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.
Search Results
Executive Summary | Survey of the OTC Derivatives Market in Australia – May 2009
9 Mar 2023
Furthermore, where OTC derivatives instruments retain complex features, market participants should be able to clearly document their key characteristics and communicate these to regulators, also demonstrating their contribution to risk exposure
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/otc-deriviatives/survey-otc-deriv-mkts/exec-summary.html
Special Topic | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
If the legal basis is inadequate, uncertain or unclear then the facility may face unintended, uncertain or unmanageable credit, liquidity or operational risks, which may create or amplify systemic risk. ... A CCP's rules, policies and procedures should
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/special-topic-legal-basis.html
Standard 15: Custody and Investment Risks | Appendix B1.1 ASX Clear | 2012/13 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Intragroup arrangements allow ASX Clear to fully understand the nature of its risk exposure to ASXCC and other group members such as Austraclear (for deposit of AUD-denominated debt securities), and ... this exposure is managed within the context of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/asx-clear/standard-15.html
Standard 6: Liquidity Risk | Appendix B2.2 Austraclear | 2012/13 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Rating: Observed. Austraclear settlements are conducted in real time on a DvP model 1 basis, minimising the liquidity risk exposure for its participants (SSF Standard 6.1). ... Such counterparties are able to manage their liquidity risk within their
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/austraclear/standard-06.html
Appendix C: Detailed Assessment of LCH Limited's SwapClear Service against the Financial Stability Standards | Assessment of LCH Limited's…
9 Mar 2023
LCH Ltd assumes the counterparty credit risk of SwapClear contracts through novation. ... The LCH Ltd CRO works in conjunction with the Group Head of Credit Risk, the Group Head of Market and Liquidity Risk and the Group Head of Risk Resilience to manage
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2018/appendix-c.html
A1.2 ASX Clear (Futures) | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market…
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-a1-2.html
SFE Clearing Corporation (SFECC) | 2007/08 Assessment
9 Mar 2023
appropriate balance be achieved between variable collateral calls and fixed, mutualised risk resources. ... At present, participants' positions in CFDs constitute a very small proportion of SFECC's aggregate risk exposure – on average, initial margins
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2007-2008/sfe-clearing-corp.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/2017-2018/asx-central-counterparties/standard-20.html
Introduction and Executive Summary | 2008/09 Assessment
9 Mar 2023
have complied with its Financial Stability Standards and done ‘all other things necessary to reduce systemic risk’. ... The central counterparties, in particular, faced an increase in risk exposure as volatility rose and the financial standing of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2008-2009/introduction.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/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-20.html