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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
Nicholas Garvin
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

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
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

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
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

References

15 Aug 2018 RDP 2018-09
Nicholas Garvin
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
Nicholas Garvin
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
Nicholas Garvin
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