Search: Austraclear

Sort by: Relevance Date
1–7 of 7 collapsed search results for Austraclear

RBA Glossary definition for Austraclear

Austraclear – Austraclear provides settlement services for the OTC debt market and for derivatives traded on the ASX and ASX 24 markets. Austraclear is a wholly owned subsidiary of the ASX group.

Search Results

Identifying Repo Market Microstructure from Securities Transactions Data

16 Aug 2018 RDP 2018-09
Nicholas Garvin
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. ... non-Austraclear) infrastructure, the two datasets
https://www.rba.gov.au/publications/rdp/2018/2018-09.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
This permits Austraclear account holders to simultaneously settle securities with central bank money. ... Notes: Austraclear sample years are 2006, 2008, 2009, 2010, 2012, 2013, 2014 and 2015.
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html

The Algorithm Performance

15 Aug 2018 RDP 2018-09
Nicholas Garvin
This permits Austraclear account holders to simultaneously settle securities with central bank money. ... The conditions and the ways I relax them are:. C2: All transactions occur between the same two Austraclear accounts.
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
Nicholas Garvin
Figure 3: Outstanding Repos (excluding RBA) by Data Source. Austraclear sample years as at end September. ... Notes: Austraclear sample years are 2006, 2008, 2009, 2010, 2012, 2013, 2014 and 2015.
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
In Section 3, I run the algorithm on securities transactions data from Austraclear that cover several two-month windows of transactions from 2006 to 2015, and assess its performance. ... Otherwise, most of the turnover is distributed across around 20
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html

The Australian Repo Market Microstructure

15 Aug 2018 RDP 2018-09
Nicholas Garvin
The data cover the segment of the short-term (i.e. two weeks or less) repo market that is transacted through Austraclear. ... For this variable, Austraclear transactions with non-zero considerations that are not part of repos are interpreted as outright
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
Obtained from ASX. Eight datasets aligning Austraclear account IDs with account names for each sample window.
https://www.rba.gov.au/publications/rdp/2018/2018-09/read-me.html