US Dollar Repos

The Reserve Bank of Australia and the US Federal Reserve established a temporary reciprocal currency arrangement (swap line) for the provision of US dollar liquidity in March 2020. The swap line allows the Reserve Bank to access up to US$60 billion in exchange for Australian dollars. The US dollars are made available to RITS members via repurchase agreements (repos) contracted with the Reserve Bank. These US dollar repos are against Australian-dollar denominated securities.

US dollar repos are allocated by auction. Subject to market conditions, auctions are generally held each Thursday for a value date of the following business day.

Announcement

US dollar repo auctions will usually be announced by the Reserve Bank one business day in advance. The information will be published on the market data services (Reuters – RBA37; Bloomberg – RBAO08) and will include:

  • The auction date
  • The value date
  • The size of the operation (in US$)
  • The term of the repos (in days)
  • The time during which RITS members may contact the Reserve Bank with approaches. Usually, this will be between 11.30 am and 11.45 am on the auction date.

On the morning of the auction date (usually before 10.00 am), the relevant pages on the market data services will be updated to include:

  • The minimum bid rate (%)

Until further notice, the minimum bid rate will be set 0.25% above the US dollar overnight index swap rate for the corresponding maturity.

Eligible Counterparties

Unless otherwise advised, all RITS members deemed eligible to participate in the Reserve Bank's domestic market operations may participate in the Reserve Bank's US dollar repo auctions (see Eligible Counterparties).

Contacting the Reserve Bank

Approaches by eligible counterparties must be made to the Reserve Bank's Domestic Markets Desk (via email) during the time indicated in the announcement of the auction.

An approach submitted to the Reserve Bank may not be modified or withdrawn after the nominated deadline. Prior to the deadline, approaches may be modified or withdrawn.

Approaches for US dollar repos

Bids for US dollar repos should be expressed on an actual/360 day basis using a simple interest calculation, payable at maturity. Bid should be expressed to two decimal places (whole basis points) and cannot be less than the minimum bid rate specified in the auction announcement.

Approaches should be made on a cash value basis; that is, with reference to the aggregate purchase prices of the securities to be sold to the Reserve Bank under repo. Note that the Reserve Bank will adjust the market value of eligible securities by a margin ratio when purchasing securities under repo. For US dollar repos, the margin ratios of eligible securities are set 10 percentage points higher than the ratios used in the Reserve Bank's regular open market operations. No ‘related-party’ exemptions on eligible securities are granted for the Reserve Bank's US dollar repos.

The minimum size of approaches is US$20 million, with approaches to be made in increments of US$1 million.

There is no limit on the number of approaches that each participant can make. The aggregate amount of approaches made by a single participant cannot exceed 25 per cent of the amount being offered by the Reserve Bank at the auction.

Allocation

Acceptance of bids will be made in descending order of the bid rates received by the Reserve Bank; that is, from the highest bid rate to the lowest accepted bid rate. Allocations will be made at the rates that participants have bid.

If the sum of the approaches exceeds the amount being offered by the Reserve Bank, approaches at the lowest accepted bid rate may be filled on a pro-rata basis. In the normal course, a minimum allocation of US$20 million will apply, with allocations made in increments of US$1 million.

Notification

The Reserve Bank notifies each participant via return email of the outcome of their participation in each US dollar repo auction. The Reserve Bank endeavours to provide notification by 12.00 pm for its US dollar repos, but does not guarantee to do so.

A summary of each US dollar repo auction is published on the market data services shortly after participants have been notified regarding their approaches (Reuters – RBA37, Bloomberg – RBAO08). These include the aggregate value, weighted average and cut-off rates of US dollar repos dealt. Subsequently, the same information is published in Statistical Table A3 on the Reserve Bank's website. No information regarding the identities of the Reserve Bank's counterparties is made public. The Reserve Bank reserves the right to republish the summary of each dealing round on the market data services and on the Reserve Bank's website.

Settlement procedures

Successful participants must provide their US dollar SSIs to the Reserve Bank by SWIFT message no later than 4.30 pm on the day of the auction.

Successful participants must deliver eligible securities free-of-payment to the Reserve Bank's Austraclear account by the close of the RITS Daily Settlement Session (4.30 pm) on the auction's value date. Securities must be delivered prior to the Reserve Bank paying the purchase price (in US dollars) to the participant.

On the repurchase date, the participant must pay to the Reserve Bank the repurchase price for each security (in US dollars) before the Reserve Bank will deliver the securities to the participant. Because of the time zone differences between Australia and the United States, the Reserve Bank will deliver the securities on the business day following the repurchase date.

Legal

Participants in the Reserve Bank's US dollar repo auctions are bound by the RITS Regulations.