Search: Close-out netting

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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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Introduction

1 Dec 1994 RDP 9409
Marianne Gizycki and Brian Gray
the legal issue is the extent to which such close-out netting contracts are enforceable at law. ... Where such laws exist, 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/1994/9409/introduction.html
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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

Data and Exposure Analysis

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

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
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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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

Model Framework

31 Dec 2013 RDP 2013-12
Nathanael Cox, Nicholas Garvin and Gerard Kelly
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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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

Traded-Debt Securities

1 Dec 1994 RDP 9408
Stephanie Weston and Brian Gray
Implicit in this approach is the assumption that a banks will suffer losses incurred over a month before acting to close out positions or taking other action to minimise losses. ... The counter argument to this is that in many instances, traders do not
https://www.rba.gov.au/publications/rdp/1994/9408/traded-deb-securities.html
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