The changes are outlined below. Attached document, Appendix 12 to NASDAQ OMX Derivatives Markets Rules and Regulations, contains the version that will come into effect on March 15, 2012.
Changes of Appendix 12:
1) When a guarantee is used as collateral, the guarantor must have a minimum rating of A- from S&P and/or A3 from Moody’s.
2) Clarification of the Minimum rating criteria: The minimum rating criteria is per issuer or security. Rating from one rating institute is sufficient, but when the issuer or the security is rated by both S&P and Moody's, the lower of the two ratings is applicable. In cases where the minimum rating criteria is A- (S&P) and/or A3 (Moody's) and the issuer (or security) has been given a BBB+ rating by S&P and a A3 rating by Moody's, S&P's rating is used and the security is not eligible as collateral (valued at zero).
3) Bank bonds should have a minimum rating of A- from S&P and/or A3 from Moody’s.
Attached documents:
Appendix 12 Collateral list – effective date March 15, 2012.
For further information concerning this exchange notice please contact Risk Management European Financial Products, telephone +46 8 405 70 88, or riskmanagement@nasdaqomx.com
NASDAQ OMX Derivatives Markets
Risk Management European Financial Products
Legal disclaimer: This Exchange Notice is provided only as notification to NASDAQ OMX Derivatives Markets participants and other contracting parties of NASDAQ OMX Derivatives Markets and is not intended for any other purposes. Prior to taking any action based on the above information, the Rules and Regulations of NASDAQ OMX Derivatives Markets (“Rules”) should be fully understood. NASDAQ OMX Derivatives Markets is not responsible for any misinterpretation of the information provided in this Exchange Notice. Subject to the Rules, NASDAQ OMX Derivatives Markets assumes no liability for the accuracy or completeness of the contained information or for any damages arising from actions taken on the basis of this Exchange Notice.
