2011/12 Assessment of Clearing and Settlement Facilities in Australia Glossary

ADI Authorised deposit-taking institution ETO Exchange-traded option
AIM Additional Initial Margin EWMA Exponentially-weighted moving average
AMO Approved market operator FEX Financial and Energy Exchange
APRA Australian Prudential Regulation Authority FMI Financial market infrastructure
ASIC Australian Securities and Investments Commission FSS Financial Stability Standard
    HSVaR Historic simulation of value-at-risk
CAC Contributions and Additional Cover ICR Internal credit rating
CBPL Capital-based position limit IOSCO International Organization of Securities Commissions
CCP Central counterparty    
CGS Commonwealth Government Securities IT Information technology
CEO Chief Executive Officer LEPO Low exercise price option
CHESS Clearing House Electronic Sub-register System NTA Net tangible asset
    OTC Over-the-counter
CME Chicago Mercantile Exchange PSR Price scanning range
CMM Cash Market margining RITS Reserve Bank Information and Transfer Systems
CPSS Committee on Payment and Settlement Systems    
    RTGS Real-time gross settlement
CRM Clearing Risk Management SPAN Standard Portfolio Analysis of Risk
CRO Chief Risk Officer SSF Securities settlement facility
CS Clearing and settlement STEL Stress-test exposure limit
DCS Derivatives Clearing System SWIFT Society for Worldwide Interbank Financial Telecommunication
DLR Default liquidity requirement    
DMC Default Management Committee TAS Trade Acceptance Service
DMF Default management framework TIMS Theoretical Intermarket Margin System
DvP Delivery-versus-payment VSR Volatility scanning range
ESA Exchange Settlement Account