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RBA Glossary definition for IRS
IRS – Interest rate swaps
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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
List of tables | Survey of the OTC Derivatives Market in Australia – May 2009
9 Mar 2023
Domestic banks. Overseas banks. IR/CCS. 35. 49. OIS/FRA. 48. 56. Foreign exchange. ... Domestic banks. Overseas banks. IR/CCS. 7. 68. OIS/FRA. 0. 60. Foreign exchange.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/otc-deriviatives/survey-otc-deriv-mkts/tables.html
List of tables | 2011/12 Assessment of Clearing and Settlement Facilities in Australia
9 Mar 2023
2011/12 compliance report for clearing and settlement facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2011-2012/tables.html
Standard 20: Disclosure of Rules, Key Policies and Procedures, and Market Data | Assessment of Chicago Mercantile Exchange Inc. against the …
9 Mar 2023
Rule 8G05 specifies that novation is deemed to occur when an IRS product is submitted to CME that satisfies all relevant rules and procedures. ... Rule 804 and Rule 8F005 (for cleared OTC Derivatives), Rule 8G05 (for cleared IRS) and Rule 8H05 (for
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-20.html
Appendix A: Activity in CME | Assessment of Chicago Mercantile Exchange Inc.
9 Mar 2023
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, respectively, notional value registered and notional value outstanding in CME's OTC
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2019/appendix-a.html
Appendix B: CME Regulatory Environment and Risk Management | Assessment of Chicago Mercantile Exchange Inc.
9 Mar 2023
For OTC IRS, CME may apply a concentration margin in the form of a liquidity charge multiplier. ... The scheduled calculation period is one month for both the Base and OTC IRS guaranty funds.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2019/appendix-b.html
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
Standard 17: Access and Participation Requirements | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability…
9 Mar 2023
Base or IRS) and the classification of the participant (i.e. non-bank or bank). ... IRS and CDS clearing participants are also required to participate in default management drills.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-17.html
Other Material Developments | Assessment of LCH Limited's SwapClear Service-December 2020
9 Mar 2023
LCH Ltd also increased the maximum tenor of AUD OIS and basis swaps and ZAR interest rate swaps (IRS) to 31 years. ... In September 2020, LCH Ltd increased the maximum tenors of KRW non-deliverable interest rate swaps (NDIRS) and HUF IRS to 21 years.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2020/other-material-developments.html