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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 Interbank Loans from Payments Data

8 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
This paper develops an innovative algorithm that identifies overnight interbank loans from the millions of payments settled through Australia's high-value payments system. ... So these novel features may also be useful for identifying overnight interbank
https://www.rba.gov.au/publications/rdp/2016/2016-11.html

Appendix A: Literature Review

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
algorithm). By allowing non-rounded transactions to be loans, Sokolov et al may also be capturing secured overnight loans. ... This may be why, even with a high false negative rate, their identified overnight loans represent 126 per cent of the IBOC
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-a.html

Identifying Interbank Loans from Payments Data

1 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
the value of the overnight loans may change on a daily basis;. ... Figure 12: Timing of Non-rolled Loans. Share of loan values, 15-minute intervals, winter trading days.
https://www.rba.gov.au/publications/rdp/2016/2016-11/full.html

The Algorithm

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
the value of the overnight loans may change on a daily basis;. ... literature. To the extent that rollovers occur in other countries, the novel features of our algorithm may also improve the identification of overnight interbank loans in these countries.
https://www.rba.gov.au/publications/rdp/2016/2016-11/algorithm.html

References

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
Demiralp S, B Preslopsky and W Whitesell (2004), ‘Overnight Interbank Loan Markets’, Board of Governors of the Federal Reserve System Finance and Economics Discussion Series Paper No 2004-29. ... Hendry S and N Kamhi (2007), ‘Uncollateralized
https://www.rba.gov.au/publications/rdp/2016/2016-11/references.html

Appendix B: Detailed Description of the Algorithm

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
100 315 loan sets identified. Since rollovers are actually consecutive overnight loans (without the corresponding RITS transaction), when calculating loan values, the algorithm counts rollovers as a new overnight loan on ... That is, a loan that is
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-b.html

Introduction

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
Moreover, other sources of information about these loans do not typically include the level of detail that would be available in a loan-level dataset. ... So the novel features of our algorithm may also be useful for identifying overnight interbank loans
https://www.rba.gov.au/publications/rdp/2016/2016-11/introduction.html

Accuracy of the Algorithm

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
RDP 2016-11: Identifying Interbank Loans from Payments Data 4. Accuracy of the Algorithm. ... For term lending to cause false positives, the rates on these loans would need to perfectly forecast future overnight rates and there would need to be no term
https://www.rba.gov.au/publications/rdp/2016/2016-11/accuracy-of-the-algorithm.html

The Australian Payments System and IBOC Market

15 Dec 2016 RDP 2016-11
Anthony Brassil, Helen Hughson and Mark McManus
RDP 2016-11: Identifying Interbank Loans from Payments Data 2. The Australian Payments System and IBOC Market. ... IBOC loans with banks that use a settlement agent are explicitly excluded from the RBA's IBOC Survey.
https://www.rba.gov.au/publications/rdp/2016/2016-11/australian-payments-system-and-iboc-market.html