The Australian Credit Default Swap Market

Transcription

1 The Astraian Credit Defat Swap Market Danie Fabbro* The Astraian credit defat swap (CDS) market has been increasingy sed by financia instittions to trade and manage credit risk. As a rest, there has been greater se of the market as a sorce of credit risk pricing information. Simiarities between CDS and bonds aow pricing in the two markets to be compared. However, the CDS market has a greater tendency at times to be affected by poor iqidity, which compicates the interpretation of CDS pricing, particary when there are arge divergences from bond market pricing. Introdction A credit defat swap or CDS is a derivative contract that provides a means of protection against credit risk. CDS contracts have been increasingy sed by banks and other financia instittions in Astraia and overseas to manage credit risk, with trading activity growing significanty over the past decade. CDS contracts act ike a form of insrance. The byer of the CDS contract is compensated by the seer if a credit event occrs to a third party (the reference entity) within a specified period of time. The CDS byer pays a fee (or premim) in order to receive this credit protection. CDS contracts are predominanty traded over-the-conter (OTC), that is, directy between two parties rather than on an exchange. The reference entities on which CDS contracts can be written incde corporations, governments and asset-backed secrities. In Astraia, CDS reference entities are predominanty corporations. Credit events can incde bankrptcy, missing a debt payment, debt restrctring or a credit rating downgrade of the reference entity. The two most common types of CDS are singe-name, which have ony one reference entity, and index contracts that are tradabe baskets of individa CDS contracts. * The athor is from Domestic Markets Department and wod ike to thank Rwit Bagchi, Tom Wiiams and David Lancaster for their assistance in preparing this paper. The amont of compensation paid foowing a credit event depends on the change in the price of a debt iabiity, sch as a corporate bond, of the reference entity. It can be paid in two ways. First, the protection byer can deiver a bond of the reference entity to the protection seer in exchange for payment of the face vae of the bond. For exampe, if the reference entity was to experience a credit event and the market vae of its senior debt fe to per cent of the face vae, the protection byer cod deiver this debt and receive payment of the f face vae. In effect, the protection byer is compensated for the per cent oss of the face vae. Second, rather than deivering a bond, the protection byer may simpy receive a cash payment from the protection seer, the size of which is determined at an action of the reference entity s bonds. 1 Cash settement is now the standard means of compensation. This is party to avoid the difficties of insfficient stock of physica debt being avaiabe, as there are often more CDS contracts otstanding than there is physica debt for reference entities. 1 The Internationa Swaps and Derivatives Association (ISDA) pbishes a ist of debt obigations that are eigibe to be deivered in the action. For more detais on the action process sed to determine the cash payment from protection seers to protection byers, see < actions/docs/credit_event_action_primer.pdf>. BULLETIN DECEMBER QUARTER

2 CDS contracts can be sed for both hedging and specative prposes. For exampe, if a bond investor is seeking to redce (or hedge) the credit risk in its bond portfoio, it can prchase credit protection via the CDS market on companies whose debt forms part of its portfoio. Likewise, banks se CDS to hedge credit risk in their oan portfoio. However, the abiity to by credit protection in the CDS market is not imited to those market participants that hod the physica debt of reference entities. 2 For instance, a market participant that bys credit protection on a reference entity, bt does not actay hod its debt, is specating that the creditworthiness of the entity wi deteriorate or that the entity wi experience a credit event. In the case of a deterioration in creditworthiness, the CDS premim for this entity wod rise. The specator cod then se credit protection on the same reference entity and profit from the difference between the crrent CDS premim and the premim that they are paying on their origina CDS contract. Aternativey, a market participant cod se credit protection on a reference entity, in order to specate on an improvement in its creditworthiness. Credit Exposre in the CDS Market Two types of credit exposre arise from CDS trading. First, as discssed above, there is the credit risk associated with the reference entity. Second, there is conterparty credit risk, which is the risk that one of the parties to the CDS contract fais to ffi its obigations, sch as paying the CDS premim or making the reqired compensation payment foowing a credit event. Market participants do, however, take measres to mitigate this conterparty credit risk, sch as throgh margining or cearing 2 An interesting deveopment recenty is that the Eropean Union has agreed to restrictions on which market participants can trade CDS on member states sovereign debt. Specificay, credit protection wi ony be abe to be boght by a market participant that owns physica debt of a sovereign. throgh centra conterparties. 3 Each of these types of credit risk are discssed beow. An aggregate measre of the net credit risk transfer (of reference entities) that is accring in the CDS market can be cacated by adding p the net vae of credit protection boght by individa market participants. An exampe invoving a CDS market with two banks as participants and two reference entities is provided in Tabe 1. If Bank A has 2 boght positions and 5 sod positions for reference entity 1, it has a net boght position of 15. In net terms, Bank A has boght protection from Bank B. Net boght CDS positions for a reference entities can then be aggregated for a market participants to obtain the net otstanding face (or notiona) vae of contracts, or net credit exposre, of market participants. The net otstanding face vae is aso a measre of the maximm amont that credit protection seers wod need to pay to byers if a CDS reference entities experienced credit events and the recovery rate on the nderying debt instrment was zero. 5 A comparison of the vae of net otstanding CDS contracts and otstanding bonds for Astraian corporates shows that the CDS market is sti reativey sma. In aggregate, goba bonds otstanding of Astraian companies are cose to US$9 biion, compared with US$31 biion of net otstanding CDS. One reason for this arge difference is that the vae of otstanding bonds is heaviy weighted towards bank debt (arond 7 per cent of the tota), whie there is ony a sma amont of CDS 3 In the goba CDS market, ISDA reports that 93 per cent of a credit derivative trades exected in 21 were sbject to margining (coatera) arrangements (ISDA 211). Aso, BIS data as at Jne 211 show that 17 per cent of gross otstanding CDS contracts were traded throgh centra conterparties. The aggregate net boght position is eqa to the net sod position for each reference entity, as every CDS contract has a byer and a seer. 5 Whie recovery rates are normay non-zero, recovery rates from many goba CDS action rests in ate 28 and eary 29 were between zero and 2 per cent. Figres are presented in US doars as this is the most common crrency denomination of CDS and bonds. 58 RESERVE BANK OF AUSTRALIA

3 Bank A Tabe 1: Exampe of Otstanding Contracts Cacations Reference entity 1 Reference entity 2 Tota Boght contracts (+) Sod contracts ( ) Net boght contracts 15 na 15 Net sod contracts na 5 5 Bank B Boght contracts (+) Sod contracts ( ) Net boght contracts na 5 5 Net sod contracts 15 na 15 Tota Net otstanding contracts Gross otstanding contracts Sorce: RBA referenced on Astraian banks, which accont for ony one-third of Astraian CDS. For non-financia companies, the bond market is aso arger than net otstanding CDS. Interestingy, the reativities across the different non-financia sectors are simiar, party refecting that the bond and CDS markets compement each other in pricing credit risk. Most of the exposre to companies is in the materias, teecommnications, rea estate and consmer stapes sectors (Graph 1). However, there are some differences in reative credit exposres, which cod refect banks sing CDS to hedge credit exposres on bsiness oans. An aggregate measre of conterparty risk, which does not take into accont risk-mitigation methods, is the market vae of otstanding CDS contracts. The market vae of a CDS contract is the cost of repacing the contract at the crrent premim. If the eve of CDS premia has not changed from when the contract was entered into, the market Materias Teecommnications Rea estate Consmer stapes Utiities Energy Consmer discretionary Indstrias Non-financias Graph 1Goba Otstanding Bonds and CDS Astraian companies, as at November 211 Bonds Net CDS US$b Sorces: The Depository Trst & Cearing Corporation; RBA vae wi be approximatey zero. Goba data from the Bank for Internationa Settements (BIS) sggest that there was a significant increase in the market vae of otstanding CDS contracts in the years eading p to, and then dring, the financia crisis BULLETIN DECEMBER QUARTER

4 The Astraian Credit Defat Swap Market Graph 2 Market Vae of Goba Otstanding CDS Contracts US$tr Market vae (LHS) % Per cent of goba OTC derivatives market vae (RHS) US$tr 2 (Graph 2). Expressed as a percentage of the market vae of goba OTC derivatives, the market vae of CDS contracts increased from arond 1½ per cent in 2 to a peak of more than 15 per cent by mid 28. This refected the growth in trading activity and the rise in CDS premia. Growth in trading activity from the eary 2s refected, among other things, increased investor appetite for risk, with investors attempting to enhance retrns by seing credit protection (which was associated with a downward trend in CDS premia) (Graph 3). As the financia crisis nfoded, however, investors increasingy soght to by credit protection, which paced significant pward pressre on CDS premia. Sorce: BIS Graph 3 Gross Vae of Goba Otstanding CDS Contracts and CDS Premia Gross otstanding CDS (LHS) CDS premia (RHS)* The significant decine in the market vae of otstanding CDS contracts since 28 argey refects the increased se of trade compression services ( tear-ps ) in the CDS market. These services offered by companies sch as TriOptima, Markit and Creditex, and condcted by some centra conterparties cance ot offsetting gross otstanding CDS contracts in order to redce conterparty risk, whie eaving net credit exposres argey nchanged. This is possibe becase the trading and market-making activities of CDS market participants tend to rest in the bid-p of a arge nmber of offsetting boght and sod positions. Many market participants aso prefer to maintain their trading positions in reativey new, and more iqid, contracts. As sch, market participants wi often cose ot od ( stae ) CDS trading positions those entered into six months earier, for exampe by entering into offsetting trades and then re-estabishing the desired trading position in a more iqid contract. Dring the financia crisis, when conterparty risk concerns increased significanty, particary for a nmber of arge goba banks that were major CDS market deaers, there was a dramatic increase in tear-p activity. The increase in tear-p activity was aso spported by improved trade processing practices, sch as increased se of eectronic confirmations. 7 This foowed concerns in the mid 2s regarding conterparty risk stemming from the arge backog of nconfirmed CDS trades in major overseas markets. Market participants in Astraia aso regary engage in ronds of trade compression, which has had a significant effect on the gross vae of otstanding contracts. The gross vae for otstanding contracts was estimated by the Astraian Financia Markets Association (AFMA) to be arond A$3 biion in mid 211 (AFMA 211). Tear-ps in the Astraian market have probaby been arond A$8 biion since 2, as neary A$1.2 triion in CDS have traded over the period, mainy with a matrity of 5 years * Average premia for the major investment grade corporate CDS indices for Erope and the United States Sorces: BIS; Boomberg 7 The Depository Trst & Cearing Corporation (DTCC) is the operator of the Trade Information Warehose that is the main goba repository of goba CDS transactions, the vast majority of which are now eectronicay confirmed (matched). This warehose faciitates the processing reqired in trade compression ronds. Reserve bank of Astraia

5 The Astraian Credit Defat Swap Market As at end May 211, CDS acconted for ony arond 3½ per cent of otstanding OTC derivatives in the Astraian market (Graph ). This sggests that CDS are not a major sorce of conterparty risk in Astraia and that tear-p activity has made a significant contribtion to redcing this risk. Graph Gross Otstanding Vae of OTC Derivatives A$tr 8 End May 211 Interest rates* Foreign exchange** CDS * Incdes Astraian doar interest rate swaps, overnight index swaps, forward rate agreements and interest rate options ** Incdes cross-crrency interest rate swaps and foreign exchange options Sorce: AFMA Liqidity in CDS and Bond Markets The reiabiity of information geaned from CDS prices is very mch a fnction of the market s iqidity. As noted above, CDS contracts expose market participants not ony to the credit risk of the reference entity bt aso to conterparty risk. The presence of this conterparty risk cod have a negative effect on iqidity in the CDS market reative to that in the bond market, particary when this risk is perceived to be high, sch as in recent months in goba markets. On the other hand, other factors promote CDS market iqidity reative to the bond market. CDS contracts are more standardised than bonds, with standard copon rates that are paid at a common set of dates, and trading activity is concentrated in a sma nmber of matrities (most notaby 5-year contracts). In contrast, bonds have a wider range A$tr 8 of matrities, some are secred and others are not, whie some bonds have embedded options. Another potentia advantage for the CDS market is that trading is not restricted to the size of the physica bond market. A that is reqired to trade a CDS contract is for there to be another market participant that is wiing to take the opposite position. In contrast, trading in bonds is imited to those particar bonds that have been issed and many Astraian companies are not regar issers of bonds. Aso, bonds that have been issed may not trade very often as some bond investors have a by-and-hod approach. 8 A commony sed gage of market iqidity is the difference between the best bid and best offer prices in the market, known as the bid-offer spread. Indicative bid-offer spreads qoted by deaers in both the CDS and bond markets are shown in Graph 5. These sggest that for a seection of banks and non-financia corporates, the bid-offer spreads in the CDS market have been ower than in the bond market in recent months. 2 1 Graph 5 Bid-offer Spreads for CDS and Bonds Average since Jne 211 Major banks Average bid-offer spread on bonds Other seected corporates Average bid-offer spread on CDS Companies ranked according to CDS bid-offer spreads * Bond bid-offer spreads are a weighted average of bonds that are within one year of issance and have matrities of 3 to 7 years Sorces: Boomberg; RBA 8 By-and-hod investors have a ess imiting effect on trading activity if they readiy end their stock ot to other market participants, who cod then trade it. However, there does not appear to be a significant amont of corporate bond ending activity (via reprchase agreements) in Astraia. 2 1 Betin December Qarter 211 1

6 US$b 15 1 Another gage of market iqidity is market depth, which refers to the size of the transaction that can be done withot affecting the market price. For instance, it is typica for the arger CDS deaers in the Astraian market to qote bid and offer prices for amonts of between US$5 miion and US$1 miion. Whie it is diffict to obtain estimates of the typica amonts that are qoted for corporate bonds, for some benchmark bond ines that have a reativey arge vome of trading activity, sch as those of the major banks, market participants are ikey to have the abiity to trade arger amonts at a given price than in the CDS market. This refects the fact that the market for bank bonds is mch arger than the market for bank CDS. A broad indicator of overa market depth is trnover. In the domestic market, trnover is typicay arger in aggregate for corporate bonds than singe-name CDS, other than in 27/8 and 28/9 when corporate bond trnover fe sharpy (Graph ). Trnover in 21/11 was significanty arger in corporate bonds than singe-name CDS. Another indicator of market depth is short-term price voatiity. For a given vome of trading activity, a ower eve of price voatiity is ikey to indicate greater market depth. For both the major banks and A-rated corporates, price voatiity is consistenty higher in the CDS market than in the bond market Graph Astraian Market Trnover of CDS and Corporate Bonds Singe-name CDS* Corporate bonds US$b 15 1 (Graph 7). Price voatiity was aso particary high for CDS reative to bonds dring the 28/9 phase of the crisis and again in recent months. This sggests that dring these periods of heightened ncertainty, when perceived conterparty risk aso increased, pricing information in the CDS market has tended to be more affected by iqidity isses than the bond market Graph 7 Voatiity in CDS and Bonds CDS Major banks 27 A-rated corporates Bonds * -month roing average of absote daiy change in CDS premia and bond spreads to swap Sorces: RBA; UBS AG, Astraia Branch In smmary, despite the tighter bid-offer spreads in the CDS market reative to the bond market, it appears that there is generay better iqidity in the bond market than in the CDS market, as refected by the bond market s higher eve of trnover and ower eve of short-term voatiity (notaby dring periods of market stress). This is particary the case for the major banks bonds. One area of the Astraian CDS market where there is greater iqidity is in the CDS indices, with trnover predominanty between banks (incding interna trades). 1 Whie there was negigibe trading in indices in 25, they now accont for arond per / /7 7/8 8/9 9/1 1/11 * Incdes singe-name trnover of bank CDS Sorces: AFMA; RBA 5 9 It is diffict to make a comparison of CDS and bond markets for companies with ratings of BBB or ower, as there are fewer companies for which both CDS and bonds of a simiar matrity are avaiabe. 1 Interna trades are trades that are done within banks. For exampe, to hedge credit risk, a bond trading desk at a bank may trade with the CDS trading desk within the same bank. The CDS trading desk wi then ikey hedge its risk on this interna trade by trading with another bank. 2 RESERVE BANK OF AUSTRALIA

7 US$b 2 cent of tota CDS trnover in Astraia, and most of this is in the itraxx Astraia index (Graph 8). There are 25 investment-grade constitents in the itraxx Astraia index that are chosen based on the rests of a Markit srvey of market-makers trading vomes in singe-name CDS. The constitents receive eqa weight in the index and there are no more than five banks incded. The bid-offer spread on this contract was typicay arond 2 3 basis points on average in recent months, compared with arond 5 basis points for singe-name contracts with the owest bid-offer spreads. The bid-offer spread on the itraxx Astraia contract has recenty been comparabe to that on the itraxx Japan, bt higher than on indices in Erope and the United States where bid-offer spreads are arond 1 basis point. Graph 8 Astraian Market Trnover of CDS Other credit derivatives Credit indices Singe-name CDS Tota trnover US$b Graph 9 Major Banks Bond Spreads and CDS Premia 5-year Bond spreads and CDS premia Bond spreads to swap* CDS premia ess bond spreads CDS premia 21 * Domestic secondary market spreads converted to US$ spreads Sorces: Boomberg; RBA 211 Graph 1 Astraian Corporates Bond Spreads and CDS Premia Matched sampe of A-rated corporates, 5-year Bond spreads to swap* Bond spreads and CDS premia CDS premia CDS premia ess bond spreads /1 Sorces: AFMA; RBA 2/3 /5 /7 8/9 1/11 Pricing in CDS and Bond Markets For a nmber of Astraian companies, credit risk pricing information is avaiabe from both the CDS and bond markets. Where this is the case, in principe the two prices shod move cosey together. Indeed, for some time prior to the financia crisis, CDS and bond pricing were broady simiar for the major banks and A-rated corporates (Graphs 9 and 1) For corporates and banks, market convention is to compare CDS premia with the spread between bond yieds and swap rates referenced to bank bis. This swap rate is sed as the benchmark as this is the most appropriate rate to assme wod be sed in repo transactions reqired for arbitrage between CDS and bonds on corporates and banks (this arbitrage is expained in more detai beow) * Domestic secondary market spreads converted to US$ spreads Sorces: Boomberg; RBA Sbseqenty, however, there have been periods of significant pricing discrepancies, which seem arger than can be reasonaby expained by iqidity differences (sch as bid-offer spreads). One factor that might expain these pricing differences is market segmentation. The expectation that CDS premia and bond spreads, for the same matrity, wi be reativey cose for individa companies reies on the abiity to arbitrage across these markets. That is, market participants wod need to be abe to enter into trading positions in both CDS and bonds that wod aow them to profit -2 BULLETIN DECEMBER QUARTER 211 3

8 from pricing differences, whie taking itte or no risk. If arbitrage between the two markets is not possibe or is very costy, CDS and bond pricing wod ony be simiar if market participants across the two markets had simiar views of credit risk, and other factors, sch as iqidity risk, were simiar across markets. In the Astraian market, arbitrage between the CDS and bond markets can be diffict to ndertake and invoves some costs. Arbitrage can be particary diffict when there is positive basis (the CDS premim is above the bond spread) for a particar corporate. A notabe recent exampe of this is credit risk pricing for the major banks, with CDS premia widening significanty reative to bond spreads in recent months. In the case of positive basis, the arbitrage invoves seing credit protection in the CDS contract (described as being ong CDS) and taking a short position in the reevant bond. However, estabishing a short position in the bond invoves borrowing the bond in the reprchase agreement (repo) market, before seing it. It can be diffict to borrow some corporate bonds, either becase investors are not wiing to end them or there is a sma stock otstanding. More generay, however, even if the bond can be borrowed, the sa borrowing term is very short, typicay between one day and one week. Over this time frame, the arbitrage is not ikey to be particary profitabe and maintaining the arbitrage invoves roover risk. If the bond cannot be borrowed continosy, the arbitrage may need to be nwond, potentiay resting in a oss if market prices have moved nfavoraby (i.e. the basis has increased frther). When there is negative basis (the bond spread is above the CDS premim) for a particar corporate, arbitrage may be somewhat easier, as it invoves bying the corporate bond and bying protection in the CDS market (going short CDS). For market participants that have fnding avaiabe, sch as fnd managers, this arbitrage wod narrow the basis. However, for market participants that are ooking to se the repo market to fnd the arbitrage trade by borrowing cash in a repo transaction in order to fnd the bond prchase it can be more diffict given the imited repo activity in corporate bonds in Astraia. Probaby the most significant isse with arbitrage of negative basis, which is aso eqay reevant for arbitrage of positive basis, is the transaction costs invoved (notaby bid-offer spreads), which can be sizeabe for some CDS and bonds. These transaction costs can drive a wedge between pricing in the two markets. Given these costs and difficties in arbitraging differences between CDS premia and bond spreads, it shod not be srprising to find that differences in pricing do occr. One possibe reason for the particary arge price differences dring periods of heightened ncertainty in recent years is that repo transactions in corporate bonds became more diffict to arrange, as market participants demanded higher qaity coatera sch as government and semi-government bonds. Another factor behind pricing differences between CDS and bonds is how participants in these markets form views on credit risk. One of the notabe deveopments in credit risk pricing in the CDS market over the past two years sing a broader range of companies for which comparabe matrity bonds are not aways avaiabe is that average CDS premia across different credit ratings have converged (Graph 11). This contrasts with the period prior to, and dring, the crisis when CDS premia tended to Graph 11 5-year CDS Premia of Astraian Companies 27 Sorce: Boomberg 28 BBB-rated corporates 29 Major banks (AA-rated) 21 A-rated corporates RESERVE BANK OF AUSTRALIA

9 be higher for ower-rated companies. Pricing in the bond market, on the other hand, sti tends to show higher credit risk premia for ower-rated companies. The key driver of this rest in the CDS market is changes in credit risk pricing for financia instittions and non-financia corporates. In particar, financia instittions have been perceived as more risky since the onset of the financia crisis. Over the corse of 29, as many A-rated and BBB-rated non-financia corporates redced their gearing and risk perceptions generay eased, CDS premia for these corporates fe sharpy towards those for the major Astraian banks (rated AA). Since then, there have aso been two notabe episodes where the major banks CDS premia rose above the averages for A-rated and BBB-rated corporates: dring the first haf of 21 and over the past few months. Both of these episodes occrred dring periods when goba financia market voatiity picked p significanty amid heightened concern regarding the creditworthiness of some Eropean governments and the potentia fow-on effects to their banking systems. This rested in heightened concerns abot financia instittions gobay, and ed to a widening of their CDS premia, incding for the major Astraian banks. This occrred despite these instittions remaining profitabe and having strong capita positions. One expanation cod be that some market participants in recent months have taken short positions in CDS contracts (i.e. bying credit protection) in order to hedge against, or specate on, the occrrence of nikey bt significant events, sch as another deep goba economic downtrn. More generay, the indstry in which a corporate operates has become more important in determining its CDS premim. Prior to the crisis, non-financia companies with a credit rating of A or above tended to have ower CDS premia than those with a credit rating beow A (top eft pane of Graph 12). However, more recenty, as shown in the bottom eft pane of the graph, there are a nmber of companies with credit ratings of A or above that have higher CDS premia than ower rated companies. The bottom right pane of Graph 12 istrates the crrent CDS premia Graph 12 Corporate Gearing and CDS Premia By credit rating, 2:H2 Rated beow A Rated A and above By credit rating, 211:H1* By indstry type, 2:H2 5 Cycica indstries** 25 Defensive indstries*** Book vae gearing (%) By indstry type, 211:H1* * Average CDS premia since Jy 211 ** Incdes energy, materias, indstrias, consmer discretionary, rea estate and IT *** Incdes consmer stapes, heath care, teecommnications and tiities Sorces: AFMA; Boomberg; Morningstar; RBA importance of the indstry in which a corporate operates. The CDS premia of most companies in cycica indstries (sch as consmer discretionary and indstria companies) have recenty been higher than the CDS premia of companies in defensive indstries (sch as consmer stapes, heath care and tiities). 12 Frthermore, the eve of gearing appears to have some importance for the CDS premia of cycica indstry companies, bt the CDS premia of defensive indstry companies tend to have itte variation, regardess of the eve of gearing. Concsion The pricing information in the CDS market has become more cosey watched by financia market participants in Astraia over recent years. However, despite the deveopment of the CDS market, there is some evidence to sggest that the bond market is generay deeper and short-term price movements are ess affected by market iqidity. More broady, the CDS market remains reativey sma compared with the bond market and other OTC derivatives in terms of credit risk exposre. R 12 Companies described as defensive stocks tend to have beow-average earnings voatiity and ower voatiity in their share prices becase there is ess ncertainty srronding ftre earnings. Other companies can be described as cycica stocks. Compared with defensive companies, these companies earnings tend to be more voatie, resting in higher share price voatiity. CDS premia BULLETIN DECEMBER QUARTER 211 5

10 References AFMA (Astraian Financia Markets Association) (211), 211 Astraian Financia Markets Report. Avaiabe at < main/ib913/211%2afmr.pdf>. ISDA (Internationa Swaps and Derivatives Association) (211), ISDA Margin Srvey 211. Avaiabe at < www2.isda.org/fnctiona-areas/research/srveys/marginsrveys>. RESERVE BANK OF AUSTRALIA