Search: PFMI

Sort by: Relevance Date
1–3 of 3 collapsed search results for PFMI

RBA Glossary definition for PFMI

PFMI – Principles for Financial Market Infrastructures

Search Results

Results

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
m,t. ), PFMI margin (99 per cent of one-tailed coverage) or high margin (99.9 per cent one-tailed coverage). ... At lower rates of default, less than full clearing becomes optimal when PFMI margin requirements are applied (Figure 11).
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html

The Model

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
m,t. This level of margin coverage is consistent with the Principles for Financial Market Infrastructures (PFMI) requirement that CCPs collect margin sufficient to cover a single-tailed confidence level of
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html

The Efficiency of Central Clearing: A Segmented Markets Approach

1 Oct 2016 RDP 2016-07
James Hansen and Angus Moore
m,t. This level of margin coverage is consistent with the Principles for Financial Market Infrastructures (PFMI) requirement that CCPs collect margin sufficient to cover a single-tailed confidence level of
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html