Skip to content

RESERVE BANK OF AUSTRALIA

Intra-day Liquidity Facility

This document is intended primarily for Exchange Settlement (ES) account holders that use, or plan to use, the Reserve Bank's intra-day repurchase agreement facility. It outlines key issues such as who may use the facility, the types of securities in which the Bank will deal and the trade process itself.

Go To

Eligibility

Access to the facility is available to all ES account holders, unless precluded by special terms and conditions relating to an individual institution's ES account.

back to top

Transaction Type

Eligible ES account holders access liquidity through the facility by entering into a repurchase agreement with the Bank. Any such transactions are governed by the terms of The Bond Market Association/International Securities Market Association (TBMA/ISMA) Global Master Repurchase Agreement as amended by the terms set out in Exhibit B of the RITS Regulations.

back to top

Hours of Access

The facility is available when RITS (the Australian RTGS system) is open for settlement. RITS is open from 07:30 until 18:30 during Australian Eastern Standard Time and from 07:30 until 20:30 during Australian Eastern Daylight-saving Time. Within this period, settlement is not possible between 08:45 and 09:15 and between 17:15 and 17:25.

All eligible ES account holders are able to enter into and unwind intra-day repurchase agreements with the Bank during these hours. Those ES account holders that are not 'evening-agreed' banks should contact the Reserve Bank Domestic Markets Desk if they intend to unwind intra-day repurchase agreements after 17:15.

back to top

Eligible Securities and Instruments

Under this facility, eligible ES account holders may sell to the Bank, under repurchase agreement, any debt security that is eligible for the Bank’s open market operations. A list of eligible securities and detail of the criteria for eligibility can be found on the Eligible Securities page on this website.

back to top

Repo Rate

The repo rate for these transactions is zero per cent. The proceeds for the first leg are determined by the current market value of the securities being sold to the Bank. The proceeds for the second leg equal the first leg proceeds plus transaction costs.

back to top

Initial Margin

The Bank requires an initial margin on all repurchase agreements. The initial margin will vary with the type of securities given as collateral as outlined on the margins page.

back to top

The Automated Intra-day Repurchase Agreement Function (RBA Repo)

All eligible government and supranational debt securities and those discount instruments issued by the Commonwealth and the central borrowing authorities of Queensland and Western Australia are lodged in the Fixed Interest System (FIS) module of the Austraclear System. Using this collateral users are able to undertake intra-day repurchase agreements with the Bank on a unilateral basis. For advice on using this functionality, contact the Austraclear Help Desk (1300 362 257).

Repos involving all other debt securities (in the FIS module) and the remaining discount instruments (lodged in the Discount Security System (DSS) module of Austraclear) must be agreed with the Domestic Markets Desk (+61 2 9551 8321). Repos involving securities in the DSS module are traded as outright sales and purchases while securities in the FIS module are traded as repos.

back to top

Transaction Fees

Eligible ES account holders taking out intra-day repurchase agreements will incur transaction fees.

  • Austraclear charges a fee of $3.00 plus GST per leg per line of stock for repurchase agreements using RBA repo.
  • Austraclear charges a fee of $11.00 plus GST per leg per line of stock for repurchase agreements not using RBA repo.
  • Austraclear may charge other fees depending on the method of trade entry. More information on Austraclear fees can be found at the ASX Austraclear website.
  • ES account holders taking out an intra-day repurchase agreement without using RBA repo are also required to reimburse the Reserve Bank for its Austraclear fees ($12.00 per leg per line of stock plus GST). Reimbursement to the Bank will be effected through the unwind consideration (see the section entitled ‘Trade Procedures’ below, at point 4).
  • As with all movements across ES accounts, the standard RTGS fee of $0.88 will also apply to the settlement of each leg and will be charged in the normal way.
back to top

Trade Procedures

Intra-day Repurchase agreements Using RBA Repo

When using RBA Repo, the borrower transacts with the Reserve Bank at prices that are set and pre-loaded into the System by the Bank. These prices are derived from prevailing market yields/rates and are calculated using the relevant Bank or AFMA pricing formula. The prices are updated daily and more often in the event of significant intra-day market movements.

ES account holders entering into such transactions are not required to contact the Domestic Markets Desk to agree trade details.

Intra-day Repurchase Agreements not using RBA Repo

Trade procedures are as follows:

  1. The Bank's Domestic Markets Desk (+61 2 9551 8321) should be contacted at least 20 minutes prior to the end of the relevant RITS session to allow time for the transaction to be completed. The counterparty advises the Bank dealer of the face value, maturity and issuer of each line of stock it proposes to sell under intra-day repurchase agreement. The counterparty and the Bank will then agree the yield and first and second leg considerations for each line of stock.
  2. The yield on the security/instrument will be based on prevailing market levels.
  3. The first leg consideration will be calculated using the relevant Bank or AFMA pricing formula with the appropriate margin applied.
  4. The unwind consideration will be calculated as the first leg consideration plus reimbursement of the Bank’s Austraclear fees ($26.40 per line of collateral).
  5. The transaction will then be entered into the Austraclear System. RBAA25 should be used as the counterparty, unless private securities are used as collateral. In this case, RBAA26 is the counterparty. Once the first leg of the trade settles, the Bank will enter the second leg as soon as possible. This will allow the counterparty to settle the second leg of the trade immediately when funds are available.
back to top

Using the Overnight Repurchase Agreement Facility

In the normal course, the Bank expects that intra-day repurchase agreements will be unwound by the close of RITS on the same day that they are initiated.

In the event that an ES account holder is unable to unwind the transaction by the close of RITS, it must contact the Bank's Domestic Markets Desk to request an extension of the value date of the second leg to the next business day. By making such a request, the ES account holder is in effect requesting to use the Overnight Repurchase Agreement Facility. In the case of a non-evening agreed bank, the Reserve Bank should be advised prior to the close of the RITS Settlement Close Session if the bank is unable to unwind the transaction and intends to participate in the Evening Session in order to source funding.

The procedures for using the Overnight Liquidity Facility are outlined in the Technical Note.

Any queries on this matter should be directed to the Bank's Domestic Markets Desk on
+61 2 9551 8321.

back to top