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Collateral Management

Overview of the Collateral Management Service

The Collateral Management Service (CMS) is the service managing collateral for clearing on Nasdaq Financial and Commodities derivatives markets. The service manages both cash and non-cash collateral for covering margin requirements as well as cash transactions for daily cash settlement (premiums, fees, variation margin (mark-to-market)). The collateral flows are managed in an advanced collateral optimization process taking into account both cash and non-cash collateral to optimize each participant’s use of collateral and to minimize the number of cash transactions to and from the service. 

Participants hold specific custody accounts for use with the service and all custody accounts in the service can hold both cash and non-cash collateral integrated on the same account. 

In addition, participants must hold a bank account within an approved settlement bank in each applicable currency for managing cash transfers to and from the service. To enable efficient cash transactions the service has an integrated payment system that with the use of direct debit instructions enable automatic cash transfers. Automatic cash transfers are, together with the use of the cash optimization feature, used to fully automate the flow of cash collateral to and from the collateral management service. 

To control the flow of collateral, participants can also instruct collateral transactions outside the automated flow. Posting of supplementary cash collateral to a custody account is achieved by depositing cash to a Nasdaq Clearing collateral bank account in one of the settlement banks approved for the service. Bank accounts for this purpose are available for each of the eligible cash collateral currencies. Posting securities to a custody account is done through one of the CSDs/ICSDs connected to the collateral management service. Participants do not need to be a direct member of a CSD or ICSD, but can use a settlement agent for executing securities transactions. 

Collateral posted to Nasdaq can be segregated by 

  • House
  • Client
  • or on a client-by-client basis,

based on the participant’s account setup.

The process of valuation and evaluation of collateral is fully automated and is done per segregation category (e.g. for house, client and individual clients respectively). Posted collateral is valued daily using market prices taking into account applicable haircuts and pending transactions, and is then evaluated to make sure the collateral value is sufficient to cover the participant’s margin requirement(s). In the case of a deficit a direct debit transaction is executed to cover the shortage and in the case of a surplus a credit instruction is automatically executed (subject to settings on each account).

Margin requirements, daily cash settlement information as well as information on cash optimization transactions are retrieved through Genium INET Clearing Workstation 1 and 2, over the OMnet API, or via CMS Web. Settlement instructions for posting and withdrawing cash and securities are done via SWIFT Net, over MQ or through the CMS Web application.


Cash Optimization Service Procedures

The Cash Optimization Service is a payment netting arrangement whereby amounts in a Permitted Currency across all Clearing Accounts or Integrated Trading and Clearing Accounts held by a Clearing Member or Direct Pledging Customer or an Account Holder are netted for operational efficiency. These Procedures set out certain operational aspects of that Cash Optimization Service. The Procedures should be read in conjunction with the above mentioned rules, as applicable. 

Cash Optimization Service Procedures


Collateral Management - Cash Optimization - Daily cycle


Standing Settlement Instruction (SSI) - Collateral

Clearing members wishing to settle their securities contributions on T+0 must have placed complete settlement instruction on the respective CSD/ICSD at least two (2) hours prior to last settlement batch.

CSDParticipant IDBIC-codeAccount Number
Clearstream18531OMECSESSNOCN/A
Euroclear Bank43060OMECSESSNOCN/A
Euroclear SwedenOMSOMECSESSNOC150565291
VP Denmark13092OMECSESSNOCN/A
VPS Norway20110OMECSESSNOCN/A
BNY Mellon
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
EUR
LORO
8033889659*
IRVTUS3N
GBPLORO
8033889675*IRVTUS3N
USDLORO
8901190365*IRVTUS3N
Danske Bank
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
LORO
SE31 1200 0000 0124 6010 4529*
DABASESX
SEKCORP
SE91 1200 0000 0124 1012 5557DABASESX
EURLORO
FI81 8169 9710 0043 35*DABAFIHH
EUR
CORP
FI63 8161 9710 0026 26    
DABAFIHH
DKK
LORO
DK54 3000 3996 0878 40*
DABADKKK
DKK
CORP
DK11 3000 4183 1094 64
DABADKKK
NOK
LORO
NO37 8601 4442 369*
DABANO22
NOK
CORP
NO55 8601 4446 798
DABANO22
GBP
LORO
GB48DABA 9506 8590 0008 68*
DABAGB2L
DNB
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
CORP
91951544023**
DNBASESX
NOKLORO
15033249680**DNBANOKK
USDCORP
28016003**DNBAUS33

Handelsbanken
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
CORP
SE70 6000 0000 0007 1022 7558
HANDSESS
Nordea
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
CORP
SE08 9500 0099 6042 0657 8983
NDEASESS
EURCORP
FI14 1804 3000 0086 49NDEAFIHH
EURLORO
20006701048764*NDEAFIHH
DKK
CORP
DK83 2000 0745 4656 25
NDEADKKK
NOK

60050617184
NDEANOKK
SEB
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
LORO
SE18 5000 0000 0555 5850 4285*
ESSESESS
EURLORO
FI39 3301 0010 2023 98*ESSEFIHX
EURCORP
NO97 5004 577 60ESSENOKX
DKKLORO
DK48 5295 0017 0039 68*ESSEDKKK
NOK
LORO
NO72 9750 0203 203*
ESSENOKX
Swedbank
Currency
Ledger typeAccount numberBeneficiary Bank BIC-code
SEK
LORO
IBAN: SE36 8000 0890 1100 0001 0207***
BBAN: 8901100010207****
SWEDSESS
EURLORO
IBAN: SE89 8000 0890 1100 0003 0205***
BBAN: 30205****
SWEDSESS

*Please state BIC-code OMECSESSNOC as the beneficiary BIC if needed when paying to a LORO account

**Detailed information for payments to accounts in DNB:
SEK: Payment details: /ROC/7XXXXXX/
USD: Intermediary bank: IRVTUS3N; Beneficiary Bank: DNBAUS33; Beneficiary: Nasdaq Clearing AB, Payment details: /ROC/7XXXXXX/

***Detailed Information for payments to accounts in Swedbank:
Use IBAN format for MT103 and BIC-code OMECSESSNOC
- Customer payment from other bank via SWIFT
- Internet transfers form Swedbank internet bank
****Use BBAN format for MT202 e.g. bank transfers and BIC-code OMECSESSNOC


Post Securities as Collateral

You may choose to cover your Margin Requirement with Securities. Prerequisites are that you either have direct access to your depository in the actual (I)CSD, or use a Custody Bank and in order to post securities as collateral you need to provide your SSI-details to Nasdaq.

When the SSI is in place, you process the deposit through the CMS WEB-portal. The instruction in CMS WEB creates Nasdaq’s receiving instruction (Free Of Payment) to the actual (I)CSD, and you, or your Custody Bank must then send a matching instruction to the (I)CSD in order to have the deposit settled. When the securities are on Nasdaq’s depository a securities deposit message will be sent to the Clearing system which increases your collateral value connected to the custody (Margin) account in question. 

The instruction and its status can be monitored in the CMS WEB-portal which also displays the collateral value after the deposit is settled. The portal also includes the list of securities eligible to post as collateral. 

A Call back of securities works in the same way as a deposit. The instruction is registered in the CMS WEB-portal, the request for call back is sent to the Clearing system and is evaluated at 11:00 CET. If your collateral surplus allows, Nasdaq will send a delivery instruction (Free Of Payment) to the (I)CSD which you or your Custody Bank must meet with your own receiving instruction in order to have it matched and settled on your own depository.


Eligible Collateral

The eligible collateral list is found in the Rules of the respective market and on the CMS Web. For the Financial Markets the collateral list can be found under the appendices section (Appendix 14) of the Clearing Rules of Nasdaq Derivatives Markets

The eligible collateral list for Nasdaq Commodities can be found in Appendix 10 of the General Terms of the Clearing Rules of Nasdaq Commodities

The list of eligible collateral is continuously monitored and changed if deemed necessary. If a security type accepted as collateral is deemed riskier than acceptable, the collateral will be removed from the list. If a security type meets the criteria of having low market and credit risk, sufficient liquidity and daily prices, the security type can be added to the list of eligible collateral. Any such changes will be communicated via exchange notices well in advance.


Interest on Cash Collateral

Margin requirements may be fulfilled using approved securities or cash in the eligible currencies. Interest on cash contributions is calculated using the Nasdaq Deposit Rate (NDR). Current interest rates can be found on the CMS Web. Interest will accrue daily and be capitalized on a monthly basis. After capitalization the capitalized interest will be paid to the participant’s bank account according to the settlement instruction supplied by the participant.


CMS Web Tool

Through the CMS Web application, a user can access custody-related information including complete management of collateral. The CMS Web application will also hold margin requirements and collateral evaluation information from the clearing system. More information about the CMS Web tool can be found under the clearing Technology section.


Settlement, Expiration & Delivery

Expiration procedures for derivatives contracts

As a result of counterparty obligations, Nasdaq Clearing carries out all cash settlements, expiration procedures and deliveries that arise from contractual responsibilities. As a central counterparty, Nasdaq Clearing guarantees settlement of all deliveries, independently of the counterparty’s delivery or payment ability. 

Nasdaq Clearing clears a multitude of contract types over several different markets - spanning from equity and bonds to freight and emissions - and the expiration and delivery process for specific contracts is outlined in the contract specifications for each product: 

The expiration dates for products cleared with Nasdaq are viewable in the Nasdaq Trading Calendars for each product area.

Upon expiration day for any contract, Nasdaq Clearing will in most cases send out operational messages with information regarding final fixing, series that are in-the-money or other relevant information.

Market Notices
Sign up to receive operational messages with expiration information from Nasdaq Derivatives Market and Nasdaq Commodities.

Delivery Process

As specified in the contract descriptions for each product, some of the equity and commodities contract exercises result in a delivery of the underlying physical asset. For example, stock options will settle through a delivery versus payment (DVP) instruction in a central security depository (CSD) in relevant country, and electricity certificate contracts are delivered through its registry.

Nasdaq Delivery SSIs for Physical Settlement

Market
Place of Settlement
BIC
Account
Swedish Equities (AM)Euroclear SwedenOMECSESSNOC41873408
Swedish Bonds (PM)Euroclear SwedenOMECSESSNOC143500635
Swedish Bonds (PM) IMM tradesEuroclear SwedenOMECSESSNOC46342559
Danish Equities and BondsVP DenmarkOMECSESSNOC13092130380001
Finnish EquitiesEuroclear FinlandOMECSESSNOC323000182
Norwegian EquitiesVPS NorwayOMECSESSNOC201100000029
Electricity CertificatesCESARn/a643002406700077095
EUA and CERUnion Registry Norwayn/aEU-100-5016825-0-9

Physical Delivery of Swedish Stocks
All deliveries are made through the Nasdaq Clearing account in the Swedish CSD, Euroclear Sweden AB, on the second business day after expiration or exercise. Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.

Physical Delivery of Swedish Bonds
Fixed income deliveries take place in the Swedish CSD, Euroclear Sweden B, and goes through the Nasdaq Clearing account on the IMM-day (International Money Market day). On the expiration day for fixed income instruments, the clearing organization provides the clearing member with a settlement basis that is to be delivered in one or several instruments included in a contract base. When possible, the settlement of fixed income products is netted to blocks no larger than SEK 500 million in nominal value.
Settlement of most fixed income forwards takes place through cash settlement of the difference between the forward price and the fix value, respective to delivery of underlying securities to the fix value through Euroclear Sweden AB.

Physical Delivery of Danish Stocks
The delivery of Danish stocks after expiration and exercise is carried out through the Danish CSD, VP, where Nasdaq is a member. For Danish stocks, all deliveries are carried out via the clearing organization’s account with VP on the second business day after expiration or exercise. Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.

Physical Delivery of Danish Bonds
The delivery of Danish bonds after expiration and exercise is carried out through the Danish CSD, VP, where Nasdaq Derivatives Markets is a member. For Danish bonds all deliveries are carried out via the clearing organization’s account with VP on the second business day after expiration or exercise. Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.

Physical Delivery of Norwegian Stocks
The delivery of Norwegian stocks after expiration and exerciseare are executed in the Norwegian CSD, VPS, where Nasdaq is a member. For Norwegian stocks, all deliveries are carried out via the clearing organization’s account with VPS on the second business day after expiration or exercise. Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.


Physical Delivery of Finnish Stocks

The delivery of Finnish stocks is carried out through Euroclear Finland Oy, the Finnish settlement system, HEX Clear. All deliveries in HEX Clear are settled against Nasdaq Clearing and all stocks flow through the clearing organization’s book-entry account on the second business day after expiration or exercise. Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.


Cash Settlement Process

Nasdaq Clearing provides members with a payment note for the payments to be made or received one business day prior to each settlement day. The cash settlement basis includes a calculation of all cash settlements as premiums, fees, mark-to-market and other cash settlements with the same settlement day, together to a net amount to be paid or received per clearing member and settlement bank. 

All members must appoint an Approved Settlement Bank, and sign a Power of Attorney in order to fulfil its obligations regarding payments (Direct Debit & Credit) which are not related to deliveries in accordance with the relevant contract specification. 

  • The Clearing Member must no later than 09.00 a.m. CET on the Settlement Day ensure that it has the necessary balance on its account designated for Direct Debit.
  • If a Clearing Member is to receive cash settlement, Nasdaq Clearing sends payment instruction to the approved settlement bank at 12:30 p.m. CET (16:30 CET for USD) who performs the Credit.
  • Clearing Members who are also approved Settlement Banks, must no later than 10.00 a.m. CET on the Settlement Day ensure that it has the necessary balance on its account designated for Direct Debit.
Two-Factor Authentication log in to the CMS Web
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Market Notices from Nasdaq Derivatives Market

Market Notices from Nasdaq Commodities

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