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IRS – Interest rate swaps

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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

Assessment of Clearing and Settlement Facilities against the Financial Stability Standards | 2014/15 Assessment of ASX Clearing and…

17 Aug 2023
2014/15 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/2014-2015/assessment-of-clearing-and-settlement-facilities-against-the-financial-stability-standards.html

Special Topic – Margin | 2021/22 Assessment of ASX Clearing and Settlement Facilities

9 Mar 2023
2021/22 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2021-2022/special-topics-margin.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/

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

Abbreviations | Assessment of Chicago Mercantile Exchange Inc

9 Jun 2023
IOSCO. International Organization of Securities Commissions. IRD. Interest rate derivatives. IRS.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2018/abbreviations.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

Standard 2: Governance | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central Counterparties

9 Mar 2023
monitoring the financial safeguards maintained by CME for IRS products, in particular the IRS Guaranty Fund. ... monitoring the financial condition of IRS clearing participants, and recommending action where necessary.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-2.html

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

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