Report on the Australian OTC Derivatives Market Annex 4
Australian Prudential Regulation Authority
Australian Securities and Investments Commission
Reserve Bank of Australia
October 2012
Download the complete Report 2.68MB
Central Counterparties Currently Clearing Australian Dollar-denominated OTC Interest Rate Derivatives
| LCH.Clearnet Limited | CME Group | |
|---|---|---|
| Domicile | United Kingdom | United States |
| Interest rate products cleared | EUR, GBP and USD interest rate swaps (including basis swaps) out to 50 years; AUD, CAD, CHF, JPY, SEK out to 30 years; CHF, CZK, DKK, HUF, NOK, NZD, PLN, SGD and SEK out to 10 years; CHF, EUR, GBP and USD overnight index swaps out to 2 years; EUR, GBP and USD variable notional swaps out to 50 years; EUR, JPY and USD forward rate agreements out to 3 years; CHF, CZK, DKK, HUF, NOK, PLN and SEK out to 2 years. | USD, GBP, EUR interest rate swaps out to 50 years; CAD, JPY, CHF, AUD out to 30 years. |
| Acceptable collateral | USD, EUR, GBP, CAD, CHF, JPY, SEK, DKK and NOK cash; US Treasury debt; US Agency debt; sovereign and government-guaranteed debt from Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Luxembourg, the Netherlands, Norway, Spain, Sweden and the UK. | USD, GBP, EUR, JPY, CAD, AUD, CHF cash; sovereign debt of UK, Germany, France, Canada, Japan, and Sweden; US Treasury debt; US Agency debt; US Agency mortgage-backed securities; min A− rated USD corporate bonds (via tri party repo); money market mutual funds and bank deposits eligible for CME's collateral management program. |
| Minimum capital requirement | US$50 million | US$50 million |
| Minimum contribution to default fund | £10 million | US$50 million (US$100 million if CDS also cleared) |
| Clearing members for interest rate products | 67(a) | 22 |
| Pre-funded default waterfall |
1. Defaulter's initial margin 2. Defaulter's default fund contribution 3. £20 million of LCH capital 4. Survivors' contributions to the default fund |
1. Defaulter's initial margin and liquidity charge(b) 2. Defaulter's default fund contribution 3. US$100 million of CME capital 4. Survivors' contributions to the default fund |
| Interest rate notional cleared | ∼US$340 trillion | ∼US$490 billion |
| AUD interest rate notional cleared | ∼A$4 trillion | ∼A$6 billion |
|
(a) 13 are US clearing members only Sources: CME; LCH |
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