Search: CCP Standards

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1–8 of 8 collapsed search results for CCP Standards

RBA Glossary definition for CCP

CCP – Central counterparty

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Contagion Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
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

Central Counterparty Loss Allocation and Transmission of Financial Stress

18 Mar 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
This mechanism is considered in international standard-setters' guidance on recovery planning for CCPs and has been adopted by some CCPs. ... The paper demonstrates that designing and operating CCPs in accordance with international standards can limit
https://www.rba.gov.au/publications/rdp/2015/2015-02.html

Introduction

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
This analysis supports the view that a well-designed CCP operating in accordance with international risk management standards can be a source of stability in the system, rather than a source ... International standards place tight limits on a CCP's
https://www.rba.gov.au/publications/rdp/2015/2015-02/introduction.html

Data and Exposure Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
As noted, the scope for netting will depend on the extent to which transactions are cleared non-centrally, through a single CCP, or through separate CCPs for each asset class. ... At the time of writing it has become common for some products – notably,
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html

Conclusions

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
At the time of writing, CCPs' risk management arrangements have been the subject of considerable policy debate. ... We conclude that, while CCPs are central nodes in the financial network, maintaining CCP financial resources in accordance with
https://www.rba.gov.au/publications/rdp/2015/2015-02/conclusions.html

Policy Implications

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
In such circumstances, the CCP's pre-funded financial resources could be exhausted. ... analysis and allow better comparison of resilience and loss-absorbing capacity across CCPs.
https://www.rba.gov.au/publications/rdp/2015/2015-02/policy-implications.html

Background and Relevant Literature

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Accordingly, international policymakers and standard-setters have focused increasingly on CCP resilience in recent years. ... connections with the financial markets that a CCP serves, its participants, and linked CCPs and other financial market
https://www.rba.gov.au/publications/rdp/2015/2015-02/background-relevant-literature.html

References

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Bank for International Settlements, Basel. CPMI-IOSCO (2015),. Public Quantitative Disclosure Standards for Central Counterparties. , ... ISDA (International Swaps and Derivatives Association) (2013), ‘CCP Loss Allocation at the End of the Waterfall’,
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html