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RBA Glossary definition for derivative

derivative – A financial contract whose value is based on, or derived from, another financial instrument (such as a bond or share) or a market index (such as the Share Price Index). Examples of derivatives include futures, forwards, swaps and options.

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Contagion Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
L. < 1, of its liquid assets. More specifically, bank i will be in liquidity stress after the derivative price movement if. ... In the experiment depicted in Figure 7, by far the largest uncovered loss arises for interest rate derivatives.
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
Alexandra Heath, Gerard Kelly and Mark Manning
Among the reforms to over-the-counter (OTC) derivative markets since the global financial crisis is a commitment to collateralise counterparty exposures and to clear standardised contracts via central counterparties (CCPs). ... First, rather than using
https://www.rba.gov.au/publications/rdp/2015/2015-02.html

Data and Exposure Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
To do this, we use data on the total derivative assets and liabilities of 41 financial institutions across 5 categories of OTC derivatives at the end of 2012. ... These data were compiled for the Macroeconomic Assessment Group on Derivatives (MAGD 2013).
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
It can also lower the collateral requirements associated with banks' OTC derivative positions. ... as investment funds and other end users of derivatives who may have more directional positions.
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
ISDA (International Swaps and Derivatives Association) (2013), ‘CCP Loss Allocation at the End of the Waterfall’, Risk Management Technical Paper, August. ... MAGD (Macroeconomic Assessment Group on Derivatives) (2013),. Macroeconomic Impact
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html

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. ... Finally, the analysis in this paper has taken banks' OTC derivative positions, liquidity holdings and
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
One goal of the reform program is to ‘make derivative markets safer’ by reducing interconnectedness, improving counterparty risk management and increasing transparency. ... The resulting increase in the importance of CCPs in OTC derivative markets is
https://www.rba.gov.au/publications/rdp/2015/2015-02/introduction.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/

Background and Relevant Literature

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
The G20-led international initiative to expand the scope of CCP clearing to OTC derivative markets added impetus to these efforts (G20 2009). ... This is set to change in light of new regulatory standards under which the exchange of both variation and
https://www.rba.gov.au/publications/rdp/2015/2015-02/background-relevant-literature.html