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RBA Glossary definition for securitisation

securitisation – Asset securitisation is the process of converting a pool of illiquid assets, such as residential mortgages, into tradeable securities.

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Appendix C: Full Results

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
May. Jun. Jul. Aug. Sep. Oct. Self-securitisation adequacy. 0.001. (0.000). 0.001. ... May. Jun. Jul. Aug. Sep. Oct. Self-securitisation dummy. 0.304. (0.099). 0.304.
https://www.rba.gov.au/publications/rdp/2022/2022-07/appendix-c.html

Appendix B: Coefficient Figures

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
Self-securitisation adequacy, regression coefficient. Note: Whiskers show Anderson–Rubin 95 per cent confidence intervals. ... Self-securitisation binary, regression coefficient. Notes: Whiskers show 95 per cent confidence intervals. The filled
https://www.rba.gov.au/publications/rdp/2022/2022-07/appendix-b.html

References

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
Kohler M (2021), ‘Australian Securities Markets Through the Pandemic’, Keynote Address to the Australian Securitisation Forum Virtual Conference 2021, Online, 23 November.
https://www.rba.gov.au/publications/rdp/2022/2022-07/references.html

Policy Design and Background

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
By pledging self-securitisations, banks could avoid the need to fund the acquisition of other collateral. ... Indeed, self-securitisations constituted over 90 per cent of collateral pledged for the TFF by value.
https://www.rba.gov.au/publications/rdp/2022/2022-07/policy-design-and-background.html

Appendix A: Data Description

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
To avoid endogeneity issues we use data as at May 2020, prior to some banks establishing self-securitisations to facilitate accessing the TFF.
https://www.rba.gov.au/publications/rdp/2022/2022-07/appendix-a.html

The Term Funding Facility: Has It Encouraged Business Lending?

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
By pledging self-securitisations, banks could avoid the need to fund the acquisition of other collateral. ... Indeed, self-securitisations constituted over 90 per cent of collateral pledged for the TFF by value.
https://www.rba.gov.au/publications/rdp/2022/2022-07/full.html

The International Context

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
This included the TFF which, as discussed above, allowed banks to post self-securitisation notes for funding (avoiding a drain on their liquid assets or the need to borrow to purchase
https://www.rba.gov.au/publications/rdp/2022/2022-07/the-international-context.html

Identification Strategies, Challenges and Assumptions

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
It is likely that, in net terms, the effect of the Structured Finance Support Fund and low cost of securitisation issuance would support non-banks' business lending relative to banks' lending. ... securitisations). As such, banks with self-securitised
https://www.rba.gov.au/publications/rdp/2022/2022-07/identification-strategies-challenges-and-assumptions.html

Did a Lender's Take-up of the TFF Affect Their Business Lending?

13 Dec 2022 RDP 2022-07
Sharon Lai, Kevin Lane and Laura Nunn
s self-securitisations (the value of self-securitised assets as a share of the bank's total cash limit). ... Self-securitisation binary, regression coefficient. Note: Whiskers show Anderson–Rubin 95 per cent confidence intervals.
https://www.rba.gov.au/publications/rdp/2022/2022-07/did-a-lenders-take-up-of-the-tff-affect-their-business-lending.html