This message contains important information regarding the Genium INET upgrade to 4.0201 which includes the new functionalities and enhancements going live March 17th, 2014.
Genium INET Infrastructure Changes
NASDAQ OMX is upgrading to a faster infrastructure which will reduce the latency of all broadcast including BO5 and BD70. To this, the structure of the Match ID and the maximum size of the OMnet API broadcasts will change as described in the Changes to NASDAQ OMX Infrastructure document attached.
It is of great importance that members, 3rd party application developers and ITCH users review the attached document which contains the full description of the changes.
Pre-Novation
NASDAQ OMX will introduce automatic collateral checks for certain cleared instruments. The checks will ensure that each trade that is submitted for clearing is covered with sufficient collateral in real-time.
Pre-Novation will be introduced March 17th for the following contract specifications:
3.32
3.33
3.40
3.42
3.43
3.44
The Contract specifications are found under chapter three in NASDAQ OMX clearing rules. http://www.nasdaqomx.com/digitalAssets/87/87319_chapter_3_i_contract-specifications.pdf
It is mandatory for members using Clearing Workstation 1 (CW1) to upgrade their CW1 server and clients to be able to support Pre-Novation due to new OMnet messages which can be found in the Pre-Novation OMnet API for Fixed Income document attached.
Intra-day funding of ICA Accounts
For members who act as a clearing broker, it will be possible to post excess collateral into a specific account in the member´s name. This account is segregated from the house business and can only be used to cover client´s intraday margin requirement. The collateral on this account can be used to cover several ICA-accounts exposure, for example if the member funds 100 million intraday all ICA accounts linked to the intraday funding account can take on an aggregated margin requirement of 100 million.
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Changes to Clearing Workstation 1
- New column in Clearing Workstation 1 in Account Details window: Intraday Funding Account.
- New propagation Types: Intraday Funding, and Base Collateral in Account Propagation window.
- The Interface file for account will include new information about “Intraday Funding” propagation.
- New Column to show Collateral information.
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Changes to Clearing Workstation 2
- New column in Clearing Workstation 2 in Account Details window: Intraday Funding Account.
- New propagation Types: Intraday Funding, and Base Collateral in Account Propagation window.
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OMnet Impact
Changes to external OMnet transactions, CQ128 and FQ16, were implemented in Genium INET 3.0201:
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CQ128 – Changes in Answer CA128:
New struct: cl_account_intraday_funding_api
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FQ16 – Changes in answer FA1:
New struct: deficit_to_cover
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CQ128 – Changes in Answer CA128:
Interpolation of Interest Rate for Historical Floating Periods
Support for interpolation of historical fixing rates is requested so historical Swap Trade Reports can be entered without specifying an initial rate.
No technical impact.
Technical Documentation and Test System
New Genium INET front-ends and the Genium INET OMnet API header file will be released in mid-January 2014 together with additional documentation. The new functionalities and enhancements will be available in the Genium INET 4.0201 External Test System 4 as of January 29th, 2014.
For questions or comments, please contact:
Technical Support technicalsupport@nasdaqomx.com
+46 8 405 6944
