Search: Close-out netting
RBA Glossary definition for Close-out netting
Close-out netting – An arrangement to settle all contracted but not yet due liabilities to, and claims on, an institution by a single payment, immediately upon the occurrence of one of a list of defined events such as the appointment of a liquidator to that institution.
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The Model
22 Nov 2016
RDP
2016-07
For instance: we do not consider how networks affect the structure of risk and the efficiency of netting arrangements (e.g. ... Both have occurred in recent practice: SwapClear was able to close out the Lehman Brothers portfolio in 2008 without exceeding
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html
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The Efficiency of Central Clearing: A Segmented Markets Approach
24 Oct 2016
RDP
PDF
2054KB
Both. have occurred in recent practice: SwapClear was able to close out the Lehman Brothers portfolio in 2008 without. ... understanding how close different market structures come to the constrained optimum of the.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-07.pdf
CCPs and Banks: Different Risks, Different Regulations
17 Dec 2015
Bulletin
– December 2015
Recent debate on the adequacy of regulatory standards for central counterparties (CCPs) has often drawn on the experience of bank regulation. This article draws out the essential differences between CCPs and banks, considering the implications of
https://www.rba.gov.au/publications/bulletin/2015/dec/8.html
CCPs and Banks: Different Risks, Different Regulations
15 Dec 2015
Bulletin
December Quarter 2015
PDF
159KB
https://www.rba.gov.au/publications/bulletin/2015/dec/pdf/bu-1215-8.pdf
Data and Exposure Analysis
29 Sep 2015
RDP
2015-02
The future regulatory minimum in non-centrally cleared settings is ten days, reflecting the likelihood that it will be more difficult to close out positions in a decentralised setting than via ... Initial margin again increases with the assumed closeout
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html
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Central Counterparty Loss Allocation and Transmission of Financial Stress
16 Mar 2015
RDP
PDF
1285KB
JEL Classification Numbers: E42, G17, G230 Keywords: clearing, netting, financial stability, central counterparty, derivatives,. ... The future regulatory minimum in non-centrally cleared settings is ten days, reflecting the likelihood that it will be
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
For participantsi and j, let Xki j represent the net obligation of i to j in product k that could accruein the future over the close-out period. ... While participants may have an expectation that their positions will beprofitable, intermediate gains and
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-12.pdf
Model Framework
31 Dec 2013
RDP
2013-12
For participants i and j, let. represent the net obligation of i to j in product k that could accrue in the future over the close-out period. ... For a close-out period similar in length to the frequency over which variation margining is calculated,.
https://www.rba.gov.au/publications/rdp/2013/2013-12/model-framework.html
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Recovery and Resolution of Central Counterparties
19 Dec 2013
Bulletin
– December 2013
The increasing importance of central counterparties (CCPs) to financial stability has prompted regulators to take steps to ensure that critical CCP services can continue in circumstances of financial distress. These steps include ensuring that CCPs
https://www.rba.gov.au/publications/bulletin/2013/dec/5.html
Recovery and Resolution of Central Counterparties
18 Dec 2013
Bulletin
PDF
227KB
Reserve Bank of Australia Bulletin December 2013
https://www.rba.gov.au/publications/bulletin/2013/dec/pdf/bu-1213-5.pdf