WWW.ABSTRACT.XLIBX.INFO
FREE ELECTRONIC LIBRARY - Abstract, dissertation, book
 
<< HOME
CONTACTS



Pages:   || 2 | 3 | 4 | 5 |   ...   | 8 |

«PREFACE This document describes the clearing of equity, fixed income and commodity derivatives at Nasdaq Clearing and how the role as clearing house ...»

-- [ Page 1 ] --

LEGAL DISCLAIMER

The content of this document is subject to change without notice. Although this document has been prepared on the

basis of the best information available at the moment of preparation, Nasdaq makes no representations or warranties

with respect to the information and accepts no liability for any decision taken on the basis of this document nor for any

other use made of the contents of this document. Nasdaq assumes no responsibility for any errors or omissions.

PREFACE

This document describes the clearing of equity, fixed income and commodity derivatives at Nasdaq Clearing and how the role as clearing house and central counterparty (CCP) is fulfilled. It provides the reader with information relating to central counterparty activities, the counterparty risks inherent to clearing operations, how these risks are managed and the financial resources available to support the clearing operations.

One of the principal functions of a clearing house is to guarantee that all contracts traded will be honored. Nasdaq Clearing becomes the counterparty in all transactions, i.e. acts as a buyer to the seller and as a seller to the buyer.

Counterparty risk is the risk that one party in a transaction will not be able to fulfill its obligations in due time. In order to ensure that the clearing house has the capacity to fulfill its obligations, it requires and receives collateral from the participating counterparties. In addition, it holds a member sponsored default fund and retains its own capital resources as well.

The ability to manage the counterparty risk is dependent on pro-active risk management, a sound legal foundation and the financial strength of the clearing house. Furthermore, rigid financial and operational requirements are applied to its members. Nasdaq Clearing also relies on advanced portfolio based margining models to determine the amount of collateral appropriate for the counterparty risks it assumes. In the event of a loss resulting from a counterparty default exceeding margins and default fund contributions of such defaulting counterparty, Nasdaq Clearing has a member sponsored default fund as well as its own funded risk-bearing capital, the latter serving as a buffer between any defaulting counterparty and all other counterparties.

The credit enhancing effects of a centralized clearing house boost market efficiency, reduce risk and allow broader client participation. Each of these features contributes to increasing liquidity in the marketplace.

April 2015

CONTENTS

PREFACE

CHAPTER 1 INTRODUCTION

1.1 NASDAQ OMX GROUP

1.2 NASDAQ CLEARING

1.3 BRIEF HISTORY

CHAPTER 2 MARKET PARTICIPANTS

2.1 MEMBERS

2.2 CLIENTS

CHAPTER 3 CLEARING MODEL

3.1 A HARMONIZED CLEARING MODEL

3.2 ACCOUNT STRUCTURE

3.3 SEGREGATION

3.4 PORTABILITY

3.5 CLEARING ACCOUNT MODEL

3.6 TECHNICAL ACCOUNTS

CHAPTER 4 PRODUCTS

4.1 EQUITY

4.2 FLEXIBLE DERIVATIVES

4.3 FIXED INCOME

4.4 COMMODITIES

CHAPTER 5 CLEARING OPERATIONS

5.1 DAILY CASH SETTLEMENT

5.2 PHYSICAL SETTLEMENT

5.3 EXPIRATION AND EXERCISE

CHAPTER 6 COLLATERAL MANAGEMENT

6.1 OVERVIEW

6.2 COLLATERAL

6.3 CASH OPTIMIZATION

6.4 DAILY CYCLE

CHAPTER 7 PAYMENT SYSTEM

7.1 APPROVED SETTLEMENT BANKS

7.2 CONCENTRATION BANKS

CHAPTER 8 RULES AND REGULATIONS

8.1 LEGAL FRAMEWORK

8.2 THE LEGAL STATUS OF NASDAQ OMX CLEARING AB

8.3 RULES OF NASDAQ OMX CLEARING AB

CHAPTER 9 COUNTERPARTY RISK MANAGEMENT

9.1 COUNTERPARTY RISK

9.2 CLEARING RISK MANAGEMENT DEPARTMENT

9.3 COUNTERPARTY RISK MANAGEMENT FRAMEWORK

9.4 RISK MANAGEMENT PROCEDURES

CHAPTER 10 DEFAULT MANAGEMENT

10.1 DEFAULT RULES

10.2 DEFAULT PROCESS

10.3 PORTABILITY – ASSUMPTIONS AND PROCESS

10.4 DEFAULT HISTORY

CHAPTER 11 MARGIN METHODOLOGY

11.1 CALCULATION OF RISK PARAMETERS

11.2 GENIUM RISK - THE MARGINING SUBSYSTEM

11.3 OMS-II – EQUITY DERIVATIVES MARGINING

11.4 CFM - FIXED INCOME DERIVATIVES MARGINING

11.5 SPAN - COMMODITIES DERIVATIVES MARGINING

11.6 CORRELATION BETWEEN INSTRUMENTS

11.7 MARGIN SIMULATION

11.8 MARGIN BACK-TESTING

CHAPTER 12 CCAR

12.1 CALCULATING CCAR PARAMETERS

CHAPTER 13 FINANCIAL RESOURCES

13.2 CLEARING CAPITAL

13.3 OTHER REGULATORY CAPITAL

13.4 THE DEFAULT FUND CONTRIBUTION PROCESS

CHAPTER 1

INTRODUCTION

Nasdaq Clearing is part of the NASDAQ OMX Group – a leading provider of trading and clearing services, exchange technology, information and public company services across six continents.

The European arm of the NASDAQ OMX Group includes the stock exchanges in Copenhagen, Stockholm, Helsinki, Reykjavik, Tallinn, Riga and Vilnius, the central securities depositories in Estonia, Latvia, Lithuania and Iceland as well as NLX, the London based interest rate derivatives market. Derivatives operations are conducted organizationally in the business area Nordic Transaction Services, which runs the stock exchanges in Stockholm, Helsinki, Copenhagen and Reykjavik, the derivatives exchanges in Stockholm and Oslo, and the derivatives clearing house Nasdaq Clearing.





1.1 NASDAQ OMX GROUP

The NASDAQ OMX Group (Nasdaq) is a leading provider of trading services, exchange technology, information and public company services across six continents. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today’s global capital markets. As the creator of the world’s first electronic stock market, its technology powers more than 80 marketplaces, clearing houses and central securities depositories in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to more than 3,500 listed companies with a market value of over $9 trillion.

The Global Market Services business comprises six exchanges in the US, as well as eight exchanges, seven growth markets, one interest rate derivatives trading venue, four central security depositories and one derivatives clearing house in Europe, and a global commodities business that provides access to the world’s largest power derivatives market and one of Europe’s leading carbon markets. The commodities offering also includes natural gas, freight, fuel oil, iron ore and seafood.

In Europe Nasdaq has created a truly integrated multi asset offering enabling members to trade and clear cash and derivatives within equity, fixed income and commodities on the same technical platform and with one membership, one account structure and one collateral report. This enables members to gain substantial cost efficiencies and collateral efficiencies.

Nasdaq Nordic serves as a central gateway to the Nordic and Baltic financial markets, with over 700 listed companies on the main markets and the growth markets, Nasdaq First North.

1.2 NASDAQ CLEARING Nasdaq Clearing operates central counterparty clearing for derivative instruments and offers clearing of equity and index derivatives on Swedish, Norwegian, Finnish and Danish instruments; fixed income derivatives on Swedish, Norwegian and Danish underlying; commodity derivatives on Nordic power, emission rights, gas, German and Dutch power as well as freight, iron ore, fuel oil, electricity certificates and salmon derivatives and derivative contracts on the British electricity market. Nasdaq Clearing clears exchange transactions as well as OTC trades done outside the regulated markets and reported to the clearing house for clearing.

NASDAQ OMX Clearing AB is a wholly-owned subsidiary of NASDAQ OMX Nordic Oy, which itself is a wholly owned subsidiary of OMX AB (a Swedish limited liability company incorporated under the Swedish Companies Act). The clearing house is organized within the legal entity of NASDAQ OMX Clearing AB (Nasdaq Clearing). The marketplace for equity, fixed income and commodities derivatives is organized within the legal entity of NASDAQ OMX Stockholm AB.

NASDAQ OMX Oslo ASA is the legal entity responsible for the commodities derivatives marketplace.

Nasdaq Clearing is authorized and supervised as a multi-asset clearing house by the Swedish Financial Supervisory Authority, and is also authorized to conduct clearing operations via its Norwegian branch NASDAQ OMX Oslo by the Norwegian Ministry of Finance. As the first CCP in Europe, Nasdaq Clearing received authorization under 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 (“EMIR”) in March 2014.

1.3 BRIEF HISTORY

1.3.1 EQUITIES AND FIXED INCOME DERIVATIVES

Equities and fixed income trading in standardized derivatives began in Sweden in 1985 when OM started its operations.

OM was founded as a for-profit, privately owned derivatives exchange and was the first exchange to offer electronic trading integrated with clearing and settlement. Standardized American style call options on six Swedish stocks were the first contracts traded and Sweden thereby became the sixth country in the world to introduce standardized options trading.

In 1989, OM opened the London based derivatives exchange OM London Exchange and launched the world’s first electronic link-up of exchanges with real-time trading and clearing. In 1997, the link was extended to Oslo Børs and VPS Clearing (at that time Norsk Opsjonssentral A/S), and LEC (Linked Exchange Clearing) was established. LEC was the world’s first derivatives link for real-time trading and clearing between independent exchanges and clearing houses. In 2001, Copenhagen Stock Exchange and FUTOP Clearing Center joined the LEC cooperation. OM London Exchange was later replaced by EDX London and LCH Clearnet. The LEC agreement was terminated March 2008 and the cooperation came to an end in December 2009. From that point on, all members trade and clear directly with NASDAQ OMX Stockholm AB and approximately 50% of the members are located outside the Nordic region.

Derivatives trading in Finland started when SOM (Finnish Securities and Derivatives Exchange/Clearing house) was established in 1987 and served as an integrated exchange and clearing house for the trading and clearing of standardized derivatives instruments. In 1997, the Helsinki Stock Exchange Ltd and SOM Ltd merged to form HEX Ltd. In November 1998, HEX began cooperating with Eurex AG in derivatives trading. The most actively traded Finnish derivatives started to be traded on the Eurex trading platform and all other Finnish derivatives at OM. In 2003 OM and HEX, including the Tallinn and Riga exchanges, merged and established OMX. The acquisition of the Vilnius Stock Exchange took place in 2004.

Trading of standardized derivatives in Denmark started in 1988 when The Guarantee Fund for Danish Options and Futures began its operations as a clearing house. All derivatives instruments were traded on the Copenhagen Stock Exchange. The Guarantee Fund for Danish Options and Futures was founded in 1997 and the Guarantee Fund merged with Copenhagen Stock Exchange to form the FUTOP Clearing Center. In 2005 OMX and the Copenhagen Stock Exchange merged.

In 2006 OMX and Iceland Stock Exchange merged, and Icelandic derivatives were introduced to the market in May

2007. Since the end of 2008, Icelandic derivatives are no longer offered.

Since September 2009, Nasdaq also offers trading in Norwegian single stock and index derivatives.

Today, all trading and clearing of options and futures within the Nasdaq Nordic market is fully integrated and conducted through NASDAQ OMX Stockholm AB and NASDAQ OMX Clearing AB respectively.

1.3.2 COMMODITIES Nasdaq Commodities Europe dates back to 1991, when the Norwegian Parliament (Stortinget) resolved to deregulate the market for power trading by passing of a new energy act. As a consequence of the new legislation, Statnett Marked AS was established as a subsidiary to Statnett SF, which is the Norwegian transmission system operator (TSO). The company was set to operate the newly formed Norwegian power market.

In 1995, the financial market was established. Market participants could initially enter into transactions in futures contracts. Forward contracts were introduced in 1997.

In 1996, Norway and Sweden set up a common market for electricity and the Swedish TSO, Svenska Kraftnät, became a co-owner; the company was renamed Nord Pool ASA. Nord Pool ASA was the world’s first multinational exchange for trading and clearing of financial power contracts. Finland was integrated into the Nordic power exchange area in 1998, and Denmark followed in 1999 and 2000.

Electricity derivatives contracts with cash settlement were introduced in 2001, and Nord Pool ASA was licensed as a regulated exchange in 2002. At the same time, the clearing business was demerged into a separate company, Nord Pool Clearing ASA, which became licensed as a clearing house. The physical market activities were then demerged into a separate company, Nord Pool Spot AS, co-owned by Nord Pool ASA and the four Nordic TSOs.

The Nord Pool market established itself as the world’s largest and most efficient power market, offering unprecedented transparency and liquidity for market participants. It also helped develop other energy markets in Europe and worldwide.

Nord Pool ASA started listing European Union Allowances (EUAs) as standardized exchange contracts early 2005, thereby pioneering the exchange trading of carbon credits. Trading in project-based Carbon Emission Reduction units (CERs) was introduced in 2007, becoming the first exchange market for CERs.

In 2008, the NASDAQ OMX Group acquired Nord Pool Clearing ASA and Nord Pool Consulting AS from Nord Pool ASA.



Pages:   || 2 | 3 | 4 | 5 |   ...   | 8 |


Similar works:

«Arbeitsgemeinschaft Institut Wohnen und Umwelt GmbH Rheinstraße 65 64295 Darmstadt – Federführung – Bremer Energie Institut College Ring 2 28759 Bremen Auftraggeber KfW-Bankengruppe Gutachten Monitoring der KfW-Programme „Energieeffizient Sanieren“ 2010 und „Ökologisch / Energieeffizient Bauen“ 2006 2010 Autoren: Institut Wohnen und Umwelt, Darmstadt Dr.-Ing. Nikolaus Diefenbach Dipl.-Phys. Tobias Loga Bremer Energie Institut Dr. rer.pol. Jürgen Gabriel Dipl.-Ing. Max Fette 23....»

«Forschungsstätte der Evangelischen Studiengemeinschaft e.V. Arbeitsbereich Frieden und Nachhaltige Entwicklung Die Reaktorkatastrophe von Tschernobyl – ein Gedenktag nach 20 Jahren Anlass zur Neu-Orientierung der Energiepolitik? Heidelberg, März 2006 Der folgende Text ist ein Diskussionsbeitrag des Arbeitsbereichs Frieden und Nachhaltige Entwicklung der Forschungsstätte der Evangelischen Studiengemeinschaft Heidelberg e.V. Schmeilweg 5 69118 Heidelberg Tel. 06221-9122-0...»

«ConvergenCe patterns in aCCounting regulation: six Country Cases of the transforming regulatory landsCape JoChen Zimmermann Jan-philipp Kilian Johannes sChymCZyK no. 119 Jochen Zimmermann Jan-Philipp Kilian Johannes Schymczyk Convergence patterns in accounting regulation: Six country cases of the transforming regulatory landscape TranState Working Papers No. 119 Sfb597 „Staatlichkeit im Wandel“ − „Transformations of the State“ Bremen, 2010 [ISSN 1861-1176] Sfb 597 „Staatlichkeit im...»

«= = = Ölen von Sandstein als Witterungsschutz am Berner Münster = = = Diplomarbeit vorgelegt von Tobias Hotz Bern, den 8.September 2006= = = = = Referent: Prof. dipl. Rest. Ulrich Fritz Koreferent: Prof. dipl.Rest. Stefan Zumbühl = = = = ==  Hochschule der Künste Bern Fachbereich Konservierung und Restaurierung Vertiefungsrichtung Architektur und Ausstattung die Hochschule der Künste Bern – ein Teil der Berner Fachhochschule www.hkb.bfh.ch Tobias Hotz Ölen von Sandstein als...»

«CEE 317 GeoSurveying AutoCAD Civil 3D Tutorial: Importing Survey Points This tutorial guides you through the basic steps required to (1) import survey data into AutoCAD and build a surface, (2) explore representations of a surface, and (3) generate a profile of your surface. Part I: Importing Survey Data into AutoCAD 1. For this tutorial, we will use survey data of a short reach of the Provo River from Utah State University. These survey data include a number of cross sections across the river...»

«ЭКОНОМИКА ФРАНЦИИ: СОСТОЯНИЕ, ТЕНДЕНЦИИ И ПЕРСПЕКТИВЫ РАЗВИТИЯ Некрасова Д.А. Шуйский филиал Ивановского Государственного Университета Шуя, Россия ECONOMY OF FRANCE: STATE, TENDENCIES AND DEVELOPMENT PROSPECTS Nekrasova D. A. Shuysky branch of the Ivanovo State University Shuya, Russia Актуальность исследования. Особенная...»

«293 Dezentrierung und Verkippung der neuen TecnisZCB00-Intraokularlinse im Vergleich mit der Linsenposition im jugendlichen Auge U. Mester, T. Sauer, H. Kaymak Zusammenfassung Hintergrund: Bekanntermaßen beeinträchtigen Verkippung und Dezentrierung von Intraokularlinsen (IOL) die Abbildungsqualität des Auges. Dies gilt im Besonderen für asphärische IOLs. In einer prospektiven Untersuchung wurden daher Verkippung und Dezentrierung der einstückigen asphärischen Tecnis IOL (ZCB00) gemessen...»

«GITO Schriftenreihe der Hochschulgruppe für Arbeitsund Betriebsorganisation e. V. (HAB) Lehren und Lernen für die moderne Arbeitswelt Horst Meier (Hrsg.) Horst Meier (Hrsg.) Lehren und Lernen für die moderne Arbeitswelt Reihe: Schriftenreihe der Hochschulgruppe für Arbeitsund Betriebsorganisation e. V. (HAB) Lehren und Lernen für die moderne Arbeitswelt Horst Meier (Hrsg.) Prof. Dr.-Ing. Horst Meier Ruhr-Universität Bochum Lehrstuhl für Produktionssysteme Universitätsstraße 150 44801...»

«Applying IFRS A closer look at the revised lease accounting proposal May 2013 Contents In this issue: 1. Overview 2. Key considerations 2.1. Scope exclusions 2.2. Identifying a lease 2.2.1. Definition of a lease 2.2.2. Use of an identified asset 2.2.3. Right to control the use of the identified asset 2.3. Cancellable leases 2.4. Short-term leases 2.5. Separation of lease and non-lease components 2.5.1. Identifying and separating lease components and non-lease components 2.5.2. Identifying and...»

«INFORMATION COLLECTION & EXCHANGE Peace Corps' Information Collection & Exchange (ICE) was established so that the strategies and technologies developed by Peace Corps Volunteers, their co-workers, and their counterparts could be made available to the wide range of development organizations and individual workers who might find them useful. Training guides, curricula, lesson plans, project reports, manuals and other Peace Corps-generated materials developed in the field are collected and...»

«THE ZIBBY GARNETT TRAVELLING FELLOWSHIP Report by Isabelle Vaudrey Sculpture Conservation at the The Pinacoteca do Estado de São Paulo, Brazil 9th September – 18th October 2013 Page 1 of 30 Contents 1. Introduction..3 2. Study trip..4 3. My Main project..6 4. General museum work..14 I. Colar..14 II. Frames..15 III. Exhibition care..15 IV. Frida Baranek..16 5. Technical visits..17 I. MAB..17 II. MASP..17 III. SAB..18 IV. Raul Carvalho..19 6. Sâo Paulo..20 I. Living..20 II. Commuting..21 III....»

«CITY OF PONTIAC, MICHIGAN GENERAL EMPLOYEES RETIREMETN SYSTEM BOARD OF TRUSTEES SPECIAL MEETING FEBRUARY 10, 2010 A special meeting of the Board of Trustees was held on Wednesday, February 10, 2010 at the Shrine Room, Main Level, City Hall, 47450 Woodward Avenue, Pontiac, Michigan 48342. The meeting was called to order at 10:30 a.m. TRUSTEES PRESENT TRUSTEES ABSENT Shirley Barnett Patrice Waterman (absent) Charlie Harrison, Chairman Kevin Williams (absent) Mayor, Leon Jukowski Javier Sauceda,...»





 
<<  HOME   |    CONTACTS
2016 www.abstract.xlibx.info - Free e-library - Abstract, dissertation, book

Materials of this site are available for review, all rights belong to their respective owners.
If you do not agree with the fact that your material is placed on this site, please, email us, we will within 1-2 business days delete him.