Search: IRS
RBA Glossary definition for IRS
IRS – Interest rate swaps
Search Results
Developments Relating to the Bank's Assessment | Assessment of Chicago Mercantile Exchange Inc.
9 Mar 2023
CME operates two clearing services: an OTC IRS clearing service; and a ‘Base’ clearing service. ... During the assessment period CME continued discussions with its home regulator on conforming rule changes for the OTC IRS service.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2019/developments-relating-to-the-banks-assessment.html
Standard 14: General Business Risk | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…
9 Mar 2023
Footnote. This US$300 million comprises US$150 million for the IRS default waterfall, US$100 million for the Base waterfall and US$50 million for the CDS waterfall.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-14.html
Standard 15: Custody and Investment Risks | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for…
9 Mar 2023
These activities are conducted in accordance with CME's Investment Policy (see CCP Standard 15.4) and are consistent across Base, IRS and CDS products.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-15.html
Standard 19: FMI Links | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central Counterparties
9 Mar 2023
For the three current FMI links, only the CHRC is relevant because the links do not relate to CME's IRS or CDS products.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-19.html
Standard 7: Liquidity Risk | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…
9 Mar 2023
CME provides participants with pricing information for IRS products and SPAN margin parameter files for Base products, as well as software to estimate their margin obligations for actual and hypothetical portfolios.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-7.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
For the OTC IRS FHSVaR model initial margin is compared variation margin collected over the following five days.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-06.html
Appendix B: CME Regulatory Environment and Risk Management | 2017 Assessment of Chicago Mercantile Exchange Inc.
8 Mar 2023
When sizing the OTC IRS guaranty fund, CME considers the sum of the two highest stressed exposures, irrespective of stress scenario. ... During the assessment period, CME performed off-cycle resizings of the OTC IRS guaranty fund on 21 April and 8
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2017/appendix-b.html
Appendix A: Activity in CME | Assessment of Chicago Mercantile Exchange Inc.
8 Mar 2023
Graph 1. CME clears six types of OTC IRD: IRS, zero-coupon swaps, basis swaps, forward rate agreements, overnight index swaps (OIS) and swaptions. ... Graph 2 and Graph 3 depict notional value registered and notional value outstanding in CME's OTC IRS
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2017/appendix-a.html
Regulatory Priorities | 2017 Assessment of Chicago Mercantile Exchange Inc.
8 Mar 2023
In 2017, CME will, where applicable, make conforming changes to the end of waterfall rules for its OTC IRS and CDS services. ... The scope of CME's CS facility licence covers its Base clearing service and its OTC IRS clearing service (which encompasses
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2017/regulatory-priorities.html
Material Developments Relating to the Bank's Assessment | 2017 Assessment of Chicago Mercantile Exchange Inc.
8 Mar 2023
Base, OTC IRS and CDS, each with its own pre-funded resources, which remain separated when managing a default. ... In 2017, CME will, where applicable, make conforming changes to the end of waterfall rules for its OTC IRS and CDS services.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2017/material-developments-relating-to-the-banks-assessment.html