Search: RBA Repos

Sort by: Relevance Date
1–8 of 8 collapsed search results for RBA Repos

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.

Search Results

Identifying Repo Market Microstructure from Securities Transactions Data

16 Aug 2018 RDP 2018-09
Nicholas Garvin
While separate prudential data indicate a larger repo market than the algorithm data, likely reflecting repos transacted through foreign (i.e. ... non-Austraclear) infrastructure, the two datasets have a robust positive relationship. The algorithm data,
https://www.rba.gov.au/publications/rdp/2018/2018-09.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
To minimise counterparty risk, the RBA uses repos when lending to private banks in open market operations (OMO). ... Figure 3: Outstanding Repos (excluding RBA) by Data Source. Austraclear sample years as at end September.
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html

The Algorithm Performance

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Around 85 to 90 per cent of detected repos have only two transactions. ... 2012. 2013. 2014. 2015. Total repos (excl intraday). 1,281. 1,459. 2,177.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
To minimise counterparty risk, the RBA uses repos when lending to private banks in open market operations (OMO). ... the Australian repo market (excluding repos with the RBA).
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html

The Repo-detection Algorithm

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Before running the algorithm, any transactions involving the RBA or ASX are removed. ... This assumes an intraday interest rate of zero, consistent with intraday repos on offer from the RBA, although other assumptions on intraday interest rates or fees
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html

The Australian Repo Market Microstructure

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Sources: ASX; Author's calculations; RBA. Figure 6 plots the pattern of increasing spreads evident in Figure 5, displaying the median spread each year for AGS and SGS repos. ... I do this using the (mid) closing prices each settlement day for all AGS and
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html

Comparing the Output with Prudential Data

15 Aug 2018 RDP 2018-09
Nicholas Garvin
These algorithm and APRA series display broadly similar trends for AGS and SGS repos. ... Figure 3: Outstanding Repos (excluding RBA) by Data Source. Austraclear sample years as at end September.
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html

Conclusion

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Assessment of the algorithm indicates that around 97 per cent of the detected loans are actual repos. ... The algorithm data detect a smaller market than reported in prudential data, likely in part reflecting repos with offshore entities that are
https://www.rba.gov.au/publications/rdp/2018/2018-09/conclusion.html