Search: IRD
RBA Glossary definition for IRD
IRD – Interest Rate Derivatives
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Standard 19: FMI links | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
DTCC. This link was established for the reporting of OTC IRD trades, and supports ASX Clear (Futures)' OTC trade reporting obligations to ASIC. ... The link also facilitates the reporting of OTC IRD trades involving US persons, which is a condition of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-19.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
Prices for the OTC IRD margin system are updated hourly. Participants are given all information necessary to create an end-of-day yield curve and independently calculate the net present value ... ASX administers an annual survey asking OTC participants
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-06.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
Prices for the OTC IRD margin system are updated hourly. Participants are given all information necessary to create an end-of-day yield curve and independently calculate the net present value ... ASX administers an annual survey asking OTC participants
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-06.html
Standard 2: Governance | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
Key models at the CCPs include the CME SPAN margin model, the OTC IRD Filtered Historical Simulation Value at Risk (FHSVaR) model for OTC derivatives, CMM (ASX Clear only), the pricing ... The ASX Rates Product Advisory Committee advises ASX Clear
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-02.html
Standard 4: Credit risk | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement …
9 Mar 2023
swaps. Accordingly, the scenarios test shocks to exchange-traded and OTC IRD simultaneously. ... 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
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-04.html
Standard 4: Credit risk | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement …
9 Mar 2023
Since ASX Clear clears only transactions in cash securities and equity futures and options and ASX Clear (Futures) clears primarily transactions in exchange-traded futures and OTC IRD, the Bank does ... Currently, the price shocks are calibrated using 20
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-04.html
Standard 12: Participant default rules and procedures | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment…
9 Mar 2023
Currently there is only one DMG: while ASX Clear (Futures) clears two categories of OTC derivatives (AUD IRD and NZD IRD), members of the DMG are considered to have expertise in
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-12.html
Standard 12: Participant default rules and procedures | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment…
9 Mar 2023
Currently there is only one DMG: while ASX Clear (Futures) clears two categories of OTC derivatives (AUD IRD and NZD IRD), members of the DMG are considered to have expertise in
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-12.html
Standard 2: Governance | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
Key models at the CCPs include the capital stress-testing model, liquidity stress-testing model, CME SPAN margin model, the OTC interest rate derivatives (IRD) Filtered Historical Simulation Value at Risk ... The User Group may be consulted by ASX Clear
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-02.html
Standard 2: Governance | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
Key models at the CCPs include the capital stress-testing model, liquidity stress-testing model, CME SPAN margin model, the OTC interest rate derivatives (IRD) Filtered Historical Simulation Value at Risk ... The User Group may be consulted by ASX Clear
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-02.html