Search: credit risk/exposure
RBA Glossary definition for credit risk/exposure
credit risk/exposure – The risk that a counterparty will not settle an obligation for full value, either when due or thereafter. In 'exchange-for-value' systems, the risk is generally defined to include replacement risk (the risk of having to replace a contract at a potentially unfavourable price) and principal risk.
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The Australian Financial System
10 Sep 2009
FSR
– September 2009
Despite the recovery in activity, the scale of risk exposure assumed by the central counterparties supporting the equities and futures markets has declined. ... One measure of risk exposure is the value of margin held by the central counterparties in
https://www.rba.gov.au/publications/fsr/2009/sep/aus-fin-sys.html
Operations in Financial Markets
31 Aug 2007
RBA Annual Report
– 2007
levels. To minimise its exposure to credit risk the Reserve Bank mainly holds highly rated securities. ... base. Credit exposure to each counterparty is aggregated across all the products in which the Reserve Bank has dealt with that counterparty, with
https://www.rba.gov.au/publications/annual-reports/rba/2007/oper-fin-mkts.html
OTC Derivatives Reforms and the Australian Cross-currency Swap Market
24 Jun 2013
Bulletin
– June 2013
Reforms to improve the management of counterparty credit risk in over-the-counter (OTC) derivatives markets are underway globally. A key pillar of the reforms is the migration of these markets to central counterparties (CCPs), while higher capital
https://www.rba.gov.au/publications/bulletin/2013/jun/7.html
Non-dealer Clearing of Over-the-counter Derivatives
20 Mar 2014
Bulletin
– March 2014
In 2009, the G20 leaders agreed that all standardised over-the-counter (OTC) derivatives should be cleared through central counterparties (CCPs). Accordingly, an increasing proportion of OTC derivatives are now centrally cleared, particularly where
https://www.rba.gov.au/publications/bulletin/2014/mar/9.html
Note 16 | Financial Statements
20 Aug 2009
RBA Annual Report
– 2009
The RBA's maximum credit risk exposure in relation to off-balance sheet items is:. ... Concentration of credit risk. As noted, the RBA operates to minimise its credit risk exposure through comprehensive risk management policy guidelines.
https://www.rba.gov.au/publications/annual-reports/rba/2009/fin-statements/note-16.html
Note 15 – Financial Instruments and Risk
21 Oct 2021
RBA Annual Report
– 2021
Note 15 – Financial Instruments and Risk | Reserve Bank of Australia Annual Report – 2021
https://www.rba.gov.au/publications/annual-reports/rba/2021/financial-statements/note-15.html
Collateralised Debt Obligations in Australia
10 Sep 2005
FSR
– September 2005
In the simplest form of a CDO, this credit risk exposure is generated in the same way as for any asset-backed security (ABS): the CDO is backed by outright holdings ... Rather than directly holding a pool of corporate debt as collateral, an equivalent
https://www.rba.gov.au/publications/fsr/2005/sep/collateral-debt.html
Liquidity in Fixed Income Markets
16 Jun 2016
Bulletin
– June 2016
Fixed income markets in many jurisdictions have been going through a period of change, resulting in a debate as to whether they are continuing to function effectively, or will function effectively in times of stress. Changes in dealer business
https://www.rba.gov.au/publications/bulletin/2016/jun/7.html
Box A: Recent International Bank Failures – Causes, Regulatory Responses and Implications
6 Apr 2023
FSR
– April 2023
Box A: Recent International Bank Failures – Causes, Regulatory Responses and Implications | Financial Stability Review – April 2023
https://www.rba.gov.au/publications/fsr/2023/apr/box-a-recent-international-bank-failures-causes-regulatory-responses-and-implications.html
Note 15 – Financial Instruments and Risk | Financial Statements
25 Sep 2017
RBA Annual Report
– 2017
The RBA's maximum credit risk exposure to derivative financial instruments is:. ... Concentration of credit risk. As noted, the RBA operates to minimise its credit risk exposure through comprehensive risk management policy guidelines.
https://www.rba.gov.au/publications/annual-reports/rba/2017/financial-statements/note-15.html