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IRS – Interest rate swaps
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Appendix A | Assessment of LCH Limited's SwapClear Service-December 2020
9 Mar 2023
Changes in activity in FRA and IRS were less pronounced but followed a similar pattern. ... OIS, FRA and IRS accounted for 95 per cent of the notional value of trades registered.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2020/appendix-a.html
Appendix B: Background Information | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
the National Stock Exchange of Australia (NSX), IR Plus Securities Exchange Ltd (IR Plus) and the Sydney Stock Exchange Limited (SSX).
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/appendix-b.html
Standard 3: Framework for the Comprehensive Management of Risks | Assessment of Chicago Mercantile Exchange Inc. against the Financial…
9 Mar 2023
Key risk management systems include:. Margining. CME uses CME SPAN to calculate initial margin requirements for Base products, and a Historical Value at Risk (HVaR) model for IRS (see CCP Standard ... In addition to general requirements, participants
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-3.html
List of tables | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market Infrastructures…
9 Mar 2023
Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market Infrastructures (Principles) List of tables. Chapters. Box. Table A1: Allocation of Responsibilities for Principles. Table 1: Systemically
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/tables.html
Activity and Risk at SwapClear | Assessment of LCH Limited's SwapClear Service-December 2021
9 Mar 2023
By contrast, activity in interest rate swaps (IRS), which tend to be longer-dated products, increased. ... OIS, FRA and IRS accounted for 95 per cent of the notional value of trades registered.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2021/activity-and-risk-at-swapclear.html
Appendix C2. Financial Stability Standards for Securities Settlement Facilities | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Under the Settlement Facilitation Service, ASX Settlement also provides DvP settlement arrangements for transactions in non-ASX-listed securities undertaken on trading platforms operated by ALMOs; these include NSX, IR Plus
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-securities-settlement-facilities/
Standard 5: Collateral | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central Counterparties
9 Mar 2023
CME accepts the following collateral:. For initial margin contributions across Base, IRS and CDS products, CME accepts: US dollar cash, select foreign currencies,. ... The acceptable collateral types, categories and limits described above also apply to
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-5.html
A1.2 ASX Clear (Futures) | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market…
9 Mar 2023
Key models at ASX Clear (Futures) include SPAN margining for exchange-traded derivatives, the OTC IRS Historic VaR model for OTC derivatives, the pricing system for derivatives and the capital
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/appendix-a1-2.html
Abbreviations | Assessment of LCH Limited's SwapClear Service-December 2021
9 Mar 2023
IRD. Interest rate derivatives. IRS. Interest rate swaps. ISDA. International Swaps and Derivatives Association.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2021/abbreviations.html
Standard 18: Tiered Participation Arrangements | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards…
9 Mar 2023
In addition, clearing participants are required to submit daily reports on the identity of customers and the amount of their initial margin for OTC Base products and IRS products, and gross ... CME has self-certified that its account structures for
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-18.html