NOS members will after the merger be part of the existing NASDAQ OMX default fund setup. NOS members clearing freight, iron ore, fuel oil and el-certificates will be contributing to the NASDAQ OMX Commodity Fund while NOS members clearing Seafood will contribute to a separate fund for Seafood.
The current NOS’ default fund has a flat rate contribution of USD 150,000 per member in the Freight Market and NOK 150,000 per member in the Seafood market. The new default fund will have a minimum contribution per member per market. The minimum contribution for the Commodity Fund covering freight, iron ore, fuel and e-certificates is set to EUR 120,000. The minimum contribution for the Seafood Market is set to EUR 30,000. The member’s default fund contribution(s) is reviewed quarterly.
The members’ new default fund contribution will be proportional to the members’ exposure in the market(s) where they are active. The minimum default fund contribution has to be posted by all members at any time on the Default Custody Account(s).
The default fund contribution can be covered by cash and/or securities. NASDAQ OMX will in early November estimate each clearing member’s contribution to the default fund(s) and the required amount will have to be covered by the member at least 10 days prior to the migration day on the collateral account with NOS as Mutual Base (existing Mutual Base requirement will change accordingly and reflected in the clearing reports). The contribution will be migrated to the Default Fund Custody Account with NASDAQ OMX at migration day.
NASDAQ OMX provides the possibility to view and administrate their Default Fund contributions through the CMS Web tool (for further information please see the Collateral section).
Below is the proposed default fund structure (waterfall) after migration, from bottom to top:
The size of the resources indicated above may be subject to change. NASDAQ OMX retains the right to adjust and refine its capital model. The size of the resources is also affected by the market dynamics and the exposures the CCP has in respect of its counterparties.
For a detailed description on the current Default Fund, please find more information here.