Search: repo
RBA Glossary definition for repo
repo – Repurchase agreement. The vehicle whereby most Reserve Bank of Australia (RBA) domestic market operations are conducted. Repurchase agreements (usually called 'repos') involve the sale or purchase of securities with an undertaking to reverse the transaction at an agreed date in the future and at an agreed price. Repos provide flexibility in that they allow the RBA to inject liquidity on one day and withdraw it on another with a single transaction.
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The Repo and Unsecured Markets' Reactions to Stress
20 Jan 2021
RDP
2021-01
in contrast to the tightening observed in US repo markets against private collateral (Gorton and Metrick 2012). ... Louis; RBA. The heavy decline in AGS repo rates likely included special repos.
https://www.rba.gov.au/publications/rdp/2021/2021-01/the-repo-and-unsecured-markets-reactions-to-stress.html
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
In the repo market, moreover, there is more activity in the extensive margin (i.e. ... face value of securities, and money quantities consistent with a feasible repo rate.
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html
Introduction
20 Jan 2021
RDP
2021-01
In the repo market, moreover, there is more activity in the extensive margin (i.e. ... This suggests that anonymous CCP-based trading is key for repo market resilience’ (p 1773).
https://www.rba.gov.au/publications/rdp/2021/2021-01/introduction.html
Appendix B: Additional Regressions and Robustness Tests
20 Jan 2021
RDP
2021-01
Download the Paper 1,785. KB. Table B1: Borrowers' Repo Rate Reactions to Stress by Collateral Type. ... i. ), banks' pre-sample high-quality collateral holdings ( Collateral. i. ) and, in columns (i) and (j), the repo market indicator ( 1.
https://www.rba.gov.au/publications/rdp/2021/2021-01/appendix-b.html
References
20 Jan 2021
RDP
2021-01
Garvin N (2018), ‘Identifying Repo Market Microstructure from Securities Transactions Data’, RBA Research Discussion Paper No 2018-09. ... Krishnamurthy A, S Nagel and D Orlov (2014), ‘Sizing up Repo’, The Journal of Finance, 69(6), pp 2381–2417
https://www.rba.gov.au/publications/rdp/2021/2021-01/references.html
Appendix A: Interbank Market Infrastructure
20 Jan 2021
RDP
2021-01
Download the Paper 1,785. KB. In Australia the repo and unsecured interbank markets are over-the-counter and settled bilaterally. ... While an unsecured loan takes place through a series of cash payments in RITS, a repo loan resembles a series of
https://www.rba.gov.au/publications/rdp/2021/2021-01/appendix-a.html
Read me
20 Jan 2021
RDP
2021-01
Garvin (2018): RBA RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... In the repo data in dataset (1), remove any loans outside the interest rates described in footnote 4 in the paper.
https://www.rba.gov.au/publications/rdp/2021/2021-01/read-me.html
Institutional Background and Data
20 Jan 2021
RDP
2021-01
face value of securities, and money quantities consistent with a feasible repo rate. ... Usually m. {unsecured, repo}; in Section 4.4 repo is separated into two markets by collateral type.
https://www.rba.gov.au/publications/rdp/2021/2021-01/institutional-background-and-data.html
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
Research Discussion Paper – RDP 2021-01 The Role of Collateral in Borrowing. Nicholas Garvin, David W Hughes and José-Luis Peydró. January 2021. 1,785. KB. We would like to thank Chris Becker, Anthony Brassil, Falko Fecht, Xavier Freixas, Fred
https://www.rba.gov.au/publications/rdp/2021/2021-01/sections.html
Conclusion
20 Jan 2021
RDP
2021-01
We also find evidence of broad-based excess demand for safe collateral, as the repo market collateralised against second-best collateral expands, while rates on the safest collateral fall heavily (over
https://www.rba.gov.au/publications/rdp/2021/2021-01/conclusion.html