Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data

Contents

• Introduction
• The Repo-detection Algorithm
• The Algorithm Performance
• Comparing the Output with Prudential Data
• The Australian Repo Market Microstructure
• Conclusion
• References

I would like to thank ASX staff Tim Hogben and Wayne Jordan for help with the data, and Chris Becker, Matt Boge, Anthony Brassil, Michele Bullock, Jon Cheshire, Duke Cole, Jenny Hancock, David Hughes, Mark Manning, Yasaman Naghiloo, David Olivan and John Simon for input, feedback and assistance. The views in this paper are my own and do not necessarily reflect the views of the Reserve Bank of Australia. Any errors are my own.