Search: CCP Standards
RBA Glossary definition for CCP
CCP – Central counterparty
Search Results
Contagion Analysis
29 Sep 2015
RDP
2015-02
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
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
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
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
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
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
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
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