Search: CME
RBA Glossary definition for CME
CME – Chicago Mercantile Exchange Inc.
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Special Topic on CCP Margin Arrangements | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
3.1.1 Exchange-traded derivatives. The ASX CCPs calculate initial margin for exchange-traded derivatives using CME SPAN. ... It also tests key model parameters, including the PSR and VSR in CME SPAN, and flat rates for cash market products.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/special-topic-on-ccp-margin-arrangements.html
List of tables | 2011/12 Assessment of Clearing and Settlement Facilities in Australia
9 Mar 2023
2011/12 compliance report for clearing and settlement facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2011-2012/tables.html
List of tables | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
CCP Standard 6. Both CCPs. Partly addressed. ASX Clear (Futures) completed a holistic review of its approach to calibrating initial margin for products margined using the CME SPAN model, developing plans ... Product. CCP. Model. Exchange-traded
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/tables.html
List of tables | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
ASX Clear (Futures). CME SPAN. 99.7. 100. ASX Clear (Futures). OTC IRD FHSVaR. ... The CCPs have implemented spread add-ons in their CME SPAN margin parameters.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/tables.html
Material Developments | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Recommendation. ASX Clear and ASX Clear (Futures) should complete the implementation of add-ons to manage liquidity risk for cash market products and products margined using the CME SPAN model. ... ASX commenced its new approach to sensitivity analysis
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/material-developments.html
Material Developments | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
In November 2018, ASX Clear (Futures) introduced a liquidity add-on for exchange-traded derivatives margined using CME SPAN (see CCP Standard 6.3). ... Recommendation. ASX Clear should complete the implementation of add-ons to manage liquidity risk for
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/material-developments.html
Material Developments | 2020/21 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
2020/21 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2020-2021/material-developments.html
Other Material Developments | 2019/20 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
2019/20 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2019-2020/other-material-developments.html
Assessment of CS Facilities against the Financial Stability Standards | 2010/11 Assessment
9 Mar 2023
These initiatives include the migration of the margining methodology at both central counterparties to the CME version of the Standard Portfolio Analysis of Risk (SPAN) margining system. ... Upon the implementation of CME SPAN, ASX will look to introduce
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2010-2011/assest-cs-fin-stability.html
Assessment of Clearing and Settlement Facilities against the Financial Stability Standards | 2012/13 Assessment of ASX Clearing and…
9 Mar 2023
owing to the introduction of the CME SPAN margin methodology (see Section 3.5.1). ... The adoption of CME SPAN is intended to facilitate better calibration of exposures to ASX Clear's risk tolerance.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/assessment-csf-fss.html