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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Standard 4: Credit risk | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement …
9 Mar 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/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-04.html
Special Topic on CCP Margin Arrangements | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
The add-ons will increase proportionally with the size of the participant's exposure. ... Although these products make up a small share of total risk exposure at ASX Clear (around 15 per cent of average initial margin over 2016/17), ASX will nevertheless
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/special-topic-on-ccp-margin-arrangements.html
Standard 17: Access and Participation Requirements | Financial Stability Standards for Central Counterparties December 2012
9 Mar 2023
or types of activities that the participant can undertake (see CCP Standard 4 on credit risk). ... the participation requirements of the central counterparty (see CCP Standard 4 on credit risk and CCP Standard 12 on participant default rules and
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/standards/central-counterparties/2012/standard-17.html
Standard 4: Credit Risk | Appendix B1.2 ASX Clear (Futures) | 2012/13 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
To manage the additional credit risk exposure arising from offering real-time novation of OTC products, ASX Clear (Futures) will place a limit on the acceptable size of new transactions (initially ... the possibility that novating a single large trade
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/asx-clear-futures/standard-04.html
A2. Details Supporting Assessment of Securities Settlement Facilities | Assessment of ASX Clearing and Settlement (CS) Facilities against…
9 Mar 2023
international benchmarking of cash market clearing and settlement prices. A securities settlement facility should have a sound risk management framework for comprehensively managing legal, credit, liquidity, operational, and other risks. ... A number of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/appendix-a2-1.html
Standard 15: Custody and Investment Risks | Financial Stability Standards for Central Counterparties December 2012
9 Mar 2023
Investments should be secured by, or be claims on, high-quality obligors to mitigate the credit risk to which the central counterparty is exposed. ... For example, a central counterparty could invest in overnight reverse repo agreements backed by liquid
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/standards/central-counterparties/2012/standard-15.html
Standard 13: Custody and Investment Risks | Financial Stability Standards for Securities Settlement Facilities – December 2012
9 Mar 2023
Investments should be secured by, or be claims on, high-quality obligors to mitigate the credit risk to which the securities settlement facility is exposed. ... For example, a securities settlement facility could invest in overnight reverse repo
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/standards/securities-settlement-facilities/2012/standard-13.html
A2.2 Austraclear | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market Infrastructures…
9 Mar 2023
aggregate credit exposure to the central counterparty in extreme but plausible market conditions. ... participant and its affiliates that would potentially cause the largest aggregate credit exposure to the central counterparty in extreme but plausible
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/appendix-a2-2.html
Standard 20: Disclosure of rules, key policies and procedures, and market data | Appendix C1. Financial Stability Standards for Central…
9 Mar 2023
A central counterparty's rules, policies and procedures should clearly identify the point in the clearing process at which the central counterparty assumes the risk exposure. ... which a contract is considered to be registered and at which each ASX CCP
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-20.html
A1. Details Supporting Assessment of Central Counterparties | Assessment of ASX Clearing and Settlement (CS) Facilities against the…
9 Mar 2023
Model validation is performed on a regular basis according to the risk ranking. ... A central counterparty should have a sound risk management framework for comprehensively managing legal, credit, liquidity, operational, and other risks.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/appendix-a1-1.html