Search: CCP Standards
RBA Glossary definition for CCP
CCP – Central counterparty
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CCP Links and Exposure
31 Dec 2013
RDP
2013-12
one between the buyer and its CCP, and one between the two CCPs. ... Figure 1: Unlinked and Linked CCPs. However, CCP links also generate exposures that could pose financial stability risks.
https://www.rba.gov.au/publications/rdp/2013/2013-12/ccp-links-cs-exposures.html
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Results
22 Nov 2016
RDP
2016-07
In contrast, the constrained-efficient solution internalises the costs of traders' defaults on the CCP. ... Third, quantitatively our model suggests that current international standards that require CCPs to set margin to cover at least 99 per cent of
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html
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Contagion Analysis
29 Sep 2015
RDP
2015-02
i). (ii). (iii). (iv). Price change (standard deviations). 2.67. 3.89. 3.89. ... VMGH therefore allows for partial payment of variation margin obligations by a CCP.
https://www.rba.gov.au/publications/rdp/2015/2015-02/contagion-analysis.html
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The Efficiency of Central Clearing: A Segmented Markets Approach
24 Oct 2016
RDP
PDF
2054KB
largest single participant. The three OTC derivatives CCPs licensed in Australia all meet the ‘cover two’ standard. ... 20 In reality, CCPs scale default fund requirements based on traders’ activity through the CCP.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-07.pdf
Central Counterparty Loss Allocation and Transmission of Financial Stress
16 Mar 2015
RDP
PDF
1285KB
International standards place tight limits on a CCP’s discretion in these activities. ... Accordingly, international policymakers and standard-setters have focused increasingly on CCP resilience in recent years.
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-02.pdf
Central Counterparty Links and Clearing System Exposures
2 Feb 2015
RDP
PDF
3395KB
to be reduced by allowing netting across CCPs,CCPs become exposed to one another through the possibility of a CCP default.The change in system exposure resulting from these two effects ... We use this exposure-netting ratio, R, to assess the effect of
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-12.pdf
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
Panel B of Table 1 reports the means and standard deviations before standardisation. ... Table 2: Borrower-Lender Matching – by Market. Coefficient estimates, standard errors in parentheses.
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html
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The Role of Collateral in Borrowing
14 Jan 2021
RDP
PDF
1784KB
more by the central counterparty (CCP) infrastructure than by the presence of collateral, consistent. ... Skeie and von Thadden 2014). Mancini et al write ‘the CCP-based segment represents the sole.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf
A Contingent Claim Analysis of Risk-based Capital Standards for Banks
1 Sep 1992
RDP
9210
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1992/9210.html
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The Australian Economy and Financial Markets
2 May 2024
Chart Pack
PDF
5792KB
The Australian Economy and Financial Markets - May 2024
https://www.rba.gov.au/chart-pack/pdf/chart-pack.pdf