of Credit Derivatives
Derivatives: Market Info and awareness
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Credit derivative developments in Australia
A March 2000 article estimated the Australian credit derivatives market to be worth A$ 2 billion to A$ 5 billion.
The Australian Financial Markets Association (AFMA) has been publishing figures of credit derivatives volumes of respondent banks for the last 2 years. For the year 1999-2000, the AFMA survey posted an aggregate notional value of A$18.43 billion being transacted in the domestic OTC markets. In year 2000-1, there was a near 50% jump up in the volumes and the total volume recorded was A$ 27.6 billion.
The results of the AFMS survey are given by the following table:
By nature and domicile, the transactions have been classified as under: By tenure, the transactions are classified as under:
The market is highly concentric, since top 4 respondents took 100% of the market in year 1999-00 and 98.39% in year 2000-1. The Australian Prudential Regulatory Authority has come out with regulatory guidelines on credit derivatives which are discussed in our Chapter on Regulatory issues.