Search: derivative
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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Background
22 Nov 2016
RDP
2016-07
Second, before participants can enter into OTC derivatives contracts, they must negotiate extensive documentation. ... The three OTC derivatives CCPs licensed in Australia all meet the ‘cover two’ standard.
https://www.rba.gov.au/publications/rdp/2016/2016-07/background.html
Results
22 Nov 2016
RDP
2016-07
This asymmetry means that higher default probabilities reduce the value of OTC derivatives. ... m,t. ) and the OTC derivatives contract (y. m,t. ). With the exception of optimal margin, the welfare-maximising fraction of mandatory central clearing
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html
The Efficiency of Central Clearing: A Segmented Markets Approach
1 Oct 2016
RDP
2016-07
The OTC derivatives contract is the only way traders can manage endowment risk. ... The first is a decentralised solution in which traders choose their own allocations to maximise their utility taking OTC derivative prices, the proportion of OTC
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html
The Model
22 Nov 2016
RDP
2016-07
The OTC derivatives contract is the only way traders can manage endowment risk. ... The first is a decentralised solution in which traders choose their own allocations to maximise their utility taking OTC derivative prices, the proportion of OTC
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html
The Efficiency of Central Clearing: A Segmented Markets Approach
2 Nov 2016
RDP
2016-07
We find that the gains from central clearing are largest when there is a higher probability of default and when over-the-counter derivative contracts provide an effective hedge against underlying
https://www.rba.gov.au/publications/rdp/2016/2016-07.html
References
22 Nov 2016
RDP
2016-07
ASIC (2015), ASIC Derivative Transaction Rules (Clearing) 2015, December. Australian Treasury (2015), Corporations (Derivatives) Amendment Determination 2015 (No. ... FSB (Financial Stability Board) (2015), ‘OTC Derivatives Market Reforms: Tenth
https://www.rba.gov.au/publications/rdp/2016/2016-07/references.html
Introduction
22 Nov 2016
RDP
2016-07
This paper studies how mandatory central clearing affects market participants' incentives in OTC derivatives markets. ... The questions that we address are: How does a regulatory requirement for central clearing affect trade in derivatives?
https://www.rba.gov.au/publications/rdp/2016/2016-07/introduction.html
Appendix A: Trader Behaviour and Solution Method
22 Nov 2016
RDP
2016-07
m. such that the price for both agents is zero. This is consistent with real-world practice: most OTC derivatives have zero net present value when agreed on. ... Footnote. There are a few exceptions, such as market-agreed coupon interest rate swaps and
https://www.rba.gov.au/publications/rdp/2016/2016-07/appendix-a.html
The Efficiency of Central Clearing: A Segmented Markets Approach
1 Oct 2016
RDP
2016-07
Research Discussion Paper – RDP 2016-07 The Efficiency of Central Clearing: A Segmented Markets Approach. James Hansen. and Angus Moore. October 2016. 2.00. MB. We would like to thank Anthony Brassil, Pedro Gomis-Porqueras, Chris Edmond, Shuyun
https://www.rba.gov.au/publications/rdp/2016/2016-07/
Conclusion and Discussion
22 Nov 2016
RDP
2016-07
Our analysis suggests that:. Central clearing can improve welfare by mitigating counterparty credit risk in OTC derivatives markets. ... The benefits of central clearing are higher the higher the probability of default and the stronger the correlation
https://www.rba.gov.au/publications/rdp/2016/2016-07/conclusion-and-discussion.html