Search: IT
RBA Glossary definition for IT
IT – Information Technology
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Identifying Repo Market Microstructure from Securities Transactions Data
16 Aug 2018
RDP
2018-09
This paper provides and assesses an algorithm for extracting loan-level repo data from over-the-counter securities transactions data, and applies it to securities transactions data from Austraclear.
https://www.rba.gov.au/publications/rdp/2018/2018-09.html
The Repo-detection Algorithm
15 Aug 2018
RDP
2018-09
C6. At no point does the lender return more securities than it has received. ... Alternatively, it would be straightforward to choose from overlapping repos using other characteristics such as implied interest rate or settlement times.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html
Identifying Repo Market Microstructure from Securities Transactions Data
1 Aug 2018
RDP
2018-09
Many subsequent studies have used it to analyse unsecured interbank markets at the loan level. ... C6. At no point does the lender return more securities than it has received.
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html
Introduction
15 Aug 2018
RDP
2018-09
Many subsequent studies have used it to analyse unsecured interbank markets at the loan level. ... It is represented as a set of conditions that identify a group of securities transactions as a detected repo.
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html
The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
The dummy is a proxy and may result in underestimates if it also picks up repos used for other purposes. ... It is therefore problematic to directly compare the market shares of repos that have large differences in maturities.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html
The Algorithm Performance
15 Aug 2018
RDP
2018-09
Download the Paper 2.7. MB. In this section I assess the performance of the algorithm described in Section 2 by running it on transactions data and reporting statistics related to ... Austraclear is the primary CSD for Australian dollar-denominated debt
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html
Comparing the Output with Prudential Data
15 Aug 2018
RDP
2018-09
Since non-residents are more likely to hold ICSD accounts than Austraclear accounts, it seems likely that these lending positions would not appear in the algorithm data. ... It is also possible that repos reported to APRA are netted against trades in the
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html