Search: securitisation
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.
Search Results
Data Description
22 Jul 2020
RDP
2020-03
Balance-weighted share of securitised loans, June 2019. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. ... Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. Regional economic data are
https://www.rba.gov.au/publications/rdp/2020/2020-03/data-description.html
The Determinants of Mortgage Defaults in Australia – Evidence for the Double-trigger Hypothesis
22 Jul 2020
RDP
2020-03
Balance-weighted share of securitised loans, June 2019. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. ... Note: First arrears events. Sources: Author's calculations; CoreLogic data; RBA; Securitisation System.
https://www.rba.gov.au/publications/rdp/2020/2020-03/full.html
Results
22 Jul 2020
RDP
2020-03
a) From model excluding the socio-economic index. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. ... Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. Figure 9: Stage One Hazard Ratios –
https://www.rba.gov.au/publications/rdp/2020/2020-03/results.html
Appendix A: Summary Statistics and Variable Definitions
22 Jul 2020
RDP
2020-03
Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. Table A2: Key Variable Definitions. ... Loan. Securitisation System; Author's calculations. Buffer. Maximum number of months of excess repayments, lagged 12 months.
https://www.rba.gov.au/publications/rdp/2020/2020-03/appendix-a.html
Discussion
22 Jul 2020
RDP
2020-03
a) Estimate from model excluding the SEIFA variable. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. ... Post-Cox model estimation, at means. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System.
https://www.rba.gov.au/publications/rdp/2020/2020-03/discussion.html
References
22 Jul 2020
RDP
2020-03
Fernandes K and D Jones (2018), ‘The Reserve Bank's Securitisation Dataset’, RBA Bulletin, December, viewed 19 February 2020. ... Kohler M (2017), ‘Mortgage Insights from Securitisation Data’, Address to the Australian Securitisation Forum, Sydney
https://www.rba.gov.au/publications/rdp/2020/2020-03/references.html
Read me
14 Mar 2020
RDP
2020-03
The following data sources were used:. Loan-level data:. Obtained from the Securitisation Dataset – not available for release. ... Reserve Bank's Securitisation Dataset’, RBA Bulletin, December, available at
https://www.rba.gov.au/publications/rdp/2020/2020-03/read-me.html
Appendix B: Full Results
22 Jul 2020
RDP
2020-03
a) Estimate from model excluding the SEIFA variable. Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. ... Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System. Table B2: Stage Two Results –
https://www.rba.gov.au/publications/rdp/2020/2020-03/appendix-b.html
Stylised Facts
22 Jul 2020
RDP
2020-03
Sources: ABS; Author's calculations; RBA; Securitisation System. Transitions of loans from arrears, and the time they take to transition, are a function of both borrowers' and lenders' actions. ... Note: First arrears events. Sources: Author's
https://www.rba.gov.au/publications/rdp/2020/2020-03/stylised-facts.html
Appendix C: Robustness Checks – Multinomial Logit Models
22 Jul 2020
RDP
2020-03
Sources: ABS; Author's calculations; CoreLogic data; RBA; Securitisation System.
https://www.rba.gov.au/publications/rdp/2020/2020-03/appendix-c.html