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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A1. Financial Stability Standards for Central Counterparties | 2014/15 Assessment of ASX Clearing and Settlement Facilities
17 Aug 2023
department; and the Portfolio Risk Manager (see ‘ASX Group Structure’ in Appendix A). ... Model validation is performed on a regular basis according to the risk score.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/appendix-a1-financial-stability-standards-for-central-counterparties.html
A2. Financial Stability Standards for Securities Settlement Facilities | 2014/15 Assessment of ASX Clearing and Settlement Facilities
17 Aug 2023
A securities settlement facility should have a sound risk management framework for comprehensively managing legal, credit, liquidity, operational and other risks. ... This risk management framework should be subject to periodic review. Identification of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/appendix-a2-financial-stability-standards-for-securities-settlement-facilities.html
A2.2 Austraclear | 2014/15 Assessment of ASX Clearing and Settlement Facilities
17 Aug 2023
A securities settlement facility should have a sound risk management framework for comprehensively managing legal, credit, liquidity, operational and other risks. ... Information and control systems. Since Austraclear does not assume credit or liquidity
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/appendix-a2-2-austraclear.html
A1.2 ASX Clear (Futures) | 2014/15 Assessment of ASX Clearing and Settlement Facilities
17 Aug 2023
2014/15 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/appendix-a1-2-asx-clear-futures.html
Assessment of Clearing and Settlement Facilities against the Financial Stability Standards | 2014/15 Assessment of ASX Clearing and…
17 Aug 2023
As measured by margin requirements, the CCPs' total credit exposure in increased in 2014/15, compared with the previous year. ... lead to the largest potential credit exposure or payment obligation under extreme but plausible stressed market conditions.
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
Notes to and Forming Part of the Financials Statements
9 Aug 2023
RBA Annual Report
- 2022
PDF
284KB
https://www.rba.gov.au/publications/annual-reports/rba/2022/pdf/notes.pdf
Bulletin March Quarter 2023
8 Jun 2023
Bulletin
- March 2023
PDF
7038KB
https://www.rba.gov.au/publications/bulletin/2023/mar/pdf/bulletin-2023-03.pdf
Standard 4: Credit risk | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
To manage the additional credit risk exposure arising from offering real-time novation of OTC products, ASX Clear (Futures) places a limit on the interest rate sensitivity of new transactions (currently ... the possibility that novating a single large
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-04.html
Standard 15: Custody and investment risks | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
Intragroup arrangements allow ASX Clear (Futures) to fully understand the nature of its risk exposure to ASXCC and other group entities such as Austraclear (for safekeeping of AUD-denominated debt securities). ... This exposure is managed within the
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-15.html