El presente conjunto de datos contiene información de los Swaps, Cross Currency Swap y Credit default Swaps de las Pensiones Obligatorias y Cesantías paras las Sociedades Administradoras de Fondos de Pensiones y de Cesantías.

Los códigos de patrimonio corresponden a la siguiente clasificación: - Pensiones Obligatorias 1000 (Moderado), - Pensiones Obligatorias 5000 (Conservador), - Pensiones Obligatorias 6000 (Mayor Riesgo), - Pensiones Obligatorias 7000 (Retiro Programado), - Pensiones Obligatorias 8000 (Skandia Alternativo) y - Cesantías 1 (Portafolios Largo Plazo)

The FR 2436 report collects data on notional amounts and gross market values of the volumes outstanding of over-the-counter (OTC) derivatives in broad categories--foreign exchange, interest rate, equity- and commodity-linked, and credit default swaps--across a range of underlying currencies, interest rates, and equity markets.

We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis methods that rely on the much smaller cross-sectional dimension. European sovereign bond yields for the period 2006-2011 are decomposed into a CRF rate, a default risk premium and a liquidity risk premium. Our empirical findings suggest that investors chase both credit quality and liquidity, and that they price double default risk on credit default swaps.

In March 2003, banks and selected Registered Financial Corporations (RFCs) began reporting their international assets, liabilities and country exposures to APRA in ARF/RRF 231 International Exposures. This return is the basis of the data provided by Australia to the Bank for International Settlements (BIS) for its International Banking Statistics (IBS) data collection. APRA ceased the RFC data collection after September 2010.

The IBS data are based on the methodology described in the BIS Guide on International Financial Statistics (see http://www.bis.org/statistics/intfinstatsguide.pdf; Part II International banking statistics). Data reported for Australia, and other countries, on the BIS website are expressed in United States dollars (USD).

Data are recorded on an end-quarter basis.

All banks operating in Australia complete ARF 231. Between March 2003 and September 2010, only those larger RFCs with sizeable overseas assets and/or liabilities completed RRF 231. Bank and RFC positions are reported in Australian dollars (AUD). Non-AUD denominated positions have been converted to AUD using an appropriate end-quarter exchange rate, so changes in reported data between quarters are due not only to changes in positions but also valuation gains or losses due to exchange rate changes.

There are two sets of IBS data: locational data, which are used to gauge the role of banks and financial centres in the intermediation of international capital flows; and consolidated data, which can be used to monitor the country risk exposure of national banking systems. Only consolidated data are reported in this statistical table.

The data in this statistical table summarise the country exposures of Australian-owned banks (and selected RFCs between March 2003 and September 2010). This is a smaller reporting pool than in the series reported in statistical table B11.2, which is based on all banks and RFCs reporting ARF/RRF 231 data. The types of assets included here are consistent with those reported in statistical tables B11.1, B11.2 and B12.1, except that the data are consolidated for Australian-owned reporting entities (i.e. includes the claims on countries of all the offices worldwide of entities with head offices in Australia, but excludes positions between different offices of the same group). Consolidated data only include positions with non-residents (in any currency).

Data are shown for a selected group of countries that account for the bulk of the total. Similar data for other countries are also available in statistical table B13.2.1.

Data presented in this statistical table are ultimate risk claims. Ultimate risk claims cover claims on an immediate counterparty location basis that have been adjusted (via guarantees and other risk transfers) to reflect the location of the ultimate counterparty/risk. Data on immediate risk claims (expressed by the BIS as claims on an immediate borrower basis) are available in complementary statistical tables B13.1 and B13.1.2.

Foreign claims refers to all cross-border claims plus foreign offices’ local claims on residents in both local and foreign currencies. It is equal to the addition of local currency claims of reporting entities’ foreign offices on local residents, and international claims. Data for all these accounts on an immediate risk basis are available in a complementary statistical table B13.1.

International organisations are included in the ‘Public sector’ category in the consolidated data (while in the locational data they can be reported as either bank or non-bank depending on the particular organisation). Official monetary authorities (central banks or similar national and international bodies, such as the BIS) are also included in the public sector in the consolidated data (but are treated as banks in the locational data, B12.1 and B12.2). Publicly-owned entities (other than banks) are classed in the ‘Non-bank private sector’ in the consolidated data (and as non-banks in the locational data).

‘Cross border’ positions are those positions with bank and non-bank counterparties located in a country other than the country of residence of the reporting entity (or its affiliate). This would include, for example, lending by a bank in Australia to a company in France; it would also include loans by that bank’s subsidiary in the UK to a company in France.

‘Local’ claims are those claims of overseas affiliates of the reporting entity on the residents of the countries in which they are located. These are largely in local currencies but include non-local currencies as well.

Derivatives are not included in foreign claims. On- and off-balance sheet derivatives are shown separately as a memo item. ‘Derivatives’ are those on- and off-balance sheet derivative exposures (to the country of ultimate risk) that are in a positive market value position. Negative market values of derivative contracts represent financial liabilities and are therefore excluded from the reporting of financial claims. The data mainly comprise forwards, swaps and options relating to foreign exchange, interest rate, equity, commodity and credit derivative contracts. Credit derivatives, such as credit default swaps and total return swaps, are included in ‘Derivatives’ if they belong to the trading book of a protection-buying reporting entity. Credit derivatives that belong to the banking book are reported as risk transfers by the protection buyer. All credit derivatives are reported as guarantees by the protection seller.

‘Guarantees’ refers to contingent liabilities arising from an irrevocable obligation to pay to a third-party beneficiary when a client fails to perform some contractual obligations. They include: secured, bid and performance bonds; warranties and indemnities; confirmed documentary credits; irrevocable and stand-by letters of credit; acceptances; and endorsements. Guarantees also include the contingent liabilities of the protection seller of credit derivative contracts.

‘Credit commitments’ covers arrangements that irrevocably obligate an institution, at a client’s request, to extend credit in the form of: loans; participation in loans, lease financing receivables, mortgages, overdrafts or other loan substitutes; or commitments to extend credit in the form of the purchase of loans, securities, or other assets (e.g. back-up facilities including those under note issuance and revolving underwriting facilities).

Graph and download economic data for ICE BofA BB US High Yield Index Option-Adjusted Spread (BAMLH0A1HYBB) from 1996-12-31 to 2025-03-25 about BB, option-adjusted spread, yield, interest rate, interest, rate, and USA.

Lehman Brothers, the fourth largest investment bank on Wall Street, declared bankruptcy on the 15th of September 2008, becoming the largest bankruptcy in U.S. history. The investment house, which was founded in the mid-19th century, had become heavily involved in the U.S. housing bubble in the early 2000s, with its large holdings of toxic mortgage-backed securities (MBS) ultimately causing the bank's downfall. The bank had expanded rapidly following the repeal of the Glass-Steagall Act in 1999, which meant that investment banks could also engage in commercial banking activities. Lehman vertically integrated their mortgage business, buying smaller commercial enterprises that originated housing loans, which allowed the bank to expand its MBS holdings. The downfall of Lehman and the crash of '08 As the U.S. housing market began to slow down in 2006, the default rate on housing loans began to spike, triggering losses for Lehman from their MBS portfolio. Lehman's main competitor in mortgage financing, Bear Stearns, was bought by J.P. Morgan Chase in order to prevent bankruptcy in March 2008, leading investors and lenders to become increasingly concerned about the bank's financial health. As the bank relied on short-term funding on money markets in order to meet its obligations, the news of its huge losses in the third-quarter of 2008 further prevented it from funding itself on financial markets. By September, it was clear that without external assistance, the bank would fail. As its losses from credit default swaps mounted due to the deepening crash in the housing market, Lehman was forced to declare bankruptcy on September 15, as no buyer could be found to save the bank. The collapse of Lehman triggered panic in global financial markets, forcing the U.S. government to step in and bail-out the insurance giant AIG the next day on September 16. The effects of this financial crisis hit the non-financial economy hard, causing a global recession in 2009.

Graph and download economic data for ICE BofA CCC & Lower US High Yield Index Option-Adjusted Spread (BAMLH0A3HYC) from 1996-12-31 to 2025-03-26 about CCC, option-adjusted spread, yield, interest rate, interest, rate, and USA.

Graph and download economic data for ICE BofA Euro High Yield Index Option-Adjusted Spread (BAMLHE00EHYIOAS) from 1997-12-31 to 2025-03-24 about option-adjusted spread, Euro Area, Europe, yield, interest rate, interest, rate, and indexes.

Graph and download economic data for ICE BofA Single-A US Corporate Index Option-Adjusted Spread (BAMLC0A3CA) from 1996-12-31 to 2025-03-25 about A Bond Rating, option-adjusted spread, corporate, and USA.