Search: credit risk/exposure
RBA Glossary definition for credit risk/exposure
credit risk/exposure – The risk that a counterparty will not settle an obligation for full value, either when due or thereafter. In 'exchange-for-value' systems, the risk is generally defined to include replacement risk (the risk of having to replace a contract at a potentially unfavourable price) and principal risk.
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Reserve Bank of Australia Annual Report 2020 - Financial Statements
14 Oct 2020
Annual Report
PDF
773KB
15 Financial Instruments and Risk 197. 16 Fair Value 205. 17 Subsequent Events 206. ... Gold borrowed under a swap agreement is not recognised on the RBA’s balance sheet as the predominant risk and reward of ownership, including exposure to any
https://www.rba.gov.au/publications/annual-reports/rba/2020/pdf/financial-statements.pdf
Note 15 – Financial Instruments and Risk
12 Apr 2020
RBA Annual Report
– 2020
The RBA's maximum credit risk exposure to derivative financial instruments is:. ... Concentration of credit risk. As noted, the RBA operates to minimise its credit risk exposure through comprehensive risk management policy guidelines.
https://www.rba.gov.au/publications/annual-reports/rba/2020/financial-statements/note-15.html
Robust Design Principles for Monetary Policy Committees
10 Feb 2020
Conferences
PDF
1517KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-archer-levin.pdf
Reserve Bank of Australia Annual Report 2018
10 Feb 2020
RBA Annual Report
2018
PDF
8962KB
https://www.rba.gov.au/publications/annual-reports/rba/2018/pdf/2018-report.pdf
Note 15 – Financial Instruments and Risk
17 Oct 2019
RBA Annual Report
– 2019
The RBA's maximum credit risk exposure to derivative financial instruments is. ... Concentration of credit risk. As noted, the RBA operates to minimise its credit risk exposure through comprehensive risk management policy guidelines.
https://www.rba.gov.au/publications/annual-reports/rba/2019/financial-statements/note-15.html
Reserve Bank of Australia Annual Report 2019 - Financial Statements
14 Oct 2019
RBA Annual Report
2019
PDF
790KB
https://www.rba.gov.au/publications/annual-reports/rba/2019/pdf/financial-statements.pdf
Sensitivity Analysis
13 Sep 2019
RDP
2019-09
Second, loan collateralisation reduces the risk exposure to the borrower. If the borrower defaults, the cash lender may recoup most (or all) of their investment by selling the collateral. ... For repo transactions, the range of possible risk weights is
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html
See 4 more results from "RDP 2019-09"
Australian Money Market Divergence: Arbitrage Opportunity or Illusion?
12 Sep 2019
RDP
PDF
1464KB
10 Here we account for the difference between the notional dollar value of the asset and the institution’s risk exposure. ... weight. Second, loan collateralisation reduces the risk exposure to the borrower.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-09.pdf
Reserve Bank of Australia Annual Report 2018 - Financial Statements
19 Sep 2018
RBA Annual Report
2018
PDF
769KB
https://www.rba.gov.au/publications/annual-reports/rba/2018/pdf/financial-statements.pdf
The Australian Otc Derivatives Market Insights From New Trade Repository Data
23 Jul 2018
Bulletin
- June 2018
PDF
852KB
https://www.rba.gov.au/publications/bulletin/2018/jun/pdf/the-australian-otc-derivatives-market-insights-from-new-trade-repository-data.pdf