Search: PFMI
RBA Glossary definition for PFMI
PFMI – Principles for Financial Market Infrastructures
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22 Nov 2016
RDP
2016-07
m,t. ), PFMI margin (99 per cent of one-tailed coverage) or high margin (99.9 per cent one-tailed coverage). ... At lower rates of default, less than full clearing becomes optimal when PFMI margin requirements are applied (Figure 11).
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html
The Model
22 Nov 2016
RDP
2016-07
m,t. This level of margin coverage is consistent with the Principles for Financial Market Infrastructures (PFMI) requirement that CCPs collect margin sufficient to cover a single-tailed confidence level of
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html
The Efficiency of Central Clearing: A Segmented Markets Approach
1 Oct 2016
RDP
2016-07
m,t. This level of margin coverage is consistent with the Principles for Financial Market Infrastructures (PFMI) requirement that CCPs collect margin sufficient to cover a single-tailed confidence level of
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html