Interbank Overnight Cash Rate Survey
The Reserve Bank collects data on the amount and weighted average rate at which banks transact in the domestic interbank market for overnight unsecured funds. These data are used to calculate the Reserve Bank's measure of the Interbank Overnight Cash Rate (IBOC), which is the Reserve Bank Board's operational target for monetary policy. This measure is published each day that the Reserve Bank Information and Transfer System (RITS) is open for interbank settlement.
All banks that settle payments across their own Exchange Settlement (ES) account participate in the survey (around 50 in number).
This document is intended primarily for those contributing to the IBOC survey. It outlines the information required from participants.
1. Unsecured Borrowing and Lending in the Interbank Market
The Reserve Bank requests survey participants to provide the following information:
- The gross value of unsecured funds borrowed, and the gross value of unsecured
funds lent, through the interbank market for overnight terms. This will include
‘at call’ funds placed in accordance with the Australian Financial
Markets Association's (AFMA's) convention for cash market activity;
that is, funds that “ … can be recalled, repaid or renegotiated
as to interest rate during morning money market trading (until 11am).”
Funds placed in the interbank market (including those at call) fall outside the scope of this survey where:
the commitment to lend (or accept) funds was made in advance of the value date or included a commitment to lend (or accept) further funds on future days; or
the terms of the interbank loan were negotiated as part of a broader agreement that included other obligations between the two parties.
For the purposes of this survey, the interbank market comprises all banks that settle payments across their own ES account (a list of ES account holders is provided). Consequently, transactions with non-bank ADIs, or with banks that use a settlement agent, should not be included in survey responses. Transactions between ES account holders within the same banking group (for example, between two subsidiaries or between a local branch and a subsidiary) should also not be included. 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 Settlement session in which the above transactions were contracted (irrespective of when they settled) – Day, Close or Evening.
2. Method of Submission
Participants are expected to submit a completed template for each day that RITS is open for interbank settlement. The Reserve Bank will follow up any reporting failures.
Survey participants should submit their completed templates when their cash borrowing and lending requirements for the day are completed. For those banks that are not ‘Evening Agreed’ within RITS, this will typically mean submitting the survey as soon as possible after the completion of the Settlement Close session (normally 5.15 pm). For Evening Agreed banks, submissions should be received by the close of the SWIFT End session (normally 6.30 pm AEST or 8.30 pm AEDT) when, by AFMA convention, the cash market closes.
However, as it is possible to settle cash trades within RITS until the close of the Evening Settlement session (10 pm AEST/AEDT), survey participants need to ensure that any cash market activity contracted after the normal market close is included in their survey responses. If necessary, survey participants should resubmit their completed templates to reflect such additional market activity.
The published cash rate is simply the average interest rate reported by survey banks, weighted by value. No weight is given to the session in which transactions take place.
Reserve Bank staff monitor inputs to the survey and refer any apparent anomalies back to the contributors.
The Interbank Overnight Cash Rate calculated from the survey is published on electronic media services (Reuters RBA30; Bloomberg RBAO7) on the following business day prior to 9.30 am (AEST/AEDT) and the history of this data series is available on the Reserve Bank's website in Statistical Table F1 and Historical Statistical Table F1. Statistical Table F1 also includes data on the volume of reported transactions and the range of weighted average rates at which individual banks reported transactions from 20 May 2013. No Interbank Overnight Cash Rate will be published by the Reserve Bank for those days on which RITS was not open for settlement and/or for which no interbank lending activity has been reported.
The Reserve Bank keeps survey information provided by individual participating banks strictly confidential.
7. Further Information
Inquiries about the Reserve Bank's IBOC survey should be directed to staff in Domestic Market Operations.
AFMA's conventions, including those for cash market activity, can be found at <http://www.afma.com.au/conventions.html>.