Search: ISDA
RBA Glossary definition for ISDA
ISDA – International Swaps and Derivatives Association
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References
11 Sep 2015
RDP
2015-02
ISDA (International Swaps and Derivatives Association) (2013), ‘CCP Loss Allocation at the End of the Waterfall’, Risk Management Technical Paper, August. ... ISDA (2014), ‘ISDA Margin Survey 2014’, 10 April. ISDA (2015), ‘CCP Default Management
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html
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Results
1 Dec 1994
RDP
9409
The second group of capital charges are those suggested by ISDA and are denoted in Table 9 as ISDAC1, ISDAC2 and ISDAC3. ... 0.4293. Note:. a. ISDAC6 is the conventional ISDA formulation calculated with b set equal to 0.6.
https://www.rba.gov.au/publications/rdp/1994/9409/result.html
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Central Counterparty Loss Allocation and Transmission of Financial Stress
16 Mar 2015
RDP
PDF
1285KB
There have been a number of attempts to estimate the magnitude of this increase in demand (Heller and Vause 2012; ISDA, IIF and AFME 2012; Levels and. ... One mechanism for uncovered loss allocation that has been widely debated, and in some cases adopted,
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-02.pdf
Box B: The Greek Private Sector Debt Swap
10 May 2012
SMP
– May 2012
The International Swaps and Derivatives Association (ISDA) subsequently ruled that the activation of CACs constituted a ‘credit event’ for credit default swaps (CDS) referencing Greek sovereign debt.
https://www.rba.gov.au/publications/smp/2012/may/box-b.html
Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
30 Nov 2009
RDP
PDF
104KB
Forinstance, the International Swap Dealers' Association (ISDA) has suggested scalingthe existing add-ons by the ratio of net to gross market values. ... The ISDA ratio is also inappropriate whenusing (4), as this would assume that all out-of-the-money
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9409.pdf
International and Foreign Exchange Markets
10 May 2009
SMP
– May 2009
ISDA has indicated that activity in CDS contracts has started to pick up again in the first quarter of 2009. ... The ISDA's standardised CDS contract requires an auction to determine the value of underlying securities as part of the settlement process in
https://www.rba.gov.au/publications/smp/2009/may/intl-fx-mkts.html
Box B: The Greek Private Sector Debt Swap
3 May 2012
SMP
- May 2012
PDF
454KB
https://www.rba.gov.au/publications/smp/2012/may/pdf/box-b.pdf
International and Foreign Exchange Markets
10 Aug 2011
SMP
– August 2011
The International Swaps and Derivatives Association (ISDA) suggested that a ‘credit event’ on Greek sovereign credit default swaps is unlikely to be declared due to the voluntary nature of the debt
https://www.rba.gov.au/publications/smp/2011/aug/intl-fx-mkts.html
International and Foreign Exchange Markets
4 Aug 2011
SMP
– August 2011
PDF
965KB
https://www.rba.gov.au/publications/smp/2011/aug/pdf/intl-fx-mkts.pdf
Statement on Monetary Policy – August 2011
5 Sep 2011
SMP
– August 2011
PDF
2031KB
https://www.rba.gov.au/publications/smp/2011/aug/pdf/0811.pdf