Search: securities
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.
Search Results
Identifying Repo Market Microstructure from Securities Transactions Data
16 Aug 2018
RDP
2018-09
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... This paper provides and assesses an algorithm for extracting loan-level repo data from over-the-counter securities transactions data,
https://www.rba.gov.au/publications/rdp/2018/2018-09.html
Identifying Repo Market Microstructure from Securities Transactions Data
6 Sep 2018
RDP
2018-09
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data.
https://www.rba.gov.au/publications/rdp/2018/2018-09/sections.html
Conclusion
15 Aug 2018
RDP
2018-09
RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data 6. ... Download the Paper 2.7. MB. This paper provides an algorithm for extracting loan-level repo data from securities transactions data and uses the algorithm for a
https://www.rba.gov.au/publications/rdp/2018/2018-09/conclusion.html
References
15 Aug 2018
RDP
2018-09
160. Adrian T, B Begalle, A Copeland and A Martin (2014), ‘Repo and Securities Lending’, in M Brunnermeier and A Krishnamurthy (eds), Risk Topography: Systemic Risk and Macro Modeling, National Bureau ... Bartolini L, S Hilton, S Sundaresan and C
https://www.rba.gov.au/publications/rdp/2018/2018-09/references.html
Identifying Repo Market Microstructure from Securities Transactions Data
1 Aug 2018
RDP
2018-09
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... Eight datasets containing the securities transactions for each of the eight sample windows.
https://www.rba.gov.au/publications/rdp/2018/2018-09/read-me.html
Introduction
15 Aug 2018
RDP
2018-09
Borrowers provide and receive back securities as collateral alongside their receipt and repayment of the cash that they borrow. ... 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
Supplementary Information for RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data
1 Aug 2018
RDP
2018-09
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data.
https://www.rba.gov.au/publications/rdp/2018/2018-09/supplementary-information.html
The Repo-detection Algorithm
15 Aug 2018
RDP
2018-09
Consideration: the amount of money, if any, transferred in the opposite direction to the securities. ... C6. At no point does the lender return more securities than it has received.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html
The Algorithm Performance
15 Aug 2018
RDP
2018-09
This permits Austraclear account holders to simultaneously settle securities with central bank money. ... Other than discount securities (i.e. securities that do not have coupon payments) issued by non-government entities and cash-only transactions, all
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
Third, repos involving Australian dollar-denominated securities but foreign currency would not be detected because the cash side would not appear in the Austraclear data. ... It is also possible that repos reported to APRA are netted against trades in
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html