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RBA Glossary definition for securities

securities – A financial instrument which represents a claim over real assets or a future income stream. Such instruments are usually tradeable. Examples of securities include bonds, bills of exchange, promissory notes, certificates of deposit and shares.

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Macrofinancial Stress Testing on Australian Banks

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
This mechanism captures the historical pattern that marginal spreads on wholesale funding – debt securities and deposits of large wholesale/institutional customers – rise quickly when economic activity drops and uncertainty rises. ... These derived
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html

Appendix A: Model Specifications

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
it. –1. ), which is the combination of all the remaining securities asset classes. ... security. It also ensures that banks are acting ‘rationally’ when they liquidate all their AGS before turning to other securities sales.
https://www.rba.gov.au/publications/rdp/2022/2022-03/appendix-a.html

Contagion Modelling and Feedback Loops

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
If this is not enough to satisfy the run, banks sell AGS, then semis, and then other marketable securities on their balance sheet. ... private sector securities that would likely experience a much larger price fall in response to attempts to sell.
https://www.rba.gov.au/publications/rdp/2022/2022-03/contagion-modelling-and-feedback-loops.html

Model Framework

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
This mechanism captures the historical pattern that marginal spreads on wholesale funding – debt securities and deposits of large wholesale/institutional customers – rise quickly when economic activity drops and uncertainty rises.
https://www.rba.gov.au/publications/rdp/2022/2022-03/model-framework.html

Non-technical summary for ‘The Rise in Household Liquidity’

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
Fire sales: to satisfy liquidity needs a banks may begin to sell its securities, which can depress the prices of these securities and force other banks to mark down their value.
https://www.rba.gov.au/publications/rdp/2022/2022-03/non-technical-summary.html

Credit Loss Modelling

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
However, the latter estimate is based on a smaller sample of publicly traded residential mortgage-backed securities (RMBS), and selection bias in this sample (arising from incentives for RMBS issuers to ... These derived PDs are then combined with LGD
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html