work isongoing to increasefurther the number ofparticipants.

Consider furtherreductions in turnaroundtimes for the publicationof the results ofoperations.

Reduce marketparticipants’ risk.

Following internal work,it was announced in2003–04 that as ofApril 1, 2004, turnaroundtime for auctions andbuybacks would bechanged to a best effortsbasis (i.e. when ready).

29




Governanceof TreasuryActivities

Review the governanceframework for fundsmanagement.

Streamline decision-making processes, andensure effectiveness andaccountability.

Two reviews wereundertaken:

Internal Review: Theframework was revisedto clarify roles andresponsibilities andreport on performance.

External Review: A studyhas been made availableto the public on theDepartment’s Web siteand recommendations arebeing acted upon.

Review the retaildebt program.

Assess the performanceof the retail debt programand strategic optionsgoing forward.

An external review wascompleted in January2004; the full report,including supportingdocumentation, hasbeen made available tothe public on theDepartment’s Web site.An internal review ofrecommendations iscontinuing.

Review the real returnbond (RRB) program.

Assess effectiveness andfit in the bond program.

The program wasreviewed and the reportis available to the publicon the Department’sWeb site. The decision tomaintain the RRBprogram was announcedduring 2003–04.


Part III: Programs and IndicatorsPart III of this report is divided into three main sections: the outcome of operationsand activity with respect to the domestic debt programs; indicators of cashmanagement performance; and measures of reserves funding and investment.It also provides information on the Government’s investor base and reports onexternal evaluations of the debt program.

The indicators are intended to provide information on the key measures usedby government debt managers. As outcomes in virtually all cases are the productof many factors, the measures do not reflect the impact of specific governmentdebt management policies. However, they serve as useful guideposts inhelping to understand the results and context of the Government’s debtmanagement initiatives.

Domestic Debt Programs There are a number of measures of outcomes in the area of domestic debtmanagement. They can be divided into two groups: those associated with thedebt issuance process (the primary market) and those dealing with post-issuancetrade (the secondary market).

Measures of a well-functioning securities market include the degree to whichauctions in the primary market are well bid and the level of liquidity and tradingin the secondary market. In 2003–04 the Government’s Treasury bill and bondauctions continued to be well bid. Primary dealers play the major role at auctionsexcept in the case of RRB auctions, where customers’ winnings exceed thatof primary dealers. The secondary market for Government of Canada securitiescontinues to experience healthy trading volumes and turnover ratios that comparefavourably to those of other countries. Primary dealers also play a major role insecondary markets, with the top 10 participants accounting for about 90 per centof turnover of Treasury bills and bonds.

The bond buyback program continues to be effective in helping to maintain aliquid issuance program and build new benchmarks within a reasonabletime frame.

Primary Market

Program Activity

Nominal Bonds

Gross bond program issuance in 2003–04 was $39.4 billion (see Table 2),lower than the $42.3 billion in 2002–03. Gross issuance consisted of $13.0 billionin 2-year bonds, $10.7 billion in 5-year bonds, $11.5 billion in 10-year bonds and$4.2 billion in 30-year bonds (see Reference Table IX for more information onbond auctions). In 2003–04, $31.7 billion of bonds matured. Taking into accountbuybacks and maturities, net new issuance declined by $10.9 billion duringthe year, reducing the stock of outstanding bonds to $258.2 billion as atMarch 31, 2004.

31

Regular Bond Buyback Program

The objectives of the bond buyback program are to enhance liquidity and maintainactive new issuance in the primary market for Government of Canada securities.

Under cash buybacks, off-the-run bonds are repurchased with cash to sustainlarger auction sizes. Buybacks on a switch basis exchange off-the-run bonds withnew building benchmark securities, thereby adding to the overall liquidity ofthe issues.

Bond buyback operations totalled $10.2 billion in 2003–04, consisting of $6.2 billionin 2- and 5-year bonds, $2.5 billion in 10-year bonds, and $1.5 billion in 30-yearbonds (see Reference Table XII for more information on buyback operations).

On average, buybacks on a cash basis helped to increase sizes of new benchmarksin 2003–04 by $369 million per auction (see Chart 9). Switch buyback operationsin 2003–04 exchanged $5.0 billion of off-the-run bonds for $5.5 billion of newbuilding benchmarks.

Real Return Bonds

RRB issuance in 2003–04 was in line with the previous year’s issuance of$1.4 billion, increasing the level of outstanding RRBs from $19.1 billion (whichincludes the Consumer Price Index [CPI] adjustment) to $20.6 billion as atMarch 31, 2004 (see Table 2). In 2003–04 the Government issued its fourth RRB,a December 1, 2036, maturity. (See Reference Table X for more information onRRB auctions.)


Chart 9Impact of Regular Buyback Programon Benchmark Sizes As of March 31, 2003

$ billions

2-yearDec 2005

2-yearJun 2006

5-yearSep 2008

5-yearSep 2009

10-yearJun 2013

10-yearJun 2014

30-yearJun 2033

2

4

6

8

10

12

14Cash buybackcontribution to newbenchmark size

Switch buybackcontribution to newbenchmark size

Outstandingless buyback


Table 2 Change in Composition of Federal Market Debt, 2003–04

April 1, 2003 March 31, 2004Outstanding New Issues Maturing Repurchase Outstanding Change

($ billions)Domestic debtNominal bonds 269.1 39.4 31.7 25.81 258.2 -10.9Real return bonds 19.12 1.4 0.0 – 20.6 1.53

Treasury bills4 104.4 262.4 253.4 – 113.4 9.0Retail debt 22.6 2.0 3.2 – 21.3 -1.3

Total domestic debt 415.2 413.5 -1.7

Foreign currency debt5

Canada bills 2.6 14.0 13.2 – 3.4 0.8Foreign bonds6 14.0 0.2 1.3 – 12.9 -1.1Canada notes 1.2 0.0 0.0 – 1.2 0.0Euro Medium-Term Notes 3.3 0.0 0.3 – 3.0 -0.3

Total foreign debt 21.1 20.5 -0.6

CPP bonds and notes 3.4 – 0.0 – 3.4 0.0

Obligations related to capital leases 2.7 0.2 0.1 2.8 0.1

Total market debt 442.4 440.2 -2.2

Note: As at March 31, 2004, the total amount of interest rate ($1.6 billion) and cross-currency ($24.6 billion)swaps outstanding stood at $26.2 billion. Cross-currency swaps convert C$-denominated governmentdebt into foreign currency obligations for the purpose of funding the foreign reserves portfolio.

Numbers may not add due to rounding.1 Includes the bond buyback program on a cash and switch basis, and the pilot cash management bond

buyback program.2 Includes a correction to the calculation of CPI adjustment in previous years.3 Includes CPI adjustment.4 These securities are issued at 3-, 6- and 12-month maturities and are therefore rolled over a number of

times during the year for refinancing. This results in a larger number of new issues per year than stockoutstanding at the end of the fiscal year. These amounts include cash management bills.

5 Liabilities are stated at par value at the March 31, 2004, exchange rate. Increases/decreases shown forforeign currency bonds, Canada notes and Euro Medium-Term Notes are due, either partly or fully, to theexchange rate appreciation/depreciation of the currency of issue versus the Canadian dollar.

6 Includes $492.0 million in securities assumed by the Government of Canada on February 5, 2001, on thedissolution of Petro-Canada Limited.


33

Treasury Bills and Cash Management Bills (CMBs)

The stock of outstanding Treasury bills and CMBs increased by $9.0 billion during2003–04 to $113.4 billion at March 31, 2004 (see Table 2), consistent with theorderly move to a lower fixed-rate share of debt. For the entire fiscal year$262.4 billion in Treasury bills and CMBs were auctioned, an increase of$25.7 billion from the previous year (see Table 3). There were $4.0 billion ofCMBs outstanding at the beginning of fiscal 2003–04 and $4.7 billion outstandingat the end of the year. Throughout the year the Government issued $28.5 billionof CMBs of various short-term maturities.

Table 3 Treasury Bill and CMB Program

1998–99 1999–00 2000–01 2001–02 2002–03 2003–04

($ millions)CMBs 25,750 19,700 9,000 7,500 23,750 28,500

3-month Treasury bills 90,800 100,700 88,100 103,300 117,400 129,700

6-month Treasury bills 42,600 46,600 38,600 43,100 47,800 51,900

12-month Treasury bills 39,500 46,600 38,600 43,100 47, 800 51,900

172,900 193,900 165,300 189,500 213,000 233,450Total 198,650 213,600 174,300 197,000 236,750 262,416

Note: Sub-categorization of Government of Canada debt is in accordance with Bank of Canada reports,which may vary slightly from Public Accounts categories due to differences in classification methods.The total outstanding market debt may not equal the sum of the parts due to slight differences betweenthe Bank of Canada’s and Department of Finance’s numbers.

Sources: Bank of Canada and Public Accounts of Canada.

Retail Debt

The level of outstanding debt held by domestic retail investors—Canada SavingsBonds and Canada Premium Bonds—decreased from $22.6 billion to $21.3 billionin 2003–04. Gross sales and redemptions were $2.0 billion and $3.2 billion,respectively, for a net reduction of $1.3 billion in the stock of retail debt.

Bill and Bond Auction Results Indicators

The two conventional measures of auction performance are the auction coverageand tail. These two measures, combined with the yield of the securities issued,describe the quality of an auction in terms of its competitiveness and its impacton the cost of borrowing.

The auction coverage is defined as the total size of bids received divided by theauction size. A cover statistic of one is essential and a higher statistic is generallybetter, as it indicates active bidding and therefore lower costs for the Government.The auction tail is the number of basis points between the highest yield acceptedand the average yield. In this case, smaller is better as it indicates strong biddingand therefore lower costs.


The terms of participation in government auctions require larger dealers(primary dealers) to bid 50 per cent of their calculated bidding limit at reasonableprices. Maximum coverage ratios from primary dealers (which represent about85 per cent of winning bids) could reach a maximum of about 2.6 for bondauctions and 2.4 for Treasury bill and CMB auctions, while minimum coverage,assuming that all primary dealers bid at their minimum bidding limit, would totalabout 1.4 for bond auctions and 1.2 for Treasury bill and CMB auctions.

In 2003–04 coverage remained generally stable for CMB, Treasury bill and bondauctions and declined slightly for RRB auctions compared to the previous fiscalyear. Overall, coverage has remained stable over the last four years (see Table 4).

In 2003–04 tails were generally narrower for Treasury bill and bond auctions thanin the previous year. Overall, tails were narrower in 2003–04 than the 4-yearaverage for all auctions, indicating relatively more competitive bidding at auctions(see Table 4).

Table 4Performance at Auctions

Coverage Tail

2000– 2001– 2002– 2003– 4-yr 2000– 2001– 2002– 2003– 4-yr01 02 03 04 avg. 01 02 03 04 avg.

Treasury bills 3-month 2.1 2.0 2.2 2.2 2.1 1.1 1.3 0.6 0.5 0.86-month 2.3 2.2 2.3 2.2 2.2 0.9 0.8 0.7 0.5 0.712-month 2.2 2.0 2.1 2.1 2.1 1.0 0.9 0.7 0.7 0.8CMBs 2.0 1.9 2.0 2.0 2.0 2.3 1.4 1.4 1.4 1.5

Nominal bonds2-year 2.5 2.3 2.3 2.5 2.4 0.6 0.7 0.7 0.5 0.65-year 2.6 2.4 2.5 2.6 2.5 0.5 0.7 0.7 0.5 0.610-year 2.7 2.5 2.5 2.5 2.5 1.1 0.9 0.8 0.5 0.830-year 2.4 2.5 2.5 2.6 2.5 2.81 1.1 0.7 0.4 1.3

Real return bonds2 3.1 2.8 3.2 2.9 3 n.a. n.a. n.a. n.a. n.a.

Weighted average3 2.3 2.1 2.2 2.2 2.2 1.0 1.1 0.7 0.5 0.8

1 The peak in the average tail for 30-year auctions in 2000–01 is due to one of the two 30-year auctions(April 19, 2000 auction) that had an unusually large tail of 4.4 basis points, which increased the annualaverage to 2.75 basis points.

2 Auction tails for RRBs are not relevant since RRBs are distributed through single-price auctions.3 Weighted average excludes CMBs.


35

Participation at Auctions

This section provides information on participation of government securitiesdistributors (primary dealers and other government securities dealers) andcustomers (institutional investors) in the primary market for Government ofCanada securities. Primary market activity shares are calculated using participants’allotments at auctions during the fiscal year.

Nominal Bonds

In 2003–04 primary dealers (PDs) were allotted 93.4 per cent of nominal bondauctions while customers were allotted 4.7 per cent (see Table 5). The 10 mostactive participants bought 90.9 per cent of the bonds on average. Thesepercentages show a slight increase in concentration of primary dealer allotmentsfrom previous years, continuing a trend of increasing auction shares by thelarger participants.

Table 5Bond Auctions Share of Amount Allotted to Participants(Excluding Real Return Bonds)

Participant Type 2000–01 2001–02 2002–03 2003–04

(%)

PDs 91.5 83.7 91.8 93.4

Non-PDs 2.7 6.4 2.5 1.8

Customers 5.8 9.8 5.6 4.7

Top 10 participants 86.1 84.0 88.7 90.9


Bond Buybacks

Primary dealers are the most active participants in bond buyback operations.Customers’ share of allotments at buybacks is shown as zero, but this likelyunderestimates the level of participation of customers, as they may participate inbuyback operations through dealers without identifying themselves (see Table 6).

Table 6Bond Buyback Operations Share of Amount Allotted to Participants (Excludes Cash Management Bond Buybacks)


(%)

PDs 94.1 86.2 96.4 97.9

Non-PDs 2.4 0.0 1.7 2.1

Customers1 3.5 13.8 1.9 0.0

Top 10 participants 97.1 98.4 94.5 97.41 Results may underestimate customer participation. Contrary to Treasury bill and bond auctions,

customers do not have to inform the Bank of Canada about their participation at buyback operations.



Real Return Bonds

Unlike nominal bond auctions, RRB auctions have more active customerparticipation. Allotments to customers increased from 51.2 per cent in 2002–03 to63.1 per cent in 2003–04. This is largely due to the continuing lack of productavailability in the secondary market, as many RRB investors are buy-and-holdinvestors. The 10 most active participants in RRB auctions were allotted 69.0 percent of the auction, which is in line with historical averages (see Table 7).

Table 7RRB Auctions Share of Amount Allotted to Participants


(%)

PDs 45.5 39.0 47.9 36.1

Non-PDs 2.7 3.9 0.9 0.8

Customers 51.8 57.2 51.2 63.1



Treasury Bills

For 2003–04 primary dealers accounted for 84.2 per cent of amounts allotted atTreasury bill auctions while customers accounted for 14.5 per cent. Customershave steadily seen their share increase over the last four years, while the shareheld by primary dealers has decreased slightly. In 2003–04 the 10 most activeparticipants accounted for 93.7 per cent of amounts allotted at Treasury billauctions (see Table 8).

Table 8Treasury Bills Auctions Share of Amount Allotted to Participants


(%)

PDs 87.6 86.0 84.1 84.2

Non-PDs 1.5 1.6 2.2 1.2

Customers 10.9 12.4 13.6 14.5



37

Cash Management Bills

Primary dealers are the most frequent participants at CMB auctions. In 2003–04primary dealers were awarded 97.8 per cent of the allotted amounts, and the10 most active participants accounted for 99.2 per cent. The average allotmentshare of customers fell to 0.8 per cent from 4.5 per cent in the previous fiscal year(see Table 9).

Table 9CMBs Auctions Share of Amount Allotted to Participants


(%)

PDs 92.9 95.6 93.0 97.8

Non-PDs 4.5 2.3 2.5 1.4

Customers 2.6 2.1 4.5 0.8



Secondary Market

The two conventional measures of liquidity and efficiency in the Governmentof Canada securities market are trading volume and turnover ratio. These twomeasures are presented for bonds (Chart 10 and, for international comparison,Chart 11), Treasury bills (Chart 12), bond repos (Chart 13) and Treasury billrepos (Chart 14).

Trading volume, which shows the amount of securities traded per period, is aconventional indicator of liquidity. Large trading volume allows participantsto buy or sell in the marketplace without a substantial change in the priceof the securities.

Turnover ratio, which is the ratio of securities traded relative to the securitiesoutstanding, is a measure of market efficiency. High turnover implies that a largeamount of securities changes hands over a given period of time, a hallmark of anefficient securities market.

A number of factors affect trading volume and turnover ratio, such as the extent towhich new information changes views in the marketplace and changes in the stockof outstanding securities. Trends in these two measures can be indicators ofchanges in market liquidity and efficiency.

The presence of liquid repo markets and liquid futures contracts also complementsan efficient Government of Canada securities market. A liquid repo market existsin the Government of Canada securities market for Treasury bills and nominalbonds. There is also an active futures contract based on the benchmark 10-yearGovernment of Canada bond. (On May 3, 2004, the Montreal Exchange launched anew futures contract on the benchmark 2-year Government of Canada bond.)


Trading Volume and Turnover Ratios

The volume of transactions in the Government of Canada bond market has grownsignificantly since 1990. Total marketable bond trading volume was $4,561 billion in2003–04, an 18.1-per-cent increase from 2002–03. The average quarterly turnoverratio was 3.8 times the outstanding stock of bonds in 2003–04, compared to 3.1 in2002–03 (see Chart 10).

The Government of Canada bond market compares favourably with other majorsovereign bond markets. The market had an annual stock turnover in 2003 of15.6, behind only the United States, which had a stock turnover level of 41.8(see Chart 11).

1993Q1

1994Q1

1995Q1

1996Q1

1997Q1

1998Q1

1999Q1

2000Q1

2001Q1

2002Q1

2003Q1

2004Q1

1,600

1,400

1,200

1,000

800

600

400

200

0

6

5

4

3

2

1

0

Chart 10Government of Canada Bonds Trading Volume and Turnover RatioC$ billions

Note: Trading volume is total trading volume in each quarter. Turnover ratio is total trading volume in eachquarter/stock.

Trading volume(left scale)

Turnover ratio(right scale)


Chart 11Sovereign Bond Turnover Ratios%

AustraliaUnited States United KingdomCanada JapanNew Zealand

25

30

35

40

45

20

1510

5

0

20001999 2002 20032001

Note: Turnover ratio is total trading volume in each quarter/stock. Comparisons with the UK do not take into account higher issuance levels of inflation-linked bonds compared to other sovereigns.

Sources: Australian Financial Markets Report, Bank of Canada, Federal Reserve Bank of New York, Japan Ministry of Finance, The Bureau of the Public Debt of the U.S., London Stock Exchange, United Kingdom Debt Management Office, Reserve Bank of New Zealand.

39

The volume of transactions in the Treasury bill market improved from the previousfiscal year but remains below the highs in the mid-1990s, when the level of theTreasury bill stock was at its peak. In 2003–04 total Treasury bill turnover was$1,290 billion (see Chart 12).

Both Government of Canada bond repos and Treasury bill repos remained active in2003–04. The total turnover for Government of Canada bond repos in 2003–04 was$17,745 billion, down from $18,164 billion in 2002–03. The average quarterlyturnover ratio for bond repos in 2003–04 was 15.0 times compared to 14.8 times in2002–03 (see Chart 13). The Treasury bill repo market volume in 2003–04 was$2,710 billion and the average quarterly turnover ratio was 6.0 (see Chart 14).Turnover and trading volume were in line with the stock of Treasury bill decreasesin the late 1990s.

1993Q1

1994Q1

1995Q1

1996Q1

1997Q1

1998Q1

1999Q1

2000Q1

2001Q1

2002Q1

2003Q1

2004Q1

1,400

1,200

1,000

800

600

400

200

0

8

6

7

5

4

3

2

1

0

Chart 12Government of Canada Treasury Bills Trading Volume and Turnover RatioC$ billions

Note: Trading volume is total trading volume in each quarter. Turnover ratio is total trading volume in each quarter/stock.





The trading volume of futures contracts in 2003–04 maintained the levels of previousyears. The futures contract based on the 10-year Government of Canada bond(the Canadian Government Bond contract or CGB contract) continues to beactively traded, as trading volume reached 2.4 million in 2003, a 32.9-per-centincrease from 2002.

1994Q1

1995Q1

1996Q1

1997Q1

1998Q1

1999Q1

2000Q1

2001Q1

2002Q1

2003Q1

2004Q1

8,000

7,000

6,000

5,000

4,000

3,000

2,000

1,000

0

25

20

15

10

5

0

Chart 13Government of Canada Bond Repos Trading Volume and Turnover RatioC$ billions





1994Q1

1995Q1

1996Q1

1997Q1

1998Q1

1999Q1

2000Q1

2001Q1

2002Q1

2003Q1

2004Q1

1,200

1,000

800

600

400

200

0

12

10

8

6

4

2

0

Chart 14Government of Canada Treasury Bill Repos Trading Volume and Turnover RatioC$ billions





41

Trading by Market Participants

Bonds

Primary dealers’ share of bond trading decreased from 2002–03 while non-primarydealers’ share increased, but the levels have remained fairly stable over the lastfour years. The 10 most active participants in the bond secondary market represent95.1 per cent of trading activities (see Table 10).

Table 10Bonds Trading: Market Share of Participants


(%)

PDs 93.5 94.0 93.3 92.6

Non-PDs 6.5 6.0 6.7 7.4



Treasury Bills

Primary dealers have become the main traders in the Treasury bill secondary marketand represent 98.4 per cent of total trading volume. The 10 most active participantsin the Treasury bill secondary market represent 99.2 per cent of trading activities(see Table 11).

Table 11Treasury Bill Trading: Market Share of Participants


(%)

PDs 98.3 98.3 98.4 98.4

Non-PDs 1.7 1.7 1.6 1.6



Cash ManagementReceiver General (RG) cash balances, the Government’s Canadian-dollar balances,fluctuate widely over the year with variations in the Government’s financialoperations, periodic large maturities of Government of Canada bonds, the operationsof the Bank of Canada and changes in market conditions. The primary objective is tohold the lowest level of cash balances, consistent with ensuring funds are availableto meet daily requirements with an appropriate margin for uncertainty.


Treasury managers use a number of indicators with respect to cash managementactivities, including the average level of cash balances, coverage and tail at RGauctions, the performance of participants at RG auctions, effectiveness of the cashmanagement bond buyback program, and the cost of carry.

Average Daily Cash Balances

Average daily cash balances increased in 2003–04 to $7.9 billion (see Table 12) asa result of larger bond maturities relative to the previous fiscal year.

Table 12Average Daily RG Cash Balances Held at Financial Institutions

1999–00 2000–01 2001–02 2002–03 2003–04

($ millions)

Average daily cash balances 9,021 10,188 7,921 6,139 7,854


Coverage and Tails

In 2003–04 RG coverage improved from the previous fiscal year for both AMand PM auctions, and was above the rolling four-year average (see Table 13).The results are a continuation of the trend from the previous year, when thenew RG collateralization framework was introduced to encourage moreparticipation in AM auctions.

In 2003–04 AM auction tails widened by more than half a basis point from theprevious year but were roughly in line with the four-year average. PM auctiontails remained stable, below the average of the last four years.

Table 13Performance at Receiver General Auctions

2000–01 2001–02 2002–03 2003–04 4-yr. avg.

AM auctionsCoverage 2.53 2.42 3.29 3.38 2.83Tail 1.18 2.28 0.91 1.68 1.51

PM auctionsCoverage 1.78 2.27 2.31 2.53 2.17Tail 4.81 2.58 3.04 3.09 3.54


43

Participation

In the first full year under a collateralized framework, the participant base at RGauctions widened, with non-LVTS (Large Value Transfer System) institutions, whichwere not eligible participants under the previous framework, becoming more active.The top 10 LVTS participants won 76 per cent of RG auctions on average in 2003–04,while other participants gained 24 per cent of the amount allotted (see Table 14).

Table 14Receiver General Auctions Share of Amount Allotted Between LVTS and Other Participants


(%)

Top 10 LVTS 97.4 98.5 91.0 76.0

Top 10 others 0.0 0.0 7.1 23.8


Cash Management Bond Buyback Program

The cash management bond buyback (CMBB) program helps manage theGovernment’s cash requirements by reducing the high levels of government cashbalances needed. The program also helps to smooth variations in Treasury billauction sizes over the year.

In 2003–04 the total amount of bonds repurchased through the CMBB programwas $15.7 billion, compared to $12.9 billion in 2002–03. The CMBB program loweredthe December 2003 maturity by 48 per cent to $6.7 billion. The program alsorepurchased $5.4 billion in bonds from the June 2004 bond, reducing the maturingamount to $10.0 billion. Overall, large maturities in 2003–04 were lowered by46 per cent, dropping the Government’s cost of holding high levels of cash balancesfor key coupon and maturity payment dates (see Chart 15).

Chart 15Impact of CMBB Operations on the Government’s Large Payments As of March 31, 2004

$ billions25

0

5

10

15

20

RepurchasedCoupons Maturities after CMBBs

Jun 2003 Sep 2003 Dec 2003 Jun 2004 Sep 2004 Dec 2004



Cost of Carry

The key measure for the management of cash balances is the net return on cashbalances: the difference between the return on government balances auctioned tofinancial institutions (typically around the overnight rate) and the average yieldpaid on Treasury bills. A normal upward sloping yield curve results in a cost ofcarry, as financial institutions pay rates of interest for government deposits basedon an overnight rate that is lower than the rate paid by the Government to borrowfunds. Conversely, under an inverted yield curve, short-term deposit rates arehigher than the average of 3- to 12-month Treasury bill rates, which can result ina net gain for the Government.

In 2003–04 the financial impact of holding RG cash balances was a net cost of$0.4 million, compared to a net cost of $12.4 million for the prior fiscal year(see Chart 16). The cost of carry was offset by gains during the year made dueto shifts in the short end of the yield curve from a normal upward sloping shapeto an inverted shape.

1992–93-20

-15

-10

-5

0

5

10

15

Chart 16Cost (-) or Gain (+) of Carry for Cash Balances$ millions

Average cost of $4 million

1993–94 1994–95 1995–96 1996–97 1997–98 1998–99 1999–00 2001–02 2002–03 2003–042000–01


45

Foreign Currency Debt Programs

Canada Bills

In 2003–04 the level of outstanding Canada bills increased from $2.6 billion(US$1.8 billion) to $3.4 billion (US$2.6 billion)—see Table 2. In 2003–04 Canadabills were issued, on average, at an all-in cost of US$LIBOR less 15-25 basis points.

Foreign Currency Bonds

There was no new foreign bond issuance and there were no maturities in 2003–04.The total outstanding was $12.9 billion (US$9.8 billion).

Canada Notes

There was no new Canada note issuance and there were no maturities in 2003–04.The total outstanding was $1.2 billion (US$1.0 billion).

Euro Medium-Term Notes

In 2003–04 no new Euro Medium-Term Notes were issued, while a total of$0.09 billion (US$0.07 billion) matured. The total outstanding decreased from$3.3 billion (US$2.2 billion) to $3.0 billion (US$2.4 billion).

Cross-Currency Swaps

In 2003–04 the Government of Canada raised $0.14 billion (US$0.1 billion) tofund the foreign exchange reserves by entering into three cross-currency swaps.A limited number of cross-currency swaps were issued compared to previous fiscalyears due to the Government’s small funding requirements in 2003–04. A total of$3.3 billion (US$2.5 billion) of swaps matured in 2003–04. At the end of the2003–04 fiscal year, the outstanding amount of cross-currency swaps totalled$24.6 billion (US$18.8 billion) (see Reference Table XI for transaction details).Taking into account the effect of cross-currency swaps, foreign currencyobligations were 10.0 per cent of market debt.

Funding and Investment of Reserves

The main measures in the area of the funding and investment of reserves are thecosts of the liabilities and the cost of carry on the asset/liability portfolio.

Liability Costs: In 2003–04 the sources of reserve funding were Canada billsand cross-currency swaps. Canada bills were issued, on average, at an all-in costof US$LIBOR less 15-25 basis points—generally in line with funding levelsof recent years.

In the case of cross-currency swaps, the Government raised reserve assets atUS$LIBOR less 34 basis points on average in 2003–04, in line with recent years.


Carry: One objective in managing the Exchange Fund Account (EFA) is tominimize the cost of carrying reserves. The EFA must be invested in liquid,high-quality, fixed-income securities, which provide a relatively low rate of return.In recent years policy changes have been made to broaden the eligible asset mix,within prudent limits, and to invest more in euro-denominated assets. Thesemeasures have helped to increase portfolio returns. Further means used tominimize the carry of the EFA have been the use of cross-currency swaps,which are highly cost-effective compared to other sources of funds, and thesecurities-lending program.

The carry on the foreign reserves is currently assessed by subtracting the interestpaid on Canada’s foreign currency liabilities from interest earned on the reserveassets (i.e. the net interest earned or paid) and expressing this value as apercentage of total assets held. When net realized gains (due to gains onUS-dollar and euro asset sales) are taken into consideration, the overall carryof the total EFA portfolio in 2003–04 is estimated at +50.3 basis points comparedto +64.5 basis points in 2002–03.2 (The 2003 Report on the Managementof Canada’s Official International Reserves, available atwww.fin.gc.ca/toce/2004/oir04_e.html, provides further informationon the performance of the EFA.)

Holdings of Government of Canada DebtA diversified investor base helps to keep funding costs low by ensuring there isactive demand for Government of Canada securities. The Government pursuesdiversification of its investor base by maintaining a domestic wholesale debtprogram that is attractive to a wide range of investors, offering a retail debtprogram that provides savings products to suit the needs of individual Canadians,and using a broad array of funding sources in its foreign borrowings.

In 2003 life insurance companies and pension funds accounted for the largestshare of holdings of Government of Canada market debt (21.9 per cent). This isfollowed by public and other financial institutions such as investment dealers andmutual funds (19.6 per cent) and foreign investors (15.9 per cent)—see Chart 17.Taken together, they accounted for close to 60 per cent of total holdings.

Reference Table IV shows the evolution of the distribution of domestic holdings ofGovernment of Canada debt since 1976, and illustrates that the holdings havebecome more diversified over that period.

2 These numbers are significantly higher than the numbers reported in previous years due to a changein the methodology to include realized gains/losses on the sale of assets.

47

External Evaluations of Debt Management Policiesand ActivitiesThe Department of Finance has an ongoing treasury evaluation process to assessdebt management effectiveness. The Department uses external evaluations toassess policies and operational decisions in the area of debt management in orderto inform future decision making and contribute to public transparency and goodgovernance. Independent evaluators are contracted to carry out the evaluations.

As noted earlier in Part II in the section entitled “Governance of TreasuryActivities,” two evaluations were undertaken in 2002–03, focusing on the retaildebt program and on the governance of debt and reserves management. Table 15lists all of the external studies undertaken of the debt management program.

Chart 17Distribution of Holdings of Government of Canada Market DebtAs of March 31, 2004

Persons andunincorporated

businesses5.1%

Non-financialcorporations

1.8%

Bank of Canada9.3%

Chartered banks15.5%

Quasi-banks0.8%

Life insurancecompanies,

pension funds23.2%

Public andother financial

institutions19.6%

All levels ofgovernment

8.8%

Foreigninvestors15.9%

Source: Statistics Canada, National Balance Sheet Accounts.


Table 15Treasury Evaluation Reports, 1992–2004

Area Year

Debt Management Objectives 1992Debt Structure—Fixed/Floating Mix 1992Internal Review Process 1992External Review Process 1992Benchmarks and Performance Measures 1994Foreign Currency Borrowing—Canada Bills Program 1994Developing Well-Functioning Bond and Bill Markets 1994Liability Portfolio Performance Measurement 1994Retail Debt Program 1994Guidelines for Dealing With Auction Difficulties 1995Foreign Currency Borrowing—Standby Line of Credit and FRN 1995Treasury Bill Program Design 1995Real Return Bond Program 1998Foreign Currency Borrowing Programs 1998Initiatives to Support a Well-Functioning Wholesale Market 2001Debt Structure Target/Modelling 2001Reserves Management Framework 2002Bond Buybacks 2003Funds Management Governance Framework 2004Retail Debt Program 2004

Note: The last two reports are available online at www.fin.gc.ca.


49

Annex 1—Composition of the Federal Debt

Gross Debt

Gross debt is made up of market debt and non-market debt. At the end of March2004 gross debt totalled $701.1 billion, up $1.0 billion from the previous year anddown $14.7 billion from its peak of $715.8 billion in 1999–2000.

Market Debt

Market debt is the portion of gross debt that is funded in the capital markets andmanaged by the Government. Market debt consists of marketable bonds, Treasurybills, foreign currency denominated bonds and bills, retail debt, bonds held by theCanada Pension Plan (CPP) and obligations related to capital leases. Foreigncurrency debt is issued on an opportunistic basis. At March 31, 2004, marketdebt outstanding was $440.2 billion, down $2.2 billion from the previous year(see Chart A1).

Non-Market Debt

Non-market debt includes liabilities held by the Government, outside the capitalmarkets. This includes money owed to public sector pensions, the CPP, andemployees and veterans for future benefits, as well as other liabilities, accountspayable and accrued liabilities and allowances. In 2003–04 non-market debtamounted to $260.9 billion, up $3.2 billion from 2002–03.

Chart A1Evolution of Gross Debt and Market Debt$ billions

1987–88 1989–90 1991–92 1993–94 1995–96 1997–98 1999–00 2001–02 2003–04

800

700

600

500

400

300

200

100

0


Gross debt

Market debt


Net Debt

Net debt is gross debt minus financial assets. Financial assets include cash, foreignexchange accounts and loans. Net debt declined by $8.5 billion, from $564.8 billionin 2002–03 to $556.3 billion in 2003–04. The Government’s financial assetsincreased by $9.5 billion to $144.8 billion, as the decrease in foreign exchangereserves was more than offset by increases in the Government’s cash balances,tax receivable, loans, investments and advances.

Federal Debt

Federal debt, or the accumulated deficit, is net debt minus non-financial assets.Non-financial assets include tangible capital assets, inventories and prepaidexpenses. Federal debt declined by $9.1 billion, from $510.6 billion in 2002–03 to$501.5 billion in 2003–04. The Government’s non-financial assets increased by only$0.6 billion to $54.8 billion, as the increase in tangible capital assets was offsetsomewhat by a decrease in prepaid expenses.

51

Annex 2—Managing the Risksof Holding Cash and ReservesIn recent years the Government has put in place frameworks to manage financialrisk, particularly its exposure to the financial institution counterparties with whichit transacts in the management of its Receiver General cash balances and foreignexchange reserves.

The Government’s risk management policies, supported by a financial risk officeat the Bank of Canada, call for prudent management of treasury risks based onbest practices. Risk tolerances are low, calling for market risk to be immunizedto the greatest extent possible and the maintenance of high credit quality andportfolio diversification standards.

Foreign currency reserve assets and the liabilities financing these assets have beenmanaged together on a portfolio basis since 1998, based on principles used byprivate sector financial institutions. The Government uses an asset-liabilitymatching framework, whereby assets and liabilities financing these assets arematched (as closely as possible) in currency and duration, so that the Governmentis not exposed to currency and interest rate risks. The risk of material loss arisingfrom interest and/or currency risk is very low.

In the late 1990s the Government also developed a rigorous, comprehensive creditrisk system that is consistent with best practices and includes credit exposurelimits pertaining to issuers and counterparties across all lines of business. Themanagement of Canadian-dollar cash balances and the investment of reserveassets are governed by detailed investment and credit guidelines approved by theMinister of Finance. The guidelines limit the Government’s credit exposure tocommercial financial institution counterparties and to the issuer of securities heldby the Government in the foreign currency reserve portfolio.

More recently the Government has further strengthened its risk managementframework by implementing collateral management frameworks. Collateralmanagement systems are increasingly the norm in capital markets as a way ofmanaging credit risk. Under these frameworks, high-quality collateral (e.g. cash,securities) is posted to the Government when credit risk to financial institutioncounterparties exceeds specified limits.

Collateral Framework for Investment of Canadian-Dollar Cash Balances

A collateralized framework for AM auctions was implemented in September 2002.The new framework strengthens the management of the credit risks involved inthe investment of cash balances through the use of credit ratings, credit lines andcollateral agreements, and increases competition in the auction of cash balancesby opening the AM auctions to a wider range of participants. The number ofeligible participants has increased from 13 to 21 institutions. The PM auctionremains unchanged. Please see the Bank of Canada Web page atwww.bankofcanada.ca/en/auction/rec_general.pdf for further information.


Collateral Framework for Swapsand Foreign Currency Cash Balances

Cross-currency swaps of domestic obligations have been used since March 1995 tofund the foreign exchange reserves. Swaps are highly cost-effective compared toother sources of foreign currency funding. The Government’s swap portfolio hasincreased significantly and as of March 31, 2004, it stood at $24.6 billion.

To mitigate the counterparty credit risk associated with swaps, the Governmentimplemented a collateral management framework in April 2002. High-qualitycollateral is posted to the Government if individual credit exposures, arising fromchanges in the mark-to-market values of swap contracts, exceed pre-set limits.As of March 31, 2004, the swap collateral framework included 12 financialinstitution counterparties.

In addition to the swap collateral framework, in the latter part of 2002–03,the Government developed a US-dollar repo program to reduce the use ofuncollateralized short-term US-dollar deposits with commercial banks. Under therepo framework, collateral is posted to the Government to protect US-dollar cashinvested with financial institution counterparties. As of March 31, 2004, theGovernment had signed seven counterparties to its US-dollar repo framework.

Amendment of Investment and Risk Guidelines

With the implementation of a collateral management framework for theGovernment’s cross-currency swap program, in 2002 the Government modified itscredit guidelines to accept A-rated financial institutions as eligible counterpartiesfor foreign currency deposits and swaps. This change helped the Governmentfurther diversify its investments across financial institution counterparties withoutincreasing risk significantly. Credit exposure to A-rated financial institutions ismaintained within prudent standards, consistent with best practices of comparablesovereigns and major market participants.

The investment guidelines governing the management of the reserves assetportfolio were also modified in 2002 to allow a limited amount of securities ofA-rated sovereigns to be held within prudent limits (previously the Governmentcould only invest in AA- and AAA-rated sovereigns), mirroring the change toallow limited exposure to A-rated financial counterparties involved in reservesmanagement. This change is in line with the investment practices of a number ofOrganisation for Economic Co-operation and Development sovereigns and allowsthe Government to further diversify its reserves investment portfolio.

Maintenance of Supplementary Liquidity

In August 2002 the Government successfully renegotiated its existing US$6-billionstandby credit facility with international banks. The standby facility providessupplementary liquidity to meet the Government’s needs in the event that marketdisruption makes borrowing through securities markets impossible. Under therenewal of the facility, the composition of the banks in the facility was changed,and the maturity date was extended from 2003 to 2007. No other changes weremade to the terms of the facility.

Annex 3—Glossarybasis point: One-hundredth of a percentage point (0.01 per cent).

benchmark bond: Specific issue outstanding within each class of maturities. It isconsidered by the market to be the standard against which all other bonds issuedin that class are evaluated.

bid: Price a buyer is willing to pay.

bid-offer spread: The difference between bid and offer prices. It is typicallymeasured in basis points.

budgetary surplus: Occurs when government annual revenues exceed annualbudgetary expenses. A deficit is the shortfall between government annualrevenues and annual budgetary expenses.

cash management: Control by the Bank of Canada of settlement balancesthrough increases or decreases in the amount of cash balances supplied toLVTS participants in relation to the amount demanded in order to reinforce theBank’s target interest rate.

compound interest bond (C-bond): A Canada Savings Bond or CanadaPremium Bond on which interest accrues and is compounded annually to maturityor until redeemed.

Exchange Fund Account: A fund maintained by the Government of Canada forthe purpose of promoting order and stability of the Canadian dollar in the foreignexchange market. This function is fulfilled by purchasing foreign exchange (sellingCanadian dollars) when there is upward pressure on the value of the Canadiandollar and selling foreign exchange (buying Canadian dollars) when there isdownward pressure on the currency.

financial source/requirement: Measures the difference between the cashcoming in to the Government and the cash going out. In the case of a financialrequirement, it is the amount of new borrowing required from outside lenders tomeet the Government’s financing needs in any given year.

foreign exchange reserves: Stocks of foreign exchange assets(e.g. interest-earning bonds) held by sovereign states to support the value ofthe domestic currency. Canada’s foreign exchange reserves are held in theExchange Fund Account.

Government of Canada securities auction: A process used for sellingGovernment of Canada debt securities (mostly marketable bonds andTreasury bills) in which issues are sold by public tender to governmentsecurities distributors.

government securities distributors (GSDs): Members of a group ofinvestment dealers and banks through which the Government distributesGovernment of Canada Treasury bills and marketable bonds.

53

inflation: A persistent rise over time in the average price of goods and services.

interest-bearing debt: Consists of unmatured debt, or market debt, and theGovernment’s liabilities to internally held accounts such as federal employees’pension plans.

Large Value Transfer System (LVTS): An electronic system for the transfer oflarge-value or time-critical payments.

marketable bond: A Canadian government debt security that is non-cashableprior to maturity, but whose ownership may be transferred from one holder toanother on the open market.

marketable debt: Market debt that is issued by the Government of Canada andsold via public tender or syndication. These issues can be traded betweeninvestors while outstanding.

monetary policy: A policy that seeks to improve the performance of the economyby regulating money supply and credit.

money market: The market in which short-term capital is raised, invested andtraded using financial instruments such as Treasury bills, bankers’ acceptances,commercial paper, and bonds maturing in one year or less.

offer: Price at which a seller is willing to sell.

overnight rate; overnight financing rate; overnight money market rate;overnight lending rate: The rate at which major participants in the moneymarket borrow and lend one-day funds to each other.

primary dealers (PDs): Members of the core group of government securitiesdistributors that maintain a certain threshold of activity in the market forGovernment of Canada securities. The primary dealer classification can beattained in either Treasury bills or marketable bonds, or both.

primary market: The market in which securities are initially sold or offered.

regular interest bond (R-bond): A Canada Savings Bond or Canada PremiumBond on which interest is paid annually by cheque or by direct deposit to maturityor until redeemed.

repo; repurchase agreement: A transaction in which a party sells a security andsimultaneously agrees to repurchase it at a given price after a specified time.

secondary market: The market in which previously issued securities are traded,as distinguished from the new issue or primary market.

turnover ratio: Volume of securities traded as a percentage ofsecurities outstanding.

yield curve: The levels of interest rates from short- to long-term maturities.


Annex 4—Contact InformationDepartment of Finance CanadaFinancial Sector Policy BranchFinancial Markets Division140 O’Connor St., 20th Floor, East TowerOttawa, Canada K1A 0G5Telephone: (613) 992-9031Fax: (613) 943-2039

55

57

Reference Tables

I Gross Public Debt, Outstanding Market Debt and Debt Charges . . . . . . . 59

II Government of Canada Outstanding Market Debt . . . . . . . . . . . . . . . . . . . 60

III Average Weekly Domestic Market Trading in Government of CanadaSecurities, April 2003 to March 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

IV Distribution of Domestic Holdings of Government of Canada Securities . 62

V Non-Resident (Direct) Holdings of Government of Canada Debt . . . . . . . 68

VI Fiscal 2003–04 Treasury Bill Program . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

VII Fiscal 2003–04 Treasury Bill Auction Results . . . . . . . . . . . . . . . . . . . . . . 71

VIII Fiscal 2003–04 Canadian-Dollar Marketable Bond Program . . . . . . . . . . . 72

IX Fiscal 2003–04 Marketable Bond Auction Results . . . . . . . . . . . . . . . . . . . 74

X Outstanding Government of Canada Canadian-Dollar Marketable Bonds as at March 31, 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . 75

XI Government of Canada Swaps Outstanding as at March 31, 2004 . . . . . . 77

XII Bond Buyback Program—Operations in 2003–04 . . . . . . . . . . . . . . . . . . . 82

XIII Canada Savings Bonds and Canada Premium Bonds, Fiscal 1983–84 to Fiscal 2003–04 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87

XIV Crown Corporation Borrowings as at March 31, 2004 . . . . . . . . . . . . . . . . 88

59

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igat

ions

.

Sou

rces

: Pub

lic A

ccou

nts

of C

anad

a, B

ank

of C

anad

a R

evie

w, D

epar

tmen

t of F

inan

ce e

stim

ates

.

Ref

eren

ce T

able

IIG

over

nmen

t of C

anad

a O

utst

andi

ng M

arke

t Deb

t

Pay

able

in C

anad

ian

do

llars

Pay

able

in f

ore

ign

curr

enci

es

To

tal

Tre

asur

yM

arke

tab

leR

etai

lC

PP

Mar

keta

ble

Can

ada

Can

ada

Sta

ndb

yT

erm

mar

ket

Fis

cal y

ears

bill

sb

ond

sd

ebt

bo

nds

To

tal

bo

nds

bill

sno

tes1

dra

win

gs

loan

sT

ota

ld

ebt

(C$

milli

ons)

1977

–78

11,2

9521

,645

18,0

3684

51,0

6018

10

085

00

1,03

151

,664

1978

–79

13,5

3526

,988

19,4

4396

60,0

623,

319

00

2,78

21,

115

7,21

666

,640

1979

–80

16,3

2533

,387

18,1

8211

368

,007

3,31

20

035

91,

030

4,70

172

,021

1980

–81

21,7

7040

,976

15,9

6613

678

,848

3,23

60

035

51,

046

4,63

783

,138

1981

–82

19,3

7543

,605

25,1

0815

488

,242

3,86

70

00

550

4,41

7 93

,167

1982

–83

29,1

2548

,473

32,7

5317

111

0,52

24,

872

00

036

25,

234

116,

562

1983

–84

41,7

0056

,976

38,4

0318

913

7,26

84,

306

00

510

398

5,21

414

2,90

119

84–8

552

,300

69,3

5442

,167

205

164,

026

4,97

20

01,

909

1,17

28,

053

172,

719

1985

–86

61,9

5081

,163

44,6

0744

518

8,16

59,

331

00

2,23

32,

247

13,8

1120

1,22

919

86–8

776

,950

94,5

2043

,854

1,79

621

7,12

09,

120

1,04

50

02,

047

12,2

1222

8,61

119

87–8

881

,050

103,

899

52,5

582,

492

239,

999

8,43

81,

045

00

2,25

711

,740

250,

809

1988

–89

102,

700

115,

748

47,0

483,

005

268,

501

6,67

21,

131

00

934

8,73

727

6,30

119

89–9

011

8,55

012

7,68

140

,207

3,07

228

9,51

04,

364

1,44

60

00

5,81

029

4,56

219

90–9

113

9,15

014

3,60

133

,782

3,49

232

0,02

53,

555

1,00

80

00

4,56

332

3,90

319

91–9

215

2,30

015

8,05

935

,031

3,50

134

8,89

13,

535

00

00

3,53

535

1,88

519

92–9

316

2,05

017

8,43

633

,884

3,50

537

7,87

52,

926

2,55

20

00

5,47

838

2,74

119

93–9

416

6,00

020

3,37

330

,866

3,49

740

3,73

65,

019

5,64

90

00

10,6

6841

3,97

519

94–9

516

4,45

022

5,51

330

,756

3,48

842

4,20

77,

875

9,04

60

00

16,9

2144

0,99

819

95–9

616

6,10

025

2,41

130

,801

3,47

845

2,79

09,

514

6,98

631

00

016

,810

469,

547

1996

–97

135,

400

282,

059

32,9

113,

468

453,

838

12,4

608,

436

2,12

10

023

,017

476,

852

1997

–98

112,

300

293,

987

30,3

023,

456

440,

045

14,5

909,

356

3,17

60

027

,122

467,

291

1998

–99

96,9

5029

4,91

428

,810

4,06

342

4,73

719

,655

10,1

716,

182

00

36,0

0846

0,42

719

99–0

099

,850

293,

250

27,1

153,

427

423,

642

21,4

646,

008

5,16

80

032

,640

456,

406

2000

–01

88,7

0029

3,87

926

,457

3,40

441

2,44

020

,509

7,22

85,

695

00

33,4

3244

5,72

420

01–0

294

,200

292,

910

24,2

293,

386

414,

725

19,6

523,

355

4,40

50

027

,412

442,

137

2002

–03

104,

600

286,

289

22,8

783,

369

417,

136

14,4

122,

603

4,53

30

021

,548

436,

684

2003

–04

113,

400

276,

022

21,5

213,

351

414,

294

20,5

233,

364

1,08

50

024

,972

439,

266

Not

e: S

ubca

tego

rizat

ion

of G

over

nmen

t of C

anad

a de

bt is

in a

ccor

danc

e w

ith B

ank

of C

anad

a re

port

s, w

hich

may

var

y sl

ight

ly fr

om P

ublic

Acc

ount

s ca

tego

ries

due

todi

ffere

nces

in c

lass

ifica

tion

met

hods

. The

tota

l out

stan

ding

mar

ket d

ebt m

ay n

ot e

qual

the

sum

of t

he p

arts

due

to s

light

diff

eren

ces

betw

een

the

Ban

k of

Can

ada’

san

dD

epar

tmen

t of F

inan

ce’s

num

bers

.1

Incl

udes

EM

TNs.

Sou

rces

: Ban

k of

Can

ada

Rev

iew

, Dep

artm

ent o

f Fin

ance

.

60 DEBT MANAGEMENT REPORT – 2003–2004

Ref

eren

ce T

able

III

Ave

rage

Wee

kly

Dom

estic

Mar

ket T

radi

ng in

Gov

ernm

ent o

f Can

ada

Sec

uriti

es, A

pril

2003

to M

arch

200

4

Mar

keta

ble

bo

nds

Rea

lT

ota

l3

year

s3

to 1

0O

ver

retu

rnm

arke

tab

leT

reas

ury

bill

san

d u

nder

year

s10

yea

rsb

ond

sb

ond

sT

ota

l

($ m

illion

s)

Apr

il 20

0322

,555

35,1

0936

,682

6,87

137

779

,039

101,

594

May

200

320

,535

37,4

2541

,998

10,7

3230

390

,458

110,

993

June

200

322

,976

39,5

5954

,823

9,43

046

810

4,28

012

7,25

6

July

200

324

,091

34,8

5753

,167

7,92

033

296

,276

120,

367

Aug

ust 2

003

22,7

3829

,844

41,3

076,

514

228

77,8

9310

0,63

1

Sep

tem

ber

2003

24,6

8639

,767

39,8

316,

231

267

86,0

9611

0,78

2

Oct

ober

200

323

,631

35,9

5439

,675

7,64

529

983

,573

107,

204

Nov

embe

r 20

0323

,744

32,6

5837

,109

7,56

221

277

,541

101,

285

Dec

embe

r 20

0327

,154

26,9

0833

,554

6,04

045

366

,955

94,1

09

Janu

ary

2004

25,0

0938

,429

42,2

0710

,718

477

91,8

3111

6,84

0

Febr

uary

200

426

,511

38,9

2042

,681

8,03

339

290

,026

116,

537

Mar

ch 2

004

27,6

7136

,903

45,8

918,

777

343

91,9

1411

9,58

5

Sou

rce:

Ban

k of

Can

ada,

Ban

king

and

Fin

anci

al S

tatis

tics.

61


Ref

eren

ce T

able

IVD

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

P

AR

T A

—Tr

easu

ry B

ills, C

anad

a B

ills, B

onds

,1C

anad

a S

avin

gs B

onds

and

Can

ada

Pre

miu

m B

onds

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llY

ear

unin

corp

ora

ted

No

n-fin

anci

alB

ank

of

Cha

rter

edQ

uasi

-an

d p

ensi

on

finan

cial

leve

ls o

fen

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

Fo

reig

nT

ota

l5

($ m

illion

s)

1976

17,9

3239

58,

242

8,66

671

61,

436

2,27

373

01,

652

42,0

4219

7720

,277

321

10,2

689,

601

1,04

82,

271

3,11

41,

014

2,18

550

,099

1978

22,7

2340

312

,001

9,89

61,

537

3,73

84,

017

1,72

14,

770

60,8

0619

7923

,144

374

13,6

5610

,156

1,68

46,

716

4,10

32,

878

5,95

668

,667

1980

24,2

5355

515

,858

10,0

022,

771

9,27

45,

561

4,24

87,

630

80,1

5219

8133

,425

520

17,1

0010

,003

2,45

210

,569

5,34

24,

194

9,10

292

,707

1982

42,3

202,

267

15,4

2811

,233

3,28

813

,151

9,17

74,

654

10,7

3711

2,25

519

8350

,306

5,50

216

,859

15,1

075,

551

17,8

169,

984

5,32

112

,091

138,

537

1984

60,7

486,

783

17,1

8415

,164

4,88

724

,039

11,9

787,

166

16,2

0516

4,15

419

8574

,331

7,38

715

,668

15,1

985,

706

31,0

6815

,086

10,1

0621

,608

196,

158

1986

71,0

736,

259

18,3

7417

,779

7,27

734

,887

18,4

1411

,293

33,0

6021

8,41

619

8783

,732

8,59

120

,201

16,0

126,

400

38,8

7019

,547

13,9

1836

,462

243,

733

1988

86,5

918,

634

20,6

0621

,115

7,49

242

,460

19,0

2817

,186

51,1

3427

4,24

619

8981

,566

11,4

0221

,133

20,8

049,

854

48,0

3723

,950

17,8

4061

,707

296,

293

1990

80,0

7911

,797

20,3

2524

,224

10,4

6052

,984

26,0

5119

,574

72,5

8631

8,08

019

9172

,945

11,5

8022

,370

35,7

9212

,091

57,8

4633

,054

21,0

1582

,553

349,

246

1992

70,9

3013

,696

22,6

0744

,555

12,4

2862

,042

39,3

9620

,222

88,8

7837

4,75

419

9361

,221

10,3

5923

,498

60,2

4211

,229

69,9

1745

,321

18,3

9710

8,84

740

9,03

119

9452

,842

12,0

3924

,902

70,0

639,

992

78,5

4552

,847

24,9

6711

0,08

043

6,27

719

9548

,867

12,0

4823

,590

76,5

6010

,947

87,4

6759

,044

26,3

2411

6,54

346

1,39

019

9646

,187

10,0

1325

,556

74,7

8910

,952

90,1

7471

,514

24,8

2811

8,47

447

2,48

719

9739

,924

10,4

7027

,198

67,7

157,

054

94,9

9179

,445

25,5

0911

2,86

546

5,17

119

9833

,537

8,52

527

,911

66,3

756,

659

99,6

8779

,895

28,1

7410

6,76

345

7,52

619

9937

,118

9,29

029

,075

54,0

807,

944

108,

656

81,2

5728

,394

102,

263

458,

077

2000

33,2

599,

062

31,7

2658

,269

2,84

210

8,75

273

,911

30,2

8091

,477

439,

578

2001

33,9

797,

643

37,2

0465

,396

3,56

199

,744

76,4

8234

,341

80,9

7443

9,32

420

0222

,860

8,41

738

,859

66,0

573,

307

97,4

6381

,521

33,4

3688

,237

440,

157

2003

21,4

557,

827

40,3

9867

,434

3,60

510

1,09

685

,176

38,1

8468

,065

433,

240

Ref

eren

ce T

able

IV (c

ont’d

)D

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

PA

RT

B —

Trea

sury

Bills

, Can

ada

Bills

, Bon

ds,1

and

Can

ada

Sav

ings

Bon

ds a

nd C

anad

a P

rem

ium

Bon

ds

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llY

ear

unin

corp

ora

ted

No

n-fin

anci

alB

ank

of

Cha

rter

edQ

uasi

-an

d p

ensi

on

finan

cial

leve

ls o

fen

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

Fo

reig

nT

ota

l5

(%)

1976

42.6

50.

9419

.60

20.6

11.

703.

425.

411.

743.

9310

0.00

1977

40.4

70.

6420

.50

19.1

62.

094.

536.

222.

024.

3610

0.00

1978

37.3

70.

6619

.74

16.2

72.

536.

156.

612.

837.

8410

0.00

1979

33.7

00.

5419

.89

14.7

92.

459.

785.

984.

198.

6710

0.00

1980

30.2

60.

6919

.78

12.4

83.

4611

.57

6.94

5.30

9.52

100.

0019

8136

.05

0.56

18.4

510

.79

2.64

11.4

05.

764.

529.

8210

0.00

1982

37.7

02.

0213

.74

10.0

12.

9311

.72

8.18

4.15

9.56

100.

0019

8336

.31

3.97

12.1

710

.90

4.01

12.8

67.

213.

848.

7310

0.00

1984

37.0

14.

1310

.47

9.24

2.98

14.6

47.

304.

379.

8710

0.00

1985

37.8

93.

777.

997.

752.

9115

.84

7.69

5.15

11.0

210

0.00

1986

32.5

42.

878.

418.

143.

3315

.97

8.43

5.17

15.1

410

0.00

1987

34.3

53.

528.

296.

572.

6315

.95

8.02

5.71

14.9

610

0.00

1988

31.5

73.

157.

517.

702.

7315

.48

6.94

6.27

18.6

510

0.00

1989

27.5

33.

857.

137.

023.

3316

.21

8.08

6.02

20.8

310

0.00

1990

25.1

83.

716.

397.

623.

2916

.66

8.19

6.15

22.8

210

0.00

1991

20.8

93.

326.

4110

.25

3.46

16.5

69.

466.

0223

.64

100.

0019

9218

.93

3.65

6.03

11.8

93.

3216

.56

10.5

15.

4023

.72

100.

0019

9314

.97

2.53

5.74

14.7

32.

7517

.09

11.0

84.

5026

.61

100.

0019

9412

.11

2.76

5.71

16.0

62.

2918

.00

12.1

15.

7225

.23

100.

0019

9510

.59

2.61

5.11

16.5

92.

3718

.96

12.8

05.

7125

.26

100.

0019

969.

782.

125.

4115

.83

2.32

19.0

815

.14

5.25

25.0

710

0.00

1997

8.58

2.25

5.85

14.5

61.

5220

.42

17.0

85.

4824

.26

100.

0019

987.

331.

866.

1014

.51

1.46

21.7

917

.46

6.16

23.3

310

0.00

1999

8.10

2.03

6.35

11.8

11.

7323

.72

17.7

46.

2022

.32

100.

0020

007.

572.

067.

2213

.26

0.65

24.7

416

.81

6.89

20.8

110

0.00

2001

7.73

1.74

8.47

14.8

90.

8122

.70

17.4

17.

8218

.43

100.

0020

025.

191.

918.

8315

.01

0.75

22.1

418

.52

7.60

20.0

510

0.00

2003

5.10

1.80

9.31

15.5

40.

8323

.30

19.6

38.

8015

.69

100.

00

63


Ref

eren

ce T

able

IV (c

ont’d

)D

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

PA

RT

C —

Trea

sury

Bills

and

Can

ada

Bills

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llun

inco

rpo

rate

dN

on-

finan

cial

Ban

k o

fC

hart

ered

Qua

si-

and

pen

sio

n fin

anci

alle

vels

of

Yea

r en

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

To

tal5

($ m

illion

s)

1976

171

125

1,96

44,

219

5244

515

193

7,28

319

7739

413

62,

461

4,94

914

398

1,02

031

19,

512

1978

576

198

3,56

75,

517

193

261

1,55

451

912

,385

1979

785

165

4,34

56,

690

6524

51,

550

843

14,6

8819

801,

493

288

5,31

77,

500

619

460

2,43

11,

512

19,6

2019

811,

019

369

5,43

18,

597

343

560

2,18

71,

082

19,5

8819

821,

237

1,93

02,

483

10,0

341,

357

1,24

45,

008

1,19

924

,492

1983

3,76

65,

146

2,59

512

,879

3,18

02,

587

5,37

61,

286

36,8

1519

847,

454

6,27

53,

515

12,9

972,

792

3,87

66,

544

2,49

845

,951

1985

13,3

406,

517

3,98

512

,629

3,65

13,

924

8,12

94,

136

56,3

1119

8616

,158

4,87

57,

967

15,1

614,

709

3,59

210

,164

3,41

666

,042

1987

17,7

337,

232

9,68

211

,498

3,72

54,

806

9,58

95,

002

69,2

6719

8820

,213

7,41

49,

945

15,2

245,

614

7,64

89,

133

7,72

682

,917

1989

29,1

569,

668

11,1

2417

,410

8,11

69,

664

12,9

089,

251

107,

297

1990

36,4

6110

,756

10,5

7417

,841

8,97

611

,737

13,2

989,

388

119,

031

1991

30,4

2310

,437

13,0

9324

,382

9,08

912

,386

17,6

3610

,417

127,

863

1992

32,9

0111

,254

14,6

3427

,989

9,64

613

,639

19,9

078,

726

138,

696

1993

27,4

599,

657

16,8

7629

,901

9,22

217

,085

22,3

367,

151

139,

687

1994

17,5

628,

499

18,9

7330

,415

6,87

914

,376

22,0

2110

,631

129,

356

1995

16,2

969,

204

18,2

9830

,865

7,76

015

,315

25,1

8310

,603

133,

524

1996

10,4

748,

285

17,5

9323

,470

5,49

313

,520

32,7

526,

264

117,

851

1997

5,96

66,

858

14,2

3319

,448

3,13

38,

944

32,6

533,

803

95,0

3819

981,

291

6,21

510

,729

16,7

132,

392

4,52

932

,508

3,57

877

,955

1999

8,53

96,

662

8,58

49,

814

3,23

48,

128

36,9

323,

497

85,3

9020

007,

568

6,73

58,

090

6,18

868

57,

222

31,0

875,

108

72,6

8320

018,

744

6,99

011

,427

9,96

967

510

,401

37,1

546,

838

92,1

9820

0255

15,

894

11,6

3918

,869

708

12,7

6840

,087

7,11

597

,631

2003

987

5,26

811

,733

26,1

5086

315

,196

40,8

437,

647

108,

687

Ref

eren

ce T

able

IV (c

ont’d

)D

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

PA

RT

D—

Trea

sury

Bills

and

Can

ada

Bills

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llun

inco

rpo

rate

dN

on-

finan

cial

Ban

k o

fC

hart

ered

Qua

si-

and

pen

sio

n fin

anci

alle

vels

of

Yea

r en

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

To

tal5

(%)

1976

2.35

1.72

26.9

757

.93

0.71

0.60

7.07

2.65

100.

0019

774.

141.

4325

.87

52.0

31.

501.

0310

.72

3.27

100.

0019

784.

651.

6028

.80

44.5

51.

562.

1112

.55

4.19

100.

0019

795.

341.

1229

.58

45.5

50.

441.

6710

.55

5.74

100.

0019

807.

611.

4727

.10

38.2

33.

152.

3412

.39

7.71

100.

0019

815.

201.

8827

.73

43.8

91.

752.

8611

.16

5.52

100.

0019

825.

057.

8810

.14

40.9

75.

545.

0820

.45

4.90

100.

0019

8310

.23

13.9

87.

0534

.98

8.64

7.03

14.6

03.

4910

0.00

1984

16.2

213

.66

7.65

28.2

86.

088.

4414

.24

5.44

100.

0019

8523

.69

11.5

77.

0822

.43

6.48

6.97

14.4

47.

3410

0.00

1986

24.4

77.

3812

.06

22.9

67.

135.

4415

.39

5.17

100.

0019

8725

.60

10.4

413

.98

16.6

05.

386.

9413

.84

7.22

100.

0019

8824

.38

8.94

11.9

918

.36

6.77

9.22

11.0

19.

3210

0.00

1989

27.1

79.

0110

.37

16.2

37.

569.

0112

.03

8.62

100.

0019

9030

.63

9.04

8.88

14.9

97.

549.

8611

.17

7.89

100.

0019

9123

.79

8.16

10.2

419

.07

7.11

9.69

13.7

98.

1510

0.00

1992

23.7

28.

1110

.55

20.1

86.

959.

8314

.35

6.29

100.

0019

9319

.66

6.91

12.0

821

.41

6.60

12.2

315

.99

5.12

100.

0019

9413

.58

6.57

14.6

723

.51

5.32

11.1

117

.02

8.22

100.

0019

9512

.20

6.89

13.7

023

.12

5.81

11.4

718

.86

7.94

100.

0019

968.

897.

0314

.93

19.9

14.

6611

.47

27.7

95.

3210

0.00

1997

6.28

7.22

14.9

820

.46

3.30

9.41

34.3

64.

0010

0.00

1998

1.66

7.97

13.7

621

.44

3.07

5.81

41.7

04.

5910

0.00

1999

10.0

07.

8010

.05

11.4

93.

799.

5243

.25

4.10

100.

0020

0010

.41

9.27

11.1

38.

510.

949.

9442

.77

7.03

100.

0020

019.

487.

5812

.39

10.8

10.

7311

.28

40.3

07.

4210

0.00

2002

0.56

6.04

11.9

219

.33

0.73

13.0

841

.06

7.29

100.

0020

030.

914.

8510

.80

24.0

60.

7913

.98

37.5

87.

0410

0.00

65


Ref

eren

ce T

able

IV (c

ont’d

)D

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

PA

RT

E—

Bon

ds1

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llun

inco

rpo

rate

dN

on-

finan

cial

Ban

k o

fC

hart

ered

Qua

si-

and

pen

sio

n fin

anci

alle

vels

of

Yea

r en

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

To

tal5

($ m

illion

s)

1976

17,7

6127

06,

278

4,44

766

41,

392

1,75

853

733

,107

1977

19,8

8318

57,

807

4,65

290

52,

173

2,09

470

338

,402

1978

22,1

4720

58,

434

4,37

91,

344

3,47

72,

463

1,20

243

,651

1979

22,3

5920

99,

311

3,46

61,

619

6,47

12,

553

2,03

548

,023

1980

22,7

6026

710

,541

2,50

22,

152

8,81

43,

130

2,73

652

,902

1981

32,4

0615

111

,669

1,40

62,

109

10,0

093,

155

3,11

264

,017

1982

41,0

8333

712

,945

1,19

91,

931

11,9

074,

169

3,45

577

,026

1983

46,5

4035

614

,264

2,22

82,

371

15,2

294,

608

4,03

589

,631

1984

53,2

9450

813

,669

2,16

72,

095

20,1

635,

434

4,66

810

1,99

819

8560

,991

870

11,6

832,

569

2,05

527

,144

6,95

75,

970

118,

239

1986

54,9

151,

384

10,4

072,

618

2,56

831

,295

8,25

07,

877

119,

314

1987

65,9

991,

359

10,5

194,

514

2,67

534

,064

9,95

88,

916

138,

004

1988

66,3

781,

220

10,6

615,

891

1,87

834

,812

9,89

59,

460

140,

195

1989

52,4

101,

734

10,0

093,

394

1,73

838

,373

11,0

428,

589

127,

289

1990

43,6

181,

041

9,75

16,

383

1,48

441

,247

12,7

5310

,186

126,

463

1991

42,5

221,

143

9,27

711

,410

3,00

245

,460

15,4

1810

,598

138,

830

1992

38,0

292,

442

7,97

316

,566

2,78

248

,403

19,4

8911

,496

147,

180

1993

33,7

6270

26,

622

30,3

412,

007

52,8

3222

,985

11,2

4616

0,49

719

9435

,280

3,54

05,

929

39,6

483,

113

64,1

6930

,826

14,3

3619

6,84

119

9532

,571

2,84

45,

292

45,6

953,

187

72,1

5233

,861

15,7

2121

1,32

319

9635

,713

1,72

87,

963

51,3

195,

459

76,6

5438

,762

18,5

6423

6,16

219

9733

,958

3,61

212

,965

48,2

673,

921

86,0

4746

,792

21,7

0625

7,26

819

9832

,246

2,31

017

,182

49,6

624,

267

95,1

5847

,387

24,5

9627

2,80

819

9928

,579

2,62

820

,491

44,2

664,

710

100,

528

44,3

2524

,897

270,

424

2000

25,6

912,

327

23,6

3652

,081

2,15

710

1,53

042

,824

25,1

7227

5,41

820

0125

,235

653

25,7

7755

,427

2,88

689

,343

39,3

2827

,503

266,

152

2002

22,3

092,

523

27,2

2047

,188

2,59

984

,695

41,4

3426

,321

254,

289

2003

20,4

682,

559

28,6

6541

,284

2,74

285

,900

44,3

3330

,537

256,

488

Ref

eren

ce T

able

IV (c

ont’d

)D

istr

ibut

ion

of D

omes

tic H

oldi

ngs

of G

over

nmen

t of C

anad

a S

ecur

ities

PA

RT

F—B

onds

1

Life

insu

ranc

eP

ublic

Per

sons

and

com

pan

ies

and

oth

erA

llun

inco

rpo

rate

dN

on-

finan

cial

Ban

k o

fC

hart

ered

Qua

si-

and

pen

sio

n fin

anci

alle

vels

of

Yea

r en

db

usin

esse

sco

rpo

ratio

nsC

anad

ab

anks

ban

ks2

fund

sin

stitu

tions

3g

ove

rnm

ent4

To

tal5

(%)

1976

53.6

50.

8218

.96

13.4

32.

014.

205.

311.

6210

0.00

1977

51.7

80.

4820

.33

12.1

12.

365.

665.

451.

8310

0.00

1978

50.7

40.

4719

.32

10.0

33.

087.

975.

642.

7510

0.00

1979

46.5

60.

4419

.39

7.22

3.37

13.4

75.

324.

2410

0.00

1980

43.0

20.

5019

.93

4.73

4.07

16.6

65.

925.

1710

0.00

1981

50.6

20.

2418

.23

2.20

3.29

15.6

34.

934.

8610

0.00

1982

53.3

40.

4416

.81

1.56

2.51

15.4

65.

414.

4910

0.00

1983

51.9

20.

4015

.91

2.49

2.65

16.9

95.

144.

5010

0.00

1984

52.2

50.

5013

.40

2.12

2.05

19.7

75.

334.

5810

0.00

1985

51.5

80.

749.

882.

171.

7422

.96

5.88

5.05

100.

0019

8646

.03

1.16

8.72

2.19

2.15

26.2

36.

916.

6010

0.00

1987

47.8

20.

987.

623.

271.

9424

.68

7.22

6.46

100.

0019

8847

.35

0.87

7.60

4.20

1.34

24.8

37.

066.

7510

0.00

1989

41.1

71.

367.

862.

671.

3730

.15

8.67

6.75

100.

0019

9034

.49

0.82

7.71

5.05

1.17

32.6

210

.08

8.05

100.

0019

9130

.63

0.82

6.68

8.22

2.16

32.7

511

.11

7.63

100.

0019

9225

.84

1.66

5.42

11.2

61.

8932

.89

13.2

47.

8110

0.00

1993

21.0

40.

444.

1318

.90

1.25

32.9

214

.32

7.01

100.

0019

9417

.92

1.80

3.01

20.1

41.

5832

.60

15.6

67.

2810

0.00

1995

15.4

11.

352.

5021

.62

1.51

34.1

416

.02

7.44

100.

0019

9615

.12

0.73

3.37

21.7

32.

3132

.46

16.4

17.

8610

0.00

1997

13.2

01.

405.

0418

.76

1.52

33.4

518

.19

8.44

100.

0019

9811

.82

0.85

6.30

18.2

01.

5634

.88

17.3

79.

0210

0.00

1999

10.5

70.

977.

5816

.37

1.74

37.1

716

.39

9.21

100.

0020

009.

330.

848.

5818

.91

0.78

36.8

615

.55

9.14

100.

0020

019.

480.

259.

6920

.83

1.08

33.5

714

.78

10.3

310

0.00

2002

8.77

0.99

10.7

018

.56

1.02

33.3

116

.29

10.3

510

0.00

2003

7.98

1.00

11.1

816

.10

1.07

33.4

917

.28

11.9

110

0.00

Not

e: B

ecau

se o

f tim

ing

and

valu

atio

n di

ffere

nces

, The

Nat

iona

l Bal

ance

She

et A

ccou

nts

data

con

tain

ed in

this

tabl

e ar

e no

t nec

essa

rily

on th

e sa

me

basi

s as

oth

er d

ata

else

whe

re in

this

pub

licat

ion

(mos

t of t

he d

ata

in th

is r

epor

t are

on

a pa

r-va

lue

basi

s—th

at is

, out

stan

ding

sec

uriti

es a

re v

alue

d at

par

). Fo

r th

is r

easo

n, a

lthou

gh th

etw

ose

ts o

f dat

a yi

eld

very

sim

ilar

info

rmat

ion,

the

data

in th

is ta

ble

are

not s

tric

tly c

ompa

rabl

e w

ith o

ther

dat

a in

this

pub

licat

ion.

1In

clud

es b

onds

den

omin

ated

in fo

reig

n cu

rren

cies

.2

Incl

udes

Que

bec

savi

ngs

bank

s, c

redi

t uni

ons

and

cais

ses

popu

laire

s, tr

ust c

ompa

nies

and

mor

tgag

e lo

an c

ompa

nies

.3

Incl

udes

inve

stm

ent d

eale

rs, m

utua

l fun

ds, p

rope

rty

and

casu

alty

insu

ranc

e co

mpa

nies

, sal

es, f

inan

ce a

nd c

onsu

mer

loan

com

pani

es, a

ccid

ent a

nd s

ickn

ess

bran

ches

of li

fe in

sura

nce

com

pani

es, o

ther

priv

ate

finan

cial

inst

itutio

ns (n

ot e

lsew

here

incl

uded

), fe

dera

l pub

lic fi

nanc

ial i

nstit

utio

ns, a

nd p

rovi

ncia

l fin

anci

al in

stitu

tions

.4

Incl

udes

Gov

ernm

ent o

f Can

ada

hold

ings

of i

ts o

wn

debt

, pro

vinc

ial,

mun

icip

al a

nd h

ospi

tal h

oldi

ngs,

and

hol

ding

s of

the

Can

ada

Pen

sion

Pla

n an

d th

e Q

uebe

c P

ensi

onP

lan.

5M

ay n

ot a

dd d

ue to

rou

ndin

g.

Sou

rce:

Sta

tistic

s C

anad

a, T

he N

atio

nal B

alan

ce S

heet

Acc

ount

s.

67


Ref

eren

ce T

able

V

Non

-Res

iden

t (D

irect

) Hol

ding

s of

Gov

ernm

ent o

f Can

ada

Deb

t

To

tal

Tre

asur

y b

ills

and

as p

er c

ent

of

As

at M

arch

31

Mar

keta

ble

bo

nds1

Can

ada

bill

sT

ota

lto

tal m

arke

t d

ebt2

(C$

billio

ns)

(%)

1979

5.0

0.9

5.9

1980

5.6

0.7

6.3

1981

6.8

1.1

7.9

1982

8.8

1.1

9.9

1983

10.0

1.6

11.6

1984

10.3

2.6

12.9

1985

14.5

4.6

19.1

1986

22.1

3.0

25.1

12.4

1987

30.3

4.7

35.0

15.2

1988

33.0

9.3

42.3

16.8

1989

41.3

15.7

57.0

20.5

1990

49.9

13.3

63.2

21.4

1991

57.6

16.1

73.7

22.7

1992

63.6

23.0

86.6

24.5

1993

80.1

28.3

108.

428

.219

9479

.334

.011

3.3

27.3

1995

73.7

39.2

112.

925

.519

9684

.137

.712

1.8

25.8

1997

91.8

27.7

119.

424

.919

9894

.320

.011

4.3

24.4

1999

86.6

19.4

106.

022

.920

0085

.714

.299

.921

.820

0183

.510

.594

.020

.920

0274

.07.

481

.418

.320

0380

.78.

589

.220

.220

0457

.09.

266

.215

.0

Not

e: N

umbe

rs m

ay n

ot a

dd d

ue to

rou

ndin

g.1

Incl

udes

bon

ds d

enom

inat

ed in

fore

ign

curr

enci

es.

2In

clud

es c

apita

l lea

se o

blig

atio

ns. F

or th

e 19

79–1

985

perio

d, m

arke

t deb

t dat

a (in

clud

es c

apita

l lea

ses)

is u

nava

ilabl

e.

Sou

rce:

Sta

tistic

s C

anad

a, C

anad

a’s

Inte

rnat

iona

l Tra

nsac

tions

in S

ecur

ities

.

Ref

eren

ce T

able

VI

Fisc

al 2

003–

04 T

reas

ury

Bill

Pro

gram

Set

tlem

ent

Mat

urin

gN

ew is

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Net

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emen

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ge

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er y

ield

s

dat

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tal

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($ m

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29-O

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050

050

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69


Ref

eren

ce T

able

VI (

cont

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Fisc

al 2

003–

04 T

reas

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Bill

Pro

gram

Set

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Mat

urin

gN

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Net

incr

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ge

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er y

ield

s

dat

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tal

CM

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lC

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000

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2,30

013

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2.71

2.77

2.93

26-N

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000

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000

13,6

0011

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68

27-N

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69

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01,

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3,90

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ank

of C

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ce T

able

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al 2

003–

04 T

reas

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Bill

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Res

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2.34

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Apr

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33

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0.5

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1,90

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36

1,90

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May

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33

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0.2

6-M

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098

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000

99.6

953.

191

2.16

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Jun-

2003

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2003

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000

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1.94

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2003

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000

98.5

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2.35

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317

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312

2,00

097

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2.96

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003

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312

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3C

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099

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-200

33

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099

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3C

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099

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Sep

-200

33

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099

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-200

312

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269

0.6

23-S

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003

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99.3

222.

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623

-Sep

-200

36

2,10

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amou

nt a

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ned.

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l is

defin

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e hi

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ted

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Cas

h m

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t bill.

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rce:

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003

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10.

27-

Oct

-200

36

2,00

098

.710

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0.5

21-O

ct-2

003

122,

100

97.3

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621

-Oct

-200

33

5,30

099

.293

2.65

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0.6

21-O

ct-2

003

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100

98.7

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80.

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-Oct

-200

3C

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64-

Nov

-200

312

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097

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600

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1.83

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74-

Nov

-200

36

2,20

098

.685

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31.

893

0.3

18-N

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003

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300

97.2

642.

933

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718

-Nov

-200

33

5,90

099

.277

2.71

41.

994

0.5

18-N

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003

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300

98.7

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1.88

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119

-Nov

-200

3C

3,00

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003

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000

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-Nov

-200

3C

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.948

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71.

821

1.3

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003

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100

97.2

292.

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20.

72-

Dec

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00U

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01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

592

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

62.0

0E

UR

01-D

ec-0

562

.00

EU

R01

-Dec

-05

92.0

0E

UR

01-D

ec-0

582

.00

EU

R01

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50.0

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SD

01-D

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550

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US

D01

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50.0

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554

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US

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01-M

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EU

R01

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92.0

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EU

R

Ref

eren

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XI (

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illion

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01-M

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EU

R01

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62.0

0E

UR

01-M

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662

.00

EU

R01

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50.0

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01-M

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654

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US

D01

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62.0

0E

UR

01-O

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662

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EU

R01

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50.0

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D01

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62.0

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01-D

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662

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EU

R01

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92.0

0E

UR

01-D

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692

.00

EU

R01

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55.0

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01-M

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731

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EU

R01

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62.0

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UR

01-J

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762

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EU

R01

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123.

00E

UR

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EU

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250.

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D01

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EU

R01

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62.0

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UR

01-O

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762

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EU

R01

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31.0

0E

UR

01-M

ar-0

892

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EU

R01

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62.0

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875

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US

D01

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US

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62.0

0E

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EU

R01

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62.0

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01-J

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EU

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250.

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US

D01

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50.0

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01-J

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850

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US

D30

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50.0

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01-O

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892

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EU

R01

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92.0

0E

UR

01-O

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862

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EU

R01

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62.0

0E

UR

01-O

ct-0

870

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US

D01

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70.0

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01-O

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850

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US

D01

-Mar

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92.0

0E

UR

01-M

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962

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EU

R01

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70.0

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01-M

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965

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US

D01

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50.0

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US

D01

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50.0

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950

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US

D01

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100.

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01-M

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975

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US

D01

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62.0

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UR

01-J

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992

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EU

R01

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62.0

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UR

01-J

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EU

R

79


Ref

eren

ce T

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XI (

cont

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EU

R01

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92.0

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01-J

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US

D01

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70.0

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US

D01

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US

D01

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123.

00E

UR

01-O

ct-0

962

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EU

R01

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62.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

62.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

92.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

62.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

62.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

62.0

0E

UR

01-O

ct-0

962

.00

EU

R01

-Oct

-09

92.0

0E

UR

01-O

ct-0

981

.00

US

D01

-Oct

-09

81.0

0U

SD

01-O

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970

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US

D01

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83.0

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SD

01-O

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975

.00

US

D01

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62.0

0E

UR

01-M

ar-1

062

.00

EU

R

01-M

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062

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EU

R01

-Mar

-10

62.0

0E

UR

01-M

ar-1

092

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EU

R01

-Jun

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62.0

0E

UR

01-J

un-1

062

.00

EU

R01

-Jun

-10

49.0

0E

UR

01-J

un-1

037

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EU

R01

-Jun

-10

62.0

0E

UR

01-J

un-1

062

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EU

R01

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-10

62.0

0E

UR

01-J

un-1

062

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EU

R01

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-10

62.0

0E

UR

01-J

un-1

062

.00

EU

R01

-Jun

-10

62.0

0E

UR

01-J

un-1

062

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EU

R01

-Jun

-10

62.0

0E

UR

01-J

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062

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EU

R01

-Jun

-10

62.0

0E

UR

01-J

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062

.00

EU

R01

-Jun

-10

62.0

0E

UR

01-J

un-1

062

.00

EU

R01

-Jun

-10

77.0

0JP

Y01

-Oct

-10

49.0

0E

UR

01-O

ct-1

092

.00

EU

R01

-Oct

-10

62.0

0E

UR

01-O

ct-1

062

.00

EU

R01

-Oct

-10

62.0

0E

UR

01-O

ct-1

062

.00

EU

R01

-Oct

-10

92.0

0E

UR

01-O

ct-1

092

.00

EU

R01

-Oct

-10

92.0

0E

UR

01-O

ct-1

050

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US

D01

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75.0

0U

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Ref

eren

ce T

able

XI (

cont

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Gov

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Out

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(US

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D01

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US

D01

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50.0

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01-J

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162

.00

EU

R01

-Jun

-11

62.0

0E

UR

01-J

un-1

192

.00

EU

R01

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75.0

0U

SD

01-J

un-1

150

.00

US

D01

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50.0

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01-J

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.00

US

D01

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50.0

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01-J

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150

.00

US

D

01-J

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150

.00

US

D01

-Jun

-11

50.0

0U

SD

01-J

un-1

262

.00

EU

R01

-Jun

-12

62.0

0E

UR

01-J

un-1

250

.00

US

D01

-Jun

-12

50.0

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SD

01-J

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250

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US

D01

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50.0

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01-J

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250

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US

D01

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50.0

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325

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US

D01

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Not

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umbe

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81


Ref

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XII

Bon

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Ope

ratio

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bac

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dat

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oun

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dat

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oup

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amo

unt

(%)

($ m

illion

s)(%

)($

milli

ons)

Buy

bac

k o

n ca

sh b

asis

May

7, 2

003

Mar

ch 1

, 201

19.

0030

Mar

ch 1

5, 2

014

10.2

511

Mar

ch 1

5, 2

021

10.5

053

June

1, 2

021

9.75

27Ju

ne 1

, 202

29.

2534

To

tal

154

May

28,

200

3Ju

ne 1

, 200

77.

2580

Oct

ober

1, 2

007

13.0

04

June

1, 2

008

6.00

381

Oct

ober

1, 2

008

11.7

53

Mar

ch 1

, 200

911

.50

7Ju

ne 1

, 200

95.

5015

Oct

ober

1, 2

009

10.7

510

To

tal

500

June

11,

200

3M

arch

1, 2

005

12.0

01

Sep

tem

ber

1, 2

005

6.00

276

Sep

tem

ber

1, 2

005

12.2

54

Mar

ch 1

, 200

612

.50

2D

ecem

ber

1, 2

006

7.00

392

June

1, 2

007

7.25

25T

ota

l70

0

July

9, 2

003

Mar

ch 1

5, 2

021

10.5

010

June

1, 2

021

9.75

114

June

1, 2

022

9.25

50Ju

ne 1

, 202

38.

0044

June

1, 2

025

9.00

24Ju

ne 1

, 202

78.

0060

To

tal

301

Aug

ust

6, 2

003

Mar

ch 1

5, 2

014

10.2

538

Mar

ch 1

5, 2

021

10.5

035

June

1, 2

021

9.75

8T

ota

l81

Aug

ust

27, 2

003

June

1, 2

007

7.25

228

June

1, 2

008

6.00

265

Oct

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008

11.7

57

To

tal

500

Sep

tem

ber

17,

200

3D

ecem

ber

1, 2

006

7.00

112

June

1, 2

007

7.25

135

To

tal

247

Oct

ob

er 1

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003

Mar

ch 1

, 201

09.

754

June

1, 2

010

5.50

200

June

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011

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25Ju

ne 1

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18.

503

Mar

ch 1

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014

10.2

527

June

1, 2

015

11.2

527

Mar

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021

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013

June

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9.75

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4

No

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200

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86.

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3M

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11.5

01

June

1, 2

009

5.50

145

June

1, 2

009

11.0

022

Oct

ober

1, 2

009

10.7

51

June

1, 2

010

5.50

250

June

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16T

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0

Ref

eren

ce T

able

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(con

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(%)

($ m

illion

s)(%

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milli

ons)

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emb

er 1

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003

Sep

tem

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1, 2

005

6.00

147

Sep

tem

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1, 2

006

5.75

150

Oct

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006

14.0

0Ju

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, 200

77.

2550

Oct

ober

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007

13.0

05

June

1, 2

008

6.00

50Ju

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810

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11T

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l41

4

Janu

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004

Mar

ch 1

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021

10.5

02

June

1, 2

021

9.75

1Ju

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29.

252

June

1, 2

023

8.00

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59.

005

June

1, 2

027

8.00

70T

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l10

5

Feb

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4M

arch

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2Ju

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16.

0050

Mar

ch 1

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014

10.2

531

June

1, 2

015

11.2

521

June

1, 2

021

9.75

239

June

1, 2

022

9.25

10T

ota

l35

4

Feb

ruar

y 18

, 200

4M

arch

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008

12.7

52

June

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6.00

25Ju

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810

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32M

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11.5

03

June

1, 2

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5.50

75Ju

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911

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6M

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tal

155

Mar

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004

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612

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8S

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200

65.

7522

5M

arch

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13.7

51

June

1, 2

007

7.25

200

Mar

ch 1

, 200

812

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4Ju

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86.

0021

6Ju

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, 200

810

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43T

ota

l69

6G

rand

To

tal

5,17

0

Buy

bac

k o

n sw

itch

bas

isA

pri

l 9, 2

003

Mar

ch 1

5, 2

021

10.5

02

June

1, 2

021

9.75

181

June

1, 2

022

9.25

71Ju

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38.

001

June

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025

9.00

31Ju

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78.

007

To

tal

293

Ap

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003

Dec

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200

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0025

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713

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8Ju

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77.

2514

9M

arch

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12.7

58

June

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008

6.00

165

June

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10.0

07

Mar

ch 1

, 200

911

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36O

ctob

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0

May

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3S

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512

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24D

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8.75

175

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tal

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83


Ref

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able

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(con

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illion

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milli

ons)

June

19,

200

3M

arch

1, 2

011

9.00

14M

arch

15,

201

410

.25

148

June

1, 2

015

11.2

525

6T

ota

l41

8

July

16,

200

3D

ecem

ber

1, 2

006

7.00

125

June

1, 2

007

7.25

50Ju

ne 1

, 200

86.

0026

5O

ctob

er 1

, 200

910

.75

1T

ota

l44

1

July

30,

200

3D

ecem

ber

1, 2

006

7.00

75Ju

ne 1

, 200

77.

2511

0T

ota

l18

5

Aug

ust

20, 2

003

Mar

ch 1

5, 2

021

10.5

075

June

1, 2

021

9.75

28Ju

ne 1

, 202

29.

2525

June

1, 2

023

8.00

113

June

1, 2

025

9.00

58T

ota

l29

9

Sep

tem

ber

25,

200

3Ju

ne 1

, 201

05.

5010

0Ju

ne 1

, 201

09.

5012

Mar

ch 1

, 201

19.

006

Mar

ch 1

5, 2

014

10.2

515

3Ju

ne 1

, 201

511

.25

166

June

1, 2

022

9.25

27T

ota

l46

4

Oct

ob

er 8

, 200

3Ju

ne 1

, 200

77.

2565

Mar

ch 1

, 200

812

.75

30Ju

ne 1

, 200

86.

0023

7Ju

ne 1

, 200

810

.00

4M

arch

1, 2

009

11.5

050

Oct

ober

1, 2

009

10.7

56

To

tal

392

No

vem

ber

5, 2

003

Mar

ch 1

5, 2

021

10.5

06

June

1, 2

021

9.75

31Ju

ne 1

, 202

29.

2527

June

1, 2

025

9.00

135

To

tal

199

Dec

emb

er 1

0, 2

003

June

1, 2

011

6.00

450

June

1, 2

011

8.50

20Ju

ne 1

, 201

511

.25

12Ju

ne 1

, 202

19.

754

June

1, 2

022

9.25

2T

ota

l48

8

Janu

ary

21, 2

004

June

1, 2

007

7.25

4Ju

ne 1

, 200

86.

0041

9Ju

ne 1

, 200

810

.00

50T

ota

l47

3

Feb

ruar

y 11

, 200

4S

epte

mbe

r 1,

200

56.

0050

June

1, 2

008

10.0

050

To

tal

100

Feb

ruar

y 25

, 200

4Ju

ne 1

, 202

19.

7564

June

1, 2

022

9.25

15Ju

ne 1

, 202

78.

0021

0T

ota

l28

9

Mar

ch 1

7, 2

004

June

1, 2

010

5.50

25Ju

ne 1

, 201

16.

0025

June

1, 2

011

8.50

4M

arch

15,

201

410

.25

10M

arch

15,

202

110

.50

70Ju

ne 1

, 202

19.

7577

June

1, 2

022

9.25

11T

ota

l22

1

Gra

nd T

ota

l4,

993

Ref

eren

ce T

able

XII

(con

t’d)

Bon

d B

uyba

ck P

rogr

am—

Ope

ratio

ns in

200

3–04

Buy

bac

k M

atur

ityR

epur

chas

ed

Buy

bac

kM

atur

ityR

epur

chas

ed

dat

ed

ate

Co

upo

nam

oun

td

ate

dat

eC

oup

on

amo

unt

(%)

($ m

illion

s)(%

)($

milli

ons)

Cas

h m

anag

emen

t b

ond

buy

bac

k

Ap

ril 8

, 200

3Ju

ne 1

, 200

37.

2545

0S

epte

mbe

r 1,

200

35.

2510

0T

ota

l55

0

Ap

ril 2

2, 2

003

June

1, 2

003

7.25

69S

epte

mbe

r 1,

200

35.

2510

0D

ecem

ber

1, 2

003

5.00

101

Dec

embe

r 1,

200

37.

5023

0T

ota

l50

0

May

6, 2

003

June

1, 2

003

5.75

9Ju

ne 1

, 200

37.

253

Dec

embe

r 1,

200

35.

0045

7D

ecem

ber

1, 2

003

7.50

31T

ota

l50

0

June

3, 2

003

Dec

embe

r 1,

200

35.

0030

0Ju

ne 1

, 200

43.

5013

6Ju

ne 1

, 200

46.

5064

To

tal

500

June

17,

200

3D

ecem

ber

1, 2

003

5.00

500

To

tal

500

July

2, 2

003

Dec

embe

r 1,

200

35.

001,

000

To

tal

1,00

0

July

15,

200

3S

epte

mbe

r 1,

200

35.

2545

0D

ecem

ber

1, 2

003

5.00

475

June

1, 2

004

3.50

50Ju

ne 1

, 200

46.

5025

To

tal

1,00

0

July

29,

200

3D

ecem

ber

1, 2

003

5.00

1,00

0T

ota

l1,

000

Aug

ust

12, 2

003

Sep

tem

ber

1, 2

003

5.25

100

Dec

embe

r 1,

200

35.

0090

0T

ota

l1,

000

Sep

tem

ber

9, 2

003

Dec

embe

r 1,

200

35.

0021

0D

ecem

ber

1, 2

003

7.50

35Ju

ne 1

, 200

43.

5015

0T

ota

l39

5

Sep

tem

ber

23,

200

3D

ecem

ber

1, 2

003

5.00

205

Dec

embe

r 1,

200

37.

5021

5T

ota

l42

0

Oct

ob

er 7

, 200

3D

ecem

ber

1, 2

003

5.00

50T

ota

l50

Oct

ob

er 2

1, 2

003

June

1, 2

004

3.50

550

Sep

tem

ber

1, 2

004

5.00

450

To

tal

1,00

0

No

vem

ber

4, 2

003

Dec

embe

r 1,

200

35.

0031

5D

ecem

ber

1, 2

003

7.50

105

June

1, 2

004

3.50

15Ju

ne 1

, 200

46.

5024

To

tal

459

Dec

emb

er 2

, 200

3Ju

ne 1

, 200

43.

5050

0S

epte

mbe

r 1,

200

45.

0035

0D

ecem

ber

1, 2

004

9.00

80T

ota

l93

0

85


Ref

eren

ce T

able

XII

(con

t’d)

Bon

d B

uyba

ck P

rogr

am—

Ope

ratio

ns in

200

3–04

Buy

bac

k M

atur

ityR

epur

chas

ed

Buy

bac

kM

atur

ityR

epur

chas

ed

dat

ed

ate

Co

upo

nam

oun

td

ate

dat

eC

oup

on

amo

unt

(%)

($ m

illion

s)

Dec

emb

er 1

6, 2

003

June

1, 2

004

3.50

1,00

0T

ota

l1,

000

Janu

ary

13, 2

004

June

1, 2

004

3.50

200

To

tal

200

Janu

ary

27, 2

004

June

1, 2

004

3.50

1,19

8Ju

ne 1

, 200

46.

502

To

tal

1,20

0

Feb

ruar

y 10

, 200

4Ju

ne 1

, 200

43.

5093

7Ju

ne 1

, 200

46.

5014

Sep

tem

ber

1, 2

004

5.00

163

Dec

embe

r 1,

200

49.

0022

To

tal

1,13

6

Feb

ruar

y 24

, 200

4Ju

ne 1

, 200

43.

5012

Sep

tem

ber

1, 2

004

5.00

228

Dec

embe

r 1,

200

44.

2570

0D

ecem

ber

1, 2

004

9.00

39T

ota

l97

9

Mar

ch 9

, 200

4Ju

ne 1

, 200

43.

5050

Sep

tem

ber

1, 2

004

5.00

300

Dec

embe

r 1,

200

44.

2550

0T

ota

l85

0

Mar

ch 2

3, 2

004

June

1, 2

004

3.50

500

To

tal

500

Gra

nd T

ota

l15

,669

Sou

rce:

Dep

artm

ent o

f Fin

ance

.

Ref

eren

ce T

able

XIII

Can

ada

Sav

ings

Bon

ds a

nd C

anad

a P

rem

ium

Bon

ds, F

isca

l 198

3–84

to F

isca

l 200

3–04

Out

stan

din

g a

tF

isca

l yea

r G

ross

sal

esN

et c

hang

efis

cal y

ear

end

($ m

illion

s)

1983

–84

11,5

845,

650

38,4

0319

84–8

512

,743

3,76

442

,167

1985

–86

15,1

072,

440

44,6

0719

86–8

79,

191

-22

44,5

8519

87–8

817

,450

8,92

153

,506

1988

–89

14,9

62-5

,456

48,0

5019

89–9

09,

338

-6,8

1341

,237

1990

–91

6,72

0-6

,500

34,7

3719

91–9

29,

588

1,15

135

,888

1992

–93

9,23

5-1

,172

34,7

1619

93–9

45,

364

-3,0

8931

,627

1994

–95

7,50

6-9

631

,531

1995

–96

4,61

210

31,5

4119

96–9

75,

747

2,05

033

,591

1997

–98

4,95

1-2

,796

30,7

9519

98–9

94,

844

-2,1

8728

,608

1999

–00

2,66

9-1

,510

27,0

9820

00–0

13,

188

-531

26,5

6720

01–0

22,

728

-2,2

8324

,284

2002

–03

3,52

3-1

,406

22,8

7820

03–0

42,

881

-1,3

5021

,528

Not

e: F

igur

es a

re in

acc

orda

nce

with

Ban

k of

Can

ada

audi

ted

repo

rts,

whi

ch m

ay v

ary

from

Pub

lic A

ccou

nts

repo

rts

due

to d

iffer

ence

s in

cla

ssifi

catio

n.

Sou

rce:

Ban

k of

Can

ada.

87


Ref

eren

ce T

able

XIV

Cro

wn

Cor

pora

tion

Bor

row

ings

as

at M

arch

31,

200

4

Bo

rro

win

gs

fro

m t

he m

arke

tC

orp

ora

tion

1997

1998

1999

2000

2001

2002

2003

2004

($ m

illion

s)

Exp

ort D

evel

opm

ent C

anad

a7,

820

10,0

7712

,967

16,8

8818

,406

20,4

8120

,375

17,1

78C

anad

ian

Whe

at B

oard

16,

474

6,69

86,

786

542

425

397

378

12B

usin

ess

Dev

elop

men

t Ban

k of

Can

ada

3,37

13,

839

4,22

34,

723

5,10

25,

726

6,26

37,

302

Farm

Cre

dit C

anad

a1,

926

3,02

64,

317

5,08

35,

695

7,09

68,

082

9,20

9C

anad

a M

orta

gage

and

Hou

sing

Cor

pora

tion

7,86

69,

934

10,6

3310

,801

11,6

7211

,372

11,0

9110

,441

Pet

ro-C

anad

a Lt

d.43

244

347

133

80

00

0C

anad

a P

orts

Cor

pora

tion

03

7969

00

00

Can

ada

Pos

t Cor

pora

tion

n/a

n/a

n/a

150

5663

114

108

Oth

er22

625

822

246

4440

3945

Tota

l28

,115

34,2

7839

,698

38,6

4041

,400

45,1

7546

,342

44,2

951

Effe

ctiv

e D

ecem

ber 3

1, 1

998,

the

Can

adia

n W

heat

Boa

rd (C

WB

) cea

sed

to b

e an

age

nt o

f Her

Maj

esty

and

a C

row

n co

rpor

atio

n un

der t

he F

inan

cial

Adm

inis

trat

ion

Act

. B

orro

win

gs s

ubse

quen

t to

this

dat

e at

Mar

ch 3

1, 2

004,

as

a no

n-ag

ent a

re $

6,14

0 m

illion

. The

refo

re, t

otal

bor

row

ings

of t

he C

WB

ar

e $6

,152

milli

on ($

12 m

illion

+ $

6,14

0 m

illion

).

Bo

rro

win

gs

fro

m t

he C

ons

olid

ated

R

even

ue F

und

19

9719

9819

9920

0020

0120

0220

0320

04

($ m

illion

s)

Can

ada

Mor

taga

ge a

nd H

ousi

ngC

orpo

ratio

n6,

938

6,70

86,

298

6,15

25,

852

5,69

65,

476

5,25

5C

anad

a D

epos

it In

sura

nce

Cor

pora

tion

855

395

00

00

00

Farm

Cre

dit C

anad

a2,

507

1,87

71,

041

805

578

00

0O

ther

204

179

551

7784

104

3862

Tota

l10

,504

9,15

97,

890

7,03

46,

514

5,80

05,

514

5,31

7

Not

e: F

igur

es d

o no

t inc

lude

“al

low

ance

for

valu

atio

n.”

Sou

rce:

Ban

k of

Can

ada.

debt management report 2003-2004€¦ · as part of good governance and management, different...

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