The member extranet http://nordic.nasdaqomxtrader.com/memberextra...nium_inet/ is always updated with the latest Genium INET related documentation.
Cash Flow Margin (CFM) model for fixed income derivatives instrument
NASDAQ OMX will a have mandatory migration of all fixed income derivatives instrument to CFM on the 7 th of October 2013. All members with fixed income derivatives instrument that not before that date have migrated to CFM will automatically be migrated to the CFM model. NASDAQ OMX will after 7 th of October 2013 not use the OMSII risk model for valuation for the fixed income derivatives instruments.
Background Cash Flow Margin model
During 2010 NASDAQ OMX launched clearing of SEK Repo and IRS products. To support these services a new risk valuation model (Cash Flow Margin – CFM) was introduced and is now supporting all fixed income derivative products. CFM is a yield curve based risk model that captures the natural correlation between different instruments along the same yield curve. Until 7 th of October will it be optional to migrate to CFM for members clearing fixed income derivatives instruments. 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.
Member consultation artifacts
Please see http://nordic.nasdaqomxtrader.com/memberextra...nium_inet/ under “Connectivity and Protocols” menu, CFM section.
For technical questions, please contact technicalsupport@nasdaqomx.com , for project related information or business questions; please contact Henrik Jerberyd.
Henrik Jerberyd
+46 8 405 6511
Genium INET Fixed Income
Best regards,
Nasdaq OMX Nordic