This IT Notice is aimed at fixed income derivatives and equity derivatives participants currently on the Genium INET platform.
The member extranet http://nordic.nasdaqomxtrader.com/memberextranet/genium_inet/ is always updated with the latest Genium INET related documentation.
Cash Flow Margin (applicable for fixed income derivatives users)
During 2010 NASDAQ OMX launched clearing of SEK Repo and Interest Rate Swap (IRS) products. To support these services a new risk valuation model (Cash Flow Margin – CFM) for fixed income derivatives was introduced. CFM is a yield curve based risk model that captures the natural correlation between different instruments along the same yield curve. The next step is to enhance our fixed income clearing offering even further by offering optional use of CFM valuation for all fixed income derivative products starting September 26. The new risk model shows considerable margin reduction for a balanced fixed income portfolio and the model will improve time to market of implementing new interest rate derivatives going forward.
New risk reports (applicable for all equity and fixed income derivatives users)
In order to streamline the way reports are handled in Genium INET the current risk reports in text format for both equity and fixed income derivatives will be replaced by reports in the enhanced common format, i.e. excel, pdf and csv.
