Open market operations – es balances and repo agreements — es balances and repo agreements [A3-1]

Updated by DBnomics on

January 31, 2020

Notes

• A3 OPEN MARKET OPERATIONS – ES BALANCES AND REPO AGREEMENTS
• A3 Reserve Bank of Australia – Open Market Operations
• ES Balances and Repo Agreements
• ‘Total ES Balances’ is the aggregate of balances held in Exchange Settlement (ES) Accounts with the Reserve Bank rounded to the closest million, as at the close of business. 'Surplus ES balances' is the aggregate of balances held in ES Accounts adjusted for the net receipts from the last two direct entry exchanges ('late payments') and Standing Facility (SF) Repos at the Cash Rate Target ('SF Repos at the Cash Rate Target').
• 'SF Repos at the Cash Rate Target' is the aggregate of outstanding repurchase agreements contracted by ES account holders through the Reserve Bank’s standing facilities, where the pricing rate has been set equal to the Reserve Bank’s target for the Cash Rate. In an 'SF Repo’, an ES Account holder is a seller of securities and the Reserve Bank is the buyer. Consequently, from the Reserve Bank’s point of view, these transactions are reverse repos. This series is published with a three-calendar-month publication lag: the series is updated on the last business day of each calendar month to cover the period up until the last business day of the calendar month three months earlier.
• In determining compensation on ES funds, the Reserve Bank adjusts closing balances for net direct entry (DE) receipts of the account holder that were queued after a certain time and for the account holder’s position in SF Repos at the cash rate target. The adjusted balance (if it is positive) is remunerated at a rate 25 basis points below the cash rate target, while funds held against DE receipts and SF Repos are paid at the cash rate target. If the adjusted balance is negative, then a 25 basis point margin will be applied to the shortfall. ‘Deficit against late payments and SF Repos at the Cash Rate Target charged at Margin' is the aggregate of any such shortfalls. This series is published with a three-calendar-month publication lag: the series is updated on the last business day of each calendar month to cover the period up until the last business day of the calendar month three months earlier.
• The Reserve Bank may contract SF Repos at the cash rate target or at a (higher) ‘Margin’ rate of interest. The aggregate outstanding amount of SF Repos contracted at a rate above the cash rate target is shown as ‘SF Repos at Margin’. This series is published with a three-calendar-month publication lag: the series is updated on the last business day of each calendar month to cover the period up until the last business day of the calendar month three months earlier.
• Separate to its standing facilities, the Reserve Bank may contract reverse repos through ‘Open Market Operations’. The outstanding amounts of both reverse repos and repos contracted through the Reserve Bank’s open market operations are shown. The values represent the initial purchase amounts plus accrued interest to that date.
• ‘Market value of securities held under Reverse Repo’ is derived from prices as at close of business on that day. These securities may be held under reverse repos contracted through the Reserve Bank’s standing facilities or its open market operations. ‘AGS’ is Australian Government Securities. ‘Semis’ are securities issued by State and Territory central borrowing authorities. ‘Other Government‑related’ are securities issued by approved supranational agencies, Foreign Governments or securities with an Australian or Foreign Government guarantee. ‘Asset-backed Securities’ Includes, but is not restricted to, asset-backed commercial paper (ABCP), residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS) and securities backed by auto loans/leases and/or credit card receivables. ‘Other’ is any other security considered eligible by the Reserve Bank at the time. These series are published with a three-calendar-month publication lag: these series are updated on the last business day of each calendar month to cover the period up until the last business day of the calendar month three months earlier.
• Daily Open Market Operations
• ‘Intended Size of Operation’ is what the Reserve Bank expects would be a sufficient injection/withdrawal of ES funds from the banking system that would result in the cost of interbank borrowing and lending of unsecured overnight funds being consistent with the current Cash Rate Target. Withdrawal of funds is shown as a negative (-) figure. Injection of funds is shown as a positive (+) figure.
• ‘(Rev) Repo agreements’ is the aggregate purchase prices of securities bought by the Reserve Bank under repurchase agreement in its first round of open market operations on that day. Where the Reserve Bank has sold a greater value of securities under repurchase agreement than it is has bought, the amount shown will be negative.
• ‘Outright transactions’ is the cash value of any outright purchases of securities contracted via the first round of open market operations.
• ‘Foreign Exchange Swaps’ are the aggregate amount of Australian dollars sold against foreign currency (via swap) in the first round of open market operations. Where the Reserve Bank has purchased a greater amount of Australian dollars under swap than it has sold, the amount shown will be negative.
• ‘Additional OMO Dealt’ are repurchase agreements contracted in any open market operations subsequent to the first round of operations for that day. The amount shown represents the aggregate purchase prices of securities bought by the Reserve Bank. Where the Reserve Bank has sold a greater value of securities under repurchase agreement than it is has bought, the amount shown will be negative.
• OMO Outright Transaction Detail
• The 'Outright Transactions Details' provides further information on the outright purchases and sales of Bonds and Discount Securities issued by the Australian Commonwealth, State & Territory Governments, conducted as part of the Bank's open market operations. “Issuer” is the acronym of the issuer of the bond/security. A positive “Face value dealt” indicates a purchase while a negative value indicates a sale. 'Weighted average rate' is the average of the rates dealt for each bond/security, weighted by the amount transacted. 'Cut-off rate' is the lowest yield accepted.
• OMO Repo Transaction Details
• OMO Repo Transaction Details provides a summary of the type of securities delivered to/by the RBA under (Reverse) Repo at each term dealt through the Open Market Operations. 'Term' is the number of days dealt in open market operations. 'Value Dealt' is the amount of the first leg of securities bought/sold by the RBA under (Reverse) Repo. Withdrawal of funds (Repo transactions) from the aggregate Exchange Settlement (ES) Account pool of funds is shown as a negative (-) figure. Injection (Reverse Repo) of funds into the aggregate ES Account pool of funds is shown as a positive (+) figure. ‘Weighted average rate' is the is the average of the rates on (Reverse) Repos dealt by the Bank through Open Market Operations, weighted by the amount transacted.
• OMO Repo Unwinds
• The Repos Unwinds sheet shows, for all repurchase agreements contracted via the Reserve Bank’s open market operations, the aggregate repurchase amounts corresponding to each business day. Where the Reserve Bank has contracted to repurchase a greater amount of securities than it has agreed to resell, a negative amount will be shown.
• Long-Dated Open Market Operations
• The Long-Dated Open Market Operations is when the Bank purchases (or sells) eligible securities with terms to maturity greater than 18 months. These transactions are executed on an outright basis not under repurchase agreement, and for standard settlement date of T+2.