Search: Close-out netting

Sort by: Relevance Date
110 of 14 search results for 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.

Search Results

Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting

30 Nov 2009 RDP PDF 104KB
the legal issue is the extent to which such close-out netting contracts areenforceable at law. ... Where such lawsexist, close-out netting would have little meaning since, for the failed company,only favourable contracts would be recognised.
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9409.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

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

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

The Supervisory Treatment of Banks’ Market Risk

30 Nov 2009 RDP PDF 76KB
That simple netting approach is onlyappropriate if actual yield curve movements follow the yield curve movementassumed in the risk-weighting process. ... is that in many instances, traders do not close outunfavourable positions if they believe that the
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9408.pdf

Promoting Liquidity: Why and How?

2 Dec 2009 RDP PDF 484KB
3.4 The Need to Close Out Large Positions in a Short Period (Particularly After a Failure) 11. ... Importantly, there can be close correlations between reductions in market liquidity and funding liquidity.
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-06.pdf

The 1893 Bank Crashes and Monetary Aggregates

30 Nov 2009 RDP PDF 50KB
This divergence results from Pope's netting out of depositsheld in trading banks by savings banks in his calculation of M2 whereas Schedvinmakes this adjustment for M3 (Pope, 1986, pp. ... Netting out the deposits locked up in long datedliabilities and
https://www.rba.gov.au/publications/rdp/1993/pdf/rdp9303.pdf

The Impact of Interest Rates on Bank Profitability: A Retrospective Assessment Using New Cross-country Bank-level Data

8 Jun 2023 RDP PDF 1310KB
receive deposits and/or close substitutes and grant credits or invest in securities on their own. ... in-the-money trading derivatives and derivatives recognised for hedging (less. the value of netting arrangements), available for sale securities, held to
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-05.pdf

The Impact of Payment System Design on Tiering Incentives

28 Jan 2015 RDP PDF 862KB
3. Australia’s RTGS System. RITS has operated as an RTGS system since 1998.4 The central queue in RITS operates on a ‘bypass first-in first-out (FIFO) basis’.5 ... In Australia, the Payments Systems and Netting Act 1998 allows the RBA to protect
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-06.pdf

A Select Bibliography of Published Research by Staff of the Reserve Bank of Australia: 1991–2001

1 Dec 2009 RDP PDF 201KB
9409 Gizycki MC and B Gray, ‘Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting’.
https://www.rba.gov.au/publications/rdp/2001/pdf/rdp2001-10.pdf