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RBA Glossary definition for PFMI

PFMI – Principles for Financial Market Infrastructures

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