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RBA Glossary definition for overnight loans
overnight loans – Loans, which are recallable, repayable or renegotiable the next day, usually by 11.00 am.
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Identifying Repo Market Microstructure from Securities Transactions Data
16 Aug 2018
RDP
2018-09
This approach is similar to how loan-level unsecured data are typically obtained from payments data. ... Loan-level repo rates depend on the loan size and the types of counterparties, but not how long the repo is open.
https://www.rba.gov.au/publications/rdp/2018/2018-09.html
Introduction
15 Aug 2018
RDP
2018-09
The Reserve Bank of Australia (RBA), like many other central banks, targets the rate in the unsecured interbank market for overnight loans, termed the ‘cash rate’. ... Kuo et al (2013) generalise the Furfine algorithm to detect term loans rather than
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html
Identifying Repo Market Microstructure from Securities Transactions Data
1 Aug 2018
RDP
2018-09
Kuo et al (2013) generalise the Furfine algorithm to detect term loans rather than overnight loans. ... Any detected overnight loans must therefore be false detections rather than actual overnight loans.
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html
References
15 Aug 2018
RDP
2018-09
Brassil A, H Hughson and M McManus (2016), ‘Identifying Interbank Loans from Payments Data’, RBA Research Discussion Paper No 2016-11. ... Rempel M (2016), ‘Improving Overnight Loan Identification in Payments Systems’, Journal of Money, Credit
https://www.rba.gov.au/publications/rdp/2018/2018-09/references.html
The Algorithm Performance
15 Aug 2018
RDP
2018-09
Any detected overnight loans must therefore be false detections rather than actual overnight loans. ... Notwithstanding, repos with zero interest could also be securities loans. C3(iii): All transactions involve the same ISIN.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html
The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
Table 9: Interest Rates (Basis Points) Regressed on Loan Characteristics. 2012 to 2015 windows. ... Table 10: Haircuts (Percentage Points) Regressed on Loan Characteristics. 2012 to 2015 windows.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html