ASX ReferencePoint®

Austraclear® debt market activity

Yes, there is an unsupported REST API that can be used for download automation purposes. Read our API Guide to find out more.

The bond and money market activity products distinguish between primary and secondary market activity to avoid primary market activity impacting secondary market metrics and vice versa. The insights from these individual datasets have specific context, which is diminished when combined.

No. Austraclear® prohibits the identification of individual transactions and participants to protect participant privacy and minimise commercial risk. The data output is de-identified and aggregated if there is sufficient peer activity. Where there is insufficient peer activity for aggregation, the transaction data is suppressed at the respective report level and timeframe.

The data references all settled transactions in Austraclear® at end of day on the day of settlement, representing market-wide activity, and encompassing voice-based and electronic trade executions. Associated price discovery and competitive quotation data is not included in these data products. 

To ensure sufficient de-identification, a minimum of four unique participant firms comprising at least three unique seller and three unique buyer firms is required at the instrument/collateral level. This number increases to five and then six for weekly and monthly timeframes respectively to mitigate re-engineering risk across report time-frames. At the sector and sector and tenor aggregation levels, at least three unique issuers must be represented (excluding government sector instruments). A minimum of three Austraclear® business days of activity is also required for weekly data reports. 

Number and volume of executed/settled trades, daily frequency of transactions, turnover ratio relative to the amount on issue, relative settled activity (RVOL) vs 1 & 3 month averages, and engagement metrics that provide a comparable volume-weighted measure of market participation in terms of both activity and holdings.

In conjunction with the de-identification approach described above, we use the Herfindahl-Hirschman Index (HHI) to provide anonymous standardised volume-weighted measures of concentration across Austraclear® transacting participants and holders. HHI quantifies the size and breadth of participants in relation to the instrument or segment and reflects a volume-adjusted measure of diversity among them. HHI can range from 0 to 1.0, moving from a large number of very small participants to a single dominant entity. Increases in HHI generally indicate a decrease in diversity or competition and an increase of concentrated market power. Decreases indicate the opposite.

No suppression impact is expected at the sector aggregate level. Sector-level metrics within the bond, money market and repo front and back leg categories should reflect the full spectrum of activity within the market across all respective timeframes (i.e. daily through to yearly).

Tenor aggregate metrics within each sector should generally also satisfy the suppression thresholds and reflect the full set of trading activity. Sectors and tenors with fewer issuers, instruments and participants in shorter timeframes are expected to be those most likely impacted by the suppression thresholds. Comparing the tenor-level metrics against the respective higher-order sector metrics for the same timeframe will confirm if and where there is any suppression impact in the tenor-level metrics. If there has been no activity at sector or tenor level a zero will be displayed. If suppression has been applied at this level the field will be blank or null (i.e. not zero).

The settlement activity suppression impact is expected to be greatest for shorter reporting timeframes and for less active instruments with fewer participants. The suppression logic will exclude all details for impacted instruments for the respective timeframes. Activity data on these instruments will likely be reflected in sector reports and wider timeframes where activity satisfies the suppression thresholds.

The trade-off with the timeliness of the shorter timeframe data (e.g. daily) is that the metrics for those instruments and tenor bands where there isn’t enough activity and diversity of participation will be suppressed for the respective timeframe(s). The rationale for providing activity metrics across different aggregation tiers and wider timeframes is partly to provide activity-related context for instruments and sectors where individual instrument activity is periodic and often suppressed.

Yes, the data is available for redistribution via vendors and redistributor channels. Please contact us to discuss the vendor channels that can be used to interact with our data products.