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RBA Glossary definition for IRS
IRS – Interest rate swaps
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Standard 6: Margin | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
Futures positions that have been reallocated to a participant's OTC derivatives portfolio are margined under the OTC IRS FHSVaR model, rather than using the SPAN methodology. ... for SPAN), depending on which is the larger amount, or the following five
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-06.html
Assessment of Clearing and Settlement Facilities against the Financial Stability Standards | 2015/16 Assessment of ASX Clearing and…
18 May 2023
2015/16 Assessment of ASX Clearing and Settlement Facilities 3. Assessment of Clearing and Settlement Facilities against the Financial Stability Standards. 3.1 Introduction to the ASX Clearing and Settlement Facilities. The ASX Group operates four
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/assessment-of-clearing-and-settlement-facilities-against-the-financial-stability-standards.html
Standard 19: FMI links | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
DTCC. This link was established for the reporting of OTC IRS trades, and supports ASX Clear (Futures)' OTC trade reporting obligations to ASIC. ... The link also facilitates the reporting of OTC IRS 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/2015-2016/asx-clear-futures/standard-19.html
Standard 4: Credit risk | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
Since ASX Clear (Futures) clears primarily transactions in exchange-traded futures and OTC IRS derivatives, the Bank does not consider that ASX Clear (Futures) is involved in activities with a complex ... Four scenarios model the basis risk that results
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-04.html
Standard 7: Liquidity risk | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
In addition, scenarios also cover movements in the AONIA and BBSW rates that are used as the reference rates for OTC IRS.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-07.html
Standard 2: Governance | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
Key models at ASX Clear (Futures) include SPAN margining for exchange-traded derivatives, the OTC IRS Filtered Historical Simulation Value at Risk (FHSVaR) model for OTC derivatives, the pricing system for
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 6: Margin | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…
9 Mar 2023
CME has established internal processes to review IRS settlement prices upon request from clients. ... For IRS products, variation margin is calculated at the end of the day.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-6.html
Standard 12: Participant Default Rules and Procedures | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability…
9 Mar 2023
Once this final settlement cycle was complete, all IRS contracts would be terminated. ... CME's DMC has at least two representatives from each IRS clearing participant.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-12.html
Standard 4: Credit Risk | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…
9 Mar 2023
IRS, or more frequently if there are large changes in required participant contributions. ... For IRS products, stress-test scenarios employ a combination of historical and hypothetical moves.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-4.html
Standard 13: Segregation and Portability | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for…
9 Mar 2023
Of the products cleared by CME, currently IRS and certain Base product OTC FX forwards and OTC metals forwards fall into this category. ... Customer consent for porting would be obtained in the same way as for IRS.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-13.html