Search: Clearing

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RBA Glossary definition for Clearing

Clearing – The process of transmitting, reconciling and in some cases confirming payment instructions prior to settlement; it may include netting of instructions and the calculation of final positions for settlement.

Search Results

Central Counterparty Loss Allocation and Transmission of Financial Stress

18 Mar 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
central clearing, financial markets, financial stability, interest rates, money, payments, regulation. ... Following Heath, Kelly and Manning (2013), the paper examines liquidity and solvency risk under alternative clearing configurations, but extends
https://www.rba.gov.au/publications/rdp/2015/2015-02.html

Contagion Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Finally, at this magnitude of price change, the scenarios involving universal CCP clearing are generally ‘safer’ than those without. ... This might be regarded as automatically creating a bias in the results against non-central clearing.
https://www.rba.gov.au/publications/rdp/2015/2015-02/contagion-analysis.html

Data and Exposure Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
The set of clearing arrangements that we consider is described in Section 3.2. ... Table 1: Clearing Structure Scenarios. Scenario. CCP service. Per cent centrally cleared, by product class.
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html

Policy Implications

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Nevertheless, even with CCP clearing, extreme price changes can give rise to high variation margin obligations that trigger liquidity stress among some participants. ... Banks' liquidity holdings would be expected to increase materially in an environment
https://www.rba.gov.au/publications/rdp/2015/2015-02/policy-implications.html

References

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Clearing – Guarantee of Stability or New Moral Hazard’, Hosted by Eurex, Deutsche Börse Group, London, 24 November. ... Duffie D and H Zhu (2011), ‘Does a Central Clearing Counterparty Reduce Counterparty Risk?’,.
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html

Background and Relevant Literature

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Variation margin is calculated as a net payment/receipt, based on observed price changes across all products covered by the clearing arrangement. ... In the case of central clearing, variation margin payments/receipts are multilaterally netted across all
https://www.rba.gov.au/publications/rdp/2015/2015-02/background-relevant-literature.html

Central Counterparty Loss Allocation and Transmission of Financial Stress

18 Mar 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Research Discussion Paper – RDP 2015-02 Central Counterparty Loss Allocation and Transmission of Financial Stress. Alexandra Heath. , Gerard Kelly. and Mark Manning. March 2015 – ISSN 1448-5109 (Online). 1.26. MB. The Discussion Paper series is
https://www.rba.gov.au/publications/rdp/2015/2015-02/

Conclusions

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
further the implications for the stability of the financial network of introducing central clearing and collateralisation of OTC derivatives trades.
https://www.rba.gov.au/publications/rdp/2015/2015-02/conclusions.html

Introduction

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
with different clearing configurations.
https://www.rba.gov.au/publications/rdp/2015/2015-02/introduction.html