{readAOFM} exists with the goal of making it easier to download data from the AOFM’s datahub.
The package enables you to read most of the datasets from the AOFM’s datahub with the exception of Other Historical Datasets.
One line to pull in the data in a tidy format, and a few more lines to make a chart
library(here)
source(here("script", "tidy_data.R"))
## Treasury Bond Coverage Ratio's
p <- read_aofm("tb", "issuance") %>%
filter(name == "coverage_ratio") %>%
ggplot(aes(x = date_held
, y = value
, colour = as.numeric(difftime(maturity, date_held))/365
)) +
geom_point() +
theme_minimal() +
xlab("Issuance date") +
ylab("Coverage ratio") +
guides(colour=guide_legend(title="Tenor (yrs)")) +
ggtitle("AOFM Treasury Bond Issuance - Coverage Ratio")
p
What the data looks like:
print(read_aofm("tb", "issuance"))#> # A tibble: 23,322 × 7
#> date_held tender_number maturity isin date_settled name value
#> <date> <chr> <date> <chr> <date> <chr> <dbl>
#> 1 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 coupon 1.5 e1
#> 2 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 amount_… 1.5 e8
#> 3 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 amount_… 1.5 e8
#> 4 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 amount_… 5.22e8
#> 5 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 coverag… 3.52e0
#> 6 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 weighte… 1.53e1
#> 7 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 lowest_… 1.52e1
#> 8 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 highest… 1.53e1
#> 9 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 highest… 1.63e1
#> 10 1982-09-17 TB2 1992-03-16 AU0000XCLQA2 1982-09-22 weighte… 1.55e1
#> # ℹ 23,312 more rows
The read_aofm function takes up to four arguments:
- security, ## options include; tb, tib, tn, slf, summary, aggregate, ownership, retail, term.premium
- type, ## options include; dealt, settlement, issuance, syndication, buyback, turnover
- csv = FALSE, ## defaults to FALSE, if TRUE it will output a csv to /ouput with the cleaned data
- data.index = index, ## an index of data on the AOFM website, pulled from index.R
The function needs to be written to an object like the below:
- Where the excel files has multiple sheets the data is written to a list object with a list element for each sheet.
- The “Notes” sheet in the orignal files is not read into R
tb_issuance <- read_aofm("tb", "issuance")To see the index of files/arguments to pass, use:
browse_tables()
#> Argument 1 Argument 2 AOFM Category
#> 1 summary <NA> End of Financial Year Positions
#> 2 aggregate dealt End of Month Positions
#> 3 aggregate settlement End of Month Positions
#> 4 tb dealt End of Month Positions
#> 5 tb settlement End of Month Positions
#> 6 tib dealt End of Month Positions
#> 7 tib settlement End of Month Positions
#> 8 tn dealt End of Month Positions
#> 9 tn settlement End of Month Positions
#> 10 tb issuance Transactional Data
#> 11 <NA> <NA> Transactional Data
#> 12 tb syndication Transactional Data
#> 13 tb buyback Transactional Data
#> 14 tib issuance Transactional Data
#> 15 tib syndication Transactional Data
#> 16 tib buyback Transactional Data
#> 17 tn issuance Transactional Data
#> 18 retail <NA> Transactional Data
#> 19 slf <NA> Transactional Data
#> 20 ownership public Ownership of Australian Government Securities
#> 21 ownership nonresident Ownership of Australian Government Securities
#> 22 tb turnover AGS Secondary Market Turnover
#> 23 tib turnover AGS Secondary Market Turnover
#> 24 termpremium <NA> Term Premium Estimates
#> 25 <NA> <NA> Other Historical Data Sets
#> 26 <NA> <NA> Other Historical Data Sets
#> 27 <NA> <NA> Other Historical Data Sets
#> 28 <NA> <NA> Other Historical Data Sets
#> 29 <NA> <NA> Other Historical Data Sets
#> 30 <NA> <NA> Other Historical Data Sets
#> AOFM Title
#> 1 Executive Summary
#> 2 Portfolio Aggregate
#> 3 Portfolio Aggregate
#> 4 Treasury Bonds
#> 5 Treasury Bonds
#> 6 Treasury Indexed Bonds
#> 7 Treasury Indexed Bonds
#> 8 Treasury Notes
#> 9 Treasury Notes
#> 10 Treasury Bond Issuance
#> 11 Treasury Bond Issuance
#> 12 Treasury Bond Issuance
#> 13 Treasury Bond Buybacks
#> 14 Treasury Indexed Bond Issuance
#> 15 Treasury Indexed Bond Issuance
#> 16 Treasury Indexed Bond Buybacks
#> 17 Treasury Notes Issuance
#> 18 Retail Buyback Facility
#> 19 Securities Lending Facility
#> 20 Public Register of Government Borrowings
#> 21 Non-resident Holdings of AGS
#> 22 Secondary Market Turnover of Treasury Bonds
#> 23 Secondary Market Turnover of Treasury Indexed Bonds
#> 24 Term Premium Estimates
#> 25 Indexation Factors
#> 26 RMBS Transactions
#> 27 RMBS Auctions
#> 28 Interest Rate Swaps
#> 29 Cross Currency Swaps
#> 30 Portfolio Overview
#> AOFM Description
#> 1 Overview of AGS outstanding and investments held.
#> 2 Dealt Basis. End of month AGS outstanding and investments held. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 3 Settlement Basis. End of month AGS outstanding and investments held. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 4 Dealt Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 5 Settlement Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 6 Dealt Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 7 Settlement Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 8 Dealt Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 9 Settlement Basis. End of month outstanding volume for each security type and maturity. Includes Face Value, Market Value, Delta, Duration and Tenor.
#> 10 Issuance via tender or syndication.
#> 11 Issuance via conversion or switch.
#> 12 Data from syndicated issues including investor details.
#> 13 Wholesale buybacks via tender, syndication or with the RBA.
#> 14 Issuance via tender, syndication, tap, panel or conversion.
#> 15 Data from syndicated issues including investor details.
#> 16 Wholesale buybacks via syndication or fixed price tender.
#> 17 Issuance via tender.
#> 18 Retail buybacks through the Buyback Facility.
#> 19 Bonds lent on an open term basis via the Securities Lending Facility.
#> 20 Beneficial ownership, by country, of all securities issued by the Australian Commonwealth Government and any securities guaranteed by the Commonwealth that are issued by Australian States or Territories.
#> 21 Non-resident holdings of AGS including adjustments made for activity in the repo market.
#> 22 Survey results from bond market intermediaries detailing their turnover in AGS. This data will be updated quarterly on the last business day of the month with a two month lag (i.e. on the last business day of May, August, November, and February each year).
#> 23 Survey results from bond market intermediaries detailing their turnover in AGS. This data will be updated quarterly on the last business day of the month with a two month lag (i.e. on the last business day of May, August, November, and February each year).
#> 24 Daily yield decomposition of Australian Treasury Bond term structure and term premium estimates.
#> 25 A time series of indexation factors for Treasury Indexed Bonds.
#> 26 A summary of AOFM participation in Residential Mortgage Backed Security (RMBS) transactions prior to 2020.
#> 27 A summary of AOFM RMBS auction results prior to 2020.
#> 28 AOFM transactions in Australian Dollar Interest Rate Swaps.
#> 29 AOFM transactions in Cross Currency Interest Rate Swaps.
#> 30 An overview of end of financial year outstanding amounts for AGS on issue prior to 2003.download.R contains two functions:
- download_aofm_xlsx() enables you down a single file (or all data
files) from the AOFM’s website to a /data subfolder
- if no argument is passed; it will download all files from the AOFM’s webite
- if an argument with multiple matches is passed it will download all matching tables
- if two arguments are passed (security, type) it will download the specific table
- find_file() takes arguments for (security, type) and returns a table id
The AOFM website may, at any time, change in such a way that the package stops working (esp if they change the structure of the files).
This package is not affiliated with or endorsed by AOFM, all data is provided under any terms set out on the AOFM website.