رفتار مناقصه در مزایده بهره SNB

The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the banks’ bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. We find that a bank’s bids from the previous day, the amount of maturing repo operations with the SNB as well as the maturing volume on the interbank repo market have for most banks a significant effect. The autonomous factors (government balances at the SNB and currency in circulation) are of only minor importance. A further determinant is the attractiveness of the SNB’s auction rate compared to the prevailing interbank market repo rate. Further, the question is addressed whether the bidding behavior changed in the financial market crisis of 2007/2008. There is little evidence of a systematic change in bidding behavior in the crisis. This results from the fact that the SNB has addressed the volatile demand for reserves in the crisis with overnight fine-tuning operations.

The SNB’s main instrument to manage its reference rate, the 3-month Libor, are daily repo transactions.1 Through repo operations the SNB provides reserves to the banking system (sight deposits at the SNB). To guarantee an equal treatment of all counterparties, the SNB conducts its daily 1-week repo transactions in the form of an auction. It thereby uses a fixed rate tender. The SNB announces the conditions of the repo transaction (repo rate and term). The counterparties submit their bids. Each counterparty submits the amount for which it is willing to accept reserves at the given repo rate. If the total amount of all bids exceeds the SNB’s planned allotment, it allocates the reserves proportionally to the counterparty’s bid (see SNB, 2008). Since banks usually anticipate the proportional cut of their bid, they incorporate this expectation when assessing the amount to tender.

To pursue its monetary policy, the SNB uses a target range for the Swiss franc 3-month Libor as operational target. The SNB employs open market operations to govern the 3-month Libor in the target range. Its main instrument therefore is repo auctions. Among these repo auctions, the 1-week tenor is by far the most frequently used term. This paper examines the banks’ bidding behavior in the SNB’s 1-week repo auction before and during the money market turmoil of 2007/2008. There are several rationales for a bank to participate in the auction. We divide the relevant determinants into liquidity and interest rate factors. Seven liquidity factors are identified, among others, a bank’s own bids in the auction of the previous day, a bank’s maturing repo volume with the SNB and autonomous factors such as government balances at the SNB and banknotes in circulation. In contrast to the existing literature we also take a bank’s activity on the interbank money market into account. Based on unique data from the interbank repo market we can thereby assess if banks try to roll over a certain part of the maturing volume on the interbank repo market with refinancing from the SNB. The set of interest rate factors includes rates from the repo interbank market, the unsecured money market and the FX-swap market.