The characteristics and development of the Swiss franc repurchase agreement market

Kraenzlin, Sébastien

doi:10.1007/s11408-007-0047-5

Cited by 8 publications

(8 citation statements)

References 6 publications

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“…148 (4) 9 For a detailed overview on Swiss repo platform and the development of the Swiss franc repo market see Jordan (2007) and Kraenzlin (2007). 10 The analysis by Kraenzlin (2009) conducted.…”

Section: Market Interest Rate I Ibmentioning

confidence: 99%

Demand for reserves and the central bank’s management of interest rates

Kraenzlin

Schlegel

2012

Swiss J Economics Statistics

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Summary The implementation of monetary policy is prevalently done by interest rate targeting with a short term market rate serving as operational target. The instruments for achieving the operational target are the provision of reserves and the interest rate charged in these transactions. This paper presents a model for the estimation of the demand curve for reserves, derived from the central bank’s fixed rate tender auction and the interbank money market. Using data from Switzerland, the slope of the demand curve is estimated. Furthermore, properties of the demand curve such as the slope patterns in the course of a maintenance period and the slope in different monetary regimes are assessed. We find a steeper demand curve towards the end of the maintenance period and an increasing slope when the general interest rate level is high. Further, we investigate the role of the Swiss National Bank’s (SNB) interest rate in the fixed rate tender auctions. There is evidence that the SNB uses its auction rate to guide the interbank market rate.

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Section: Market Interest Rate I Ibmentioning

confidence: 99%

Demand for reserves and the central bank’s management of interest rates

Kraenzlin

Schlegel

2012

Swiss J Economics Statistics

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“…In contrast to Overnight transactions, the value date for Spot Next (Tom Next) transactions is one (two) working day(s) after conclusion of the transaction. 7 For a more detailed overview on the so-called Triparty Repo Service, which is carried out by SIS, as well as on how margin calls were met, see Jordan (2007) and Kraenzlin (2007). 8 Until 1 July 2003, the basket known today as 'CHF GC Basket' was called 'SNB GC Basket'.…”

Section: The Basket Structurementioning

confidence: 99%

“…In addition, transactions will only be taken into account if the securities provided belong to the 'SNB GC Basket'. 33 For additional information see Kraenzlin (2007).…”

Section: Appendixmentioning

confidence: 99%

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Interest rate setting on the Swiss Franc repo market

Kraenzlin¹

2009

Swiss J Economics Statistics

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Summary Repurchase agreements (repos) are secured money market transactions. The cash taker provides collateral in the form of securities and in return receives money from the cash provider. To ensure the continuous covering of the cash amount, the definition of eligible collateral, its handling and valuation play an important role. This is mainly because the collateral nearly eliminates credit risk. In Switzerland, Swiss franc repos are almost exclusively conducted via the highly standardized repo platform, with four different pre-defined collateral baskets. Each basket comprises different security categories, such as government bonds or covered bonds. This paper analyzes the interest rate setting on the repo market with data from June 1999 to June 2005. It evaluates if the securities provided as collateral influenced the repo rate or not. A price differentiation with respect to the collateral provided is found.

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“…More comprehensive contributions on the strategy can be found in Peytrignet (2001, 2007) and Meyer (2000). Veyrassat (2001Veyrassat ( , 2004 and Kraenzlin (2007) provide more detailed descriptions of repo operations. We also briefly survey the new measures taken by the SNB to steer the money market during the financial crisis of 2007-2008.…”

Section: The Monetary Policy Strategy and Its Repo Operationsmentioning

confidence: 99%