Search: IRD
RBA Glossary definition for IRD
IRD – Interest Rate Derivatives
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Standard 2: Governance | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
The ASX Rates Product Advisory Committee advises ASX Clear (Futures) on matters related to exchange-traded and OTC IRD products, including business, operational and technical aspects of new interest rates product
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-02.html
Standard 4: Credit risk | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
The price shocks are calibrated using 20 years of data history for the Australian IRD market, and take into account the assumed five-day holding period for OTC derivatives transactions.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-04.html
Appendix A: Activity in CME | Assessment of Chicago Mercantile Exchange Inc.
9 Mar 2023
US dollar-denominated OTC IRD accounted for around 69 per cent of OTC IRD transactions cleared by CME in 2018. ... At end December 2018, CME had around A$182 billion notional value of Australian dollar-denominated OTC IRD trades outstanding.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2019/appendix-a.html
Appendix A | Assessment of LCH Limited's SwapClear Service-December 2020
9 Mar 2023
SwapClear clears OTC IRD in 27 currencies. Graph 2. Around 44 per cent of trades registered were denominated in USD and 23 per cent in EUR (Graph 3). ... Graph 11. Globally, an estimated 85 per cent of all centrally cleared AUD-denominated OTC IRD
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2020/appendix-a.html
3. Assessment of LCH.Clearnet Limited against the Financial Stability Standards | 2013/14 Assessment of LCH.Clearnet Limited's SwapClear…
9 Mar 2023
entities' notional value outstanding of Australian dollar-denominated OTC IRDs is centrally cleared. ... The majority of Australian dealers' OTC IRDs are interest rate swaps (Graph 6).
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2014/assessment.html
Material Developments | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Previously, ASX had set its MPORs at one day for cash market products, two days for exchange-traded derivatives, and five days for OTC interest rate derivatives (IRDs). ... The Bank will continue to monitor ASX's risk management arrangements for NZD OTC
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
This includes:. Expansion of product scope. In October, ASX introduced two new OTC interest rate derivative (IRD) products, bank bill swap rate (BBSW) vs Australian overnight index average (AONIA) basis swaps ... ASX also increased the maturity of some
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/material-developments.html
List of tables | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
b). $5,450m. OTC IRDs. ASX Clear (Futures). Filtered historical simulation value at risk. ... ASX Clear (Futures). CME SPAN. 99.7. 100. ASX Clear (Futures). OTC IRD FHSVaR.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/tables.html
Special Topic on CCP Margin Arrangements | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
ASX has set its MPORs at one day for cash market products, two days for exchange-traded derivatives, and five days for OTC IRDs. ... OTC IRDs are priced using third-party data sources. Some settlement prices, including for electricity and other commodity
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
Appendix B: Background Information | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
ASX Clear (Futures) provides CCP services for futures and options on interest rate, equity, energy and commodity products traded on the ASX 24 market, as well as AUD-denominated OTC IRD. ... The average daily value of AUD OTC IRDs cleared by ASX Clear
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/appendix-b.html