INTERBANK OVERNIGHT CASH RATE SURVEY

The RBA collects data on the amount and weighted average rate at which a sample of banks transact in the interbank market for overnight funds. These data are used to calculate the RBA's measure of the overnight interbank cash rate (the cash rate), which is the operational target for the RBA's open market operations. This measure is published daily by the RBA.

The RBA does not survey all banks. Typically between 15 and 20 of the most active banks are surveyed. This provides a very high level of coverage.

This document is intended primarily for those participants who contribute to the Reserve Bank's daily Interbank Overnight Cash Rate survey. It outlines the information required from survey respondents.

Unsecured Borrowing and Lending in the Interbank Market

The RBA requests survey participants to provide the following information:

• The aggregate value of unsecured overnight funds borrowed, and the aggregate value of unsecured overnight funds lent, through the interbank market. Individual transaction information with specific counterparties is not required.
• The weighted average interest rate at which interbank funds were borrowed and the weighted average rate at which interbank funds were lent.
• The RITS session in which the above transactions were contracted (irrespective of when they settled) – Day (09:15–16:30), Close (16:30–17:15) and Evening (17:15–18:30 AEST, 17:15–20:30 AEDT).

Secured Borrowing and Lending (Repurchase Cash Transactions)

This section of the survey records secured overnight borrowing and lending (repurchase cash transactions) between both ES and non-ES account holders. Similar information is requested:

• The aggregate value of secured overnight funds borrowed from, and the aggregate value of secured overnight funds lent to, ES and non-ES account holders. Amounts dealt with specific counterparties are not required.
• The weighted average interest rate at which secured overnight funds were borrowed and the weighted average rate at which secured overnight funds were lent.
• Unlike the unsecured section of the survey, RITS session information is not required for secured cash transactions.
• Transactions with the RBA should not be included in the figures provided.

The secured cash transaction data are not included in the calculation of the Interbank Overnight Cash Rate and are used for internal RBA purposes only.

Timing

Survey participants should contact the RBA with transaction details when their cash borrowing and lending requirements for the day are completed. Contributors are expected to participate every day and the RBA follows up any reporting failures.

Calculation

The published cash rate is simply the weighted average interest rate reported by survey banks, weighted by value. No weight is given to the session in which transactions take place.

RBA staff monitor inputs to the survey and refer any apparent anomalies back to the contributors.

Publication

The Interbank Overnight Cash Rate calculated from the survey is published on electronic media services (Reuters RBA30/RBA36; Bloomberg RBA9/RBA16) at the conclusion of each trading day and the RBA website the following morning.

Confidentiality

The RBA keeps survey information provided by individual participating banks strictly confidential.

Further Information

Inquiries about the RBA's Interbank Overnight Cash Rate survey should be directed to the Domestic Markets Desk on +61 2 9551 8321.