Assignment:
Question 1 - Definitions - some research may be required
Please provide a brief description of the following (1-3 sentences each):
(a) 1-month CORRA
(b) Fed Funds Rate
(c) Prime Rate
(d) AAA rated sovereign bond
(e) LIBOR
Question 2 - Canadian Interest Rates
To answer this question, you need to obtain data from the Bank of Canada website. Ten-year data look up is at
https://www.bankofcanada.ca/rates/interest-rates/
However, some of the data is on other sections at the Bank of Canada and you may need to use the search function in the top right hand corner of the page. You can search using the series identifier such as V39079 for the target overnight rate.
(a) Please provide the following Canadian data as of the last day in 2008, 2011, 2015 and 2017.
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Interest Rates
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2008
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2011
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2015
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2017
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Target for the overnight rate (V39079)
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1-month Canada Treasury Bill Rate (V39063)
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1-month Bankers' Acceptance Rate (V39068)
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1-month Prime Corporate Paper Rate (V39072)
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Government of Canada (GOC) long term bond yield (V39056)
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(b) Based on the data you obtained in (a) above, provide the interest rate difference (or "spread") between the following rates for the dates specified above:
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Interest Rate Spreads
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2008
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2011
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2015
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2017
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Bankers Acceptances and Treasury Bills (Canada - 1 month)
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Prime Corporate Paper and Treasury Bills (Canada - 1 month)
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Government of Canada (GOC) long term bond yield (V39056) and 1-month Canada Treasury Bill Rate (V39063)
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(c) Briefly explain what each of the three interest rate differences or "spreads" you calculated in Question 2(b) represents.
(d) Briefly explain why the spreads you calculated in part (b) above change over time.