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RBA Glossary definition for IRS

IRS – Interest rate swaps

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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 Jun 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/2018/appendix-a.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: 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

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

Abbreviations | 2014/15 Assessment of ASX Clearing and Settlement Facilities

17 Aug 2023
International Organization of Securities Commissions. IRD. interest rate derivatives. IRS. interest rate swaps.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/abbreviations.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

Special Topic – ASX Strategic Initiatives | 2012/13 Assessment of ASX Clearing and Settlement Facilities

9 Mar 2023
Initially, ASX has limited its offering to the clearing of participants' proprietary positions in standardised Australian dollar-denominated interest rate swaps (IRS) referencing either the bank bill swap rate or the ... ASX offers ‘real-time’
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/special-topic.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