NASDAQ OMX Derivatives Markets (NASDAQ OMX DM) is making a number of changes to the list of eligible collateral in connection to the implementation of NASDAQ OMX DM’s proprietary Collateral Management Service (CMS). During the implementation period in 2013, NASDAQ OMX DM will have two parallel collateral lists, one new list for NASDAQ OMX DM CMS and one for the current Custodian Institution set-up.
Appendix 12 for CMS will come into force 2013-04-01 but will only apply to individual Clearing Members and Direct Pledging Customers once migrated to CMS. Appendix 12 for Custodian Institutions will come into force 2013-03-25.
Appendix 12 – NASDAQ OMX DM CMS (applicable from migration to CMS)
- Only a “non-financial counterparty” as defined in Regulation (EU) no 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories, is entitled to provide an on-demand commercial bank guarantee as collateral in respect of positions in commodities instruments.
- CHF is no longer eligible as cash collateral.
- Shares will not be accepted as collateral until June 2013.
- Clarification is made with regards to Individual Client Segregated Accounts.
- Base currency conversion haircuts are set to 7.5%
- New concentration limits are introduced. The following limits are introduced:
- Cash Collateral – Concentration limit 100%
- Government Bonds and Bills – Concentration limit 100%
- Covered Bonds – Concentration limit 90%
- Kommuninvest Bonds – Concentration limit 90%
- ETF – Concentration limit 50%
- Kommuninvest bonds issued under the Swedish Benchmark program are eligible as collateral
- US government bonds and bills are removed as eligible collateral.
- The list will come into force 2013-04-01 but will only apply to individual Clearing Members and Direct Pledging Customers once migrated to CMS.
Appendix 12 – Custodian Institutions (applicable before migration to CMS)
- Only a “non-financial counterparty” as defined in Regulation (EU) no 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories, is entitled to provide an on-demand commercial bank guarantee as collateral in respect of positions in commodities instruments.
- CHF is no longer eligible as cash collateral.
- Kommuninvest bonds issued under the Swedish Benchmark program are eligible as collateral
- US government bonds and bills are removed as eligible collateral.
- The list will come into force 2013-03-25.
Attached documents:
Appendix 12 - Collateral list (NOMX DM CMS) 2013-04-01
Appendix 12 - Collateral list (Custodian Institutions) 2013-03-25
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.
