Search: RBA Repos

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RBA Glossary definition for RBA Repos

RBA Repos – An intra-day repurchase agreement between an Exchange settlement account (ESA) holder and the Reserve Bank of Australia that is undertaken unilaterally by the ESA holder through the Austraclear System.

RBA Glossary definition for RBA

RBA – Reserve Bank of Australia. Australia's central bank, the body corporate successor to the Commonwealth Bank established in 1912; created under its new name by the Reserve Bank Act 1959.

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Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Spread to overnight indexed swaps, one-year rolling averages. Sources: Authors' calculations; Bloomberg; RBA. ... RBA. Japanese yen swap. Implied return rate from. hedged 3-month swap of.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html

Introduction

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Specifically, we estimate the profits major banks can earn on lending Australian dollar cash in the markets for repos, bank bills and foreign exchange swaps. ... The return enhancement offered by the persistently wide basis is regularly utilised by the
https://www.rba.gov.au/publications/rdp/2019/2019-09/introduction.html

Estimating Funding Costs, Gross Returns and Net Returns

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: APRA; Authors' calculations; Bloomberg; RBA. Banks are generally required to fund riskier assets with a higher share of equity capital. ... Note that this is not intended to suggest that private sector repos outside open market operations
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimating-funding-costs-gross-returns-and-net-returns.html

Appendix A: Data Summary

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
RBA. Japanese yen swap. Implied return rate from. hedged 3-month swap of. ... 3-month). Bank bills. 3-month bank bill swap rate. ASX; RBA. Risk weights (w.
https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Mortgages:. Discounted variable lending rate on housing loans from RBA Statistical Table F5. ... Cost of debt for Australian major banks. Confidential data sourced from internal RBA modelling.
https://www.rba.gov.au/publications/rdp/2019/2019-09/read-me.html

Estimation Results

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Spread to overnight indexed swaps, one-year rolling averages. Sources: Authors' calculations; Bloomberg; RBA. ... Figure 7: Net Return on Money Market Trades. Sources: APRA; Authors' calculations; Bloomberg; RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html

Opportunity Cost of Money Market Lending

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Figure 13: Return on Assets. Note: (a) Average of estimates for bank bills, repos and swaps into JPY and USD. ... For further discussion on the cost-to-income ratios of Australian banks, see RBA (2014).
https://www.rba.gov.au/publications/rdp/2019/2019-09/opportunity-cost-of-money-market-lending.html