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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Australian Money Market Divergence: Arbitrage Opportunity or Illusion?
1 Sep 2019
RDP
2019-09
Borrowing under repo to lend into the repo market is a zero-sum game. ... Alternatively, Bank A can collateralise its investment by lending to Bank B under repo.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html
Sensitivity Analysis
13 Sep 2019
RDP
2019-09
Borrowing under repo to lend into the repo market is a zero-sum game. ... Alternatively, Bank A can collateralise its investment by lending to Bank B under repo.
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html
Estimation Results
13 Sep 2019
RDP
2019-09
The increase in the repo rate during 2018 made lending cash under repo only marginally profitable. ... The repo spread to cash averaged around 40 basis points, but the net return from lending under repo is estimated to have been less than
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html
References
13 Sep 2019
RDP
2019-09
Becker C, A Fang and JC Wang (2016), ‘Developments in the Australian Repo Market’, RBA Bulletin, September, pp 41–46. ... Wakeling D and I Wilson (2010), ‘The Repo Market in Australia’, RBA Bulletin, December, pp 27–35.
https://www.rba.gov.au/publications/rdp/2019/2019-09/references.html
Australian Money Market Divergence: Arbitrage Opportunity or Illusion?
1 Sep 2019
RDP
2019-09
Repurchase agreement:. Repo rate (1-month bucket) derived by authors from open market operations data.
https://www.rba.gov.au/publications/rdp/2019/2019-09/read-me.html
Appendix A: Data Summary
13 Sep 2019
RDP
2019-09
RBA statistical table F5 ‘Lending Rates’. Repurchase agreement. Repo rate (1 month bucket) from open market operations.
https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html
Leverage, Profitability and the Consequences for Money Markets
13 Sep 2019
RDP
2019-09
If a foreign exchange swap were entirely funded through repo, the break-even spread would be zero (i.e. ... In the domestic repo market, around half the cash lent by dealers is borrowed by non-residents.
https://www.rba.gov.au/publications/rdp/2019/2019-09/leverage-profitability-and-the-consequences-for-money-markets.html
Estimating Funding Costs, Gross Returns and Net Returns
13 Sep 2019
RDP
2019-09
the repo market.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimating-funding-costs-gross-returns-and-net-returns.html