nasdaq dubai operating procedures clearing and risk management
Contents
1. If the trade that is given up has an auto match out then the system will unwind the auto match out to the extent the positions got matched out for that trade In exceptional circumstances where the member participants cannot perform the activity on account of being unable to access the system NASDAQ Dubai clearing team will perform the activity on behalf of the member The member participant needs to forward the duly filled Unwinding form to the clearing team in such cases 3 9 Manual allocation Clearing Member can transfer trades from their House account to Client accounts and vice versa subject to following conditions The trade must have been executed on the current trading day or the previous trading day a The trade can be allocated only from Client or House Account and not from market maker account b The trade must not concern a series or contract that has expired futures and options 3 10 Clearing Operations Activity Pictorial Representation Individual futures and option transactions received from 50 10 the trading system Ve 60 12 Derivatives operating procedures for clearing members Ver 1 6 Page 8 of 29 LSUJ Js NASDAQ DUBAI Trade Enrichment The clearing amp settlement system maintains a mapping between the Trading Member TM and its corresponding Clearing Member CM who is responsible for clearing the transactions The system identifies the CM for every trade and enriches2. The NASDAQ Dubai clearing house becomes the central counterparty CCP to all transactions executed on the NASDAQ Dubai trading system All transactions accepted for clearing and settlement are novated In other words NASDAQ Dubai becomes the buyer to every seller and the seller to every buyer Derivatives operating procedures for clearing members Ver 1 6 Page 6 of 29 LSUJ Ls NASDAQ DUBAI 35 Trade Cancellation Member participants cannot cancel transactions themselves However in the case of a material error by a member which is notified to NASDAQ Dubai within the specified time of the transaction being executed NASDAQ Dubai may but shall not be obliged to cancel all transactions affected as a consequence of such error for a specified time interval NASDAQ Dubai may also cancel any and all transactions which in its reasonable judgement do not comply with a Rule or applicable law or regulation 3 6 Give up take up transactions All On Exchange transactions entered by members will be taken for post trade activities by its assigned Clearing Member In cases where the trade is to be cleared by a Member other than the assigned Clearing Member transactions can be given up to the target Clearing Member In such a scenario the original assigned Clearing Member is referred to as the give up member and the new Clearing Member will be referred as the take up member Give ups and take ups of trade can be performed by
3. This account will be used for all cash movements including fees payable The following account structure would apply for the different types of cash obligations 1 Margins Section 4 SPAN margins Initial margin and additional margins calculated for each Members House and Market maker positions would be clubbed into one cash account while those generated for client positions would be posted to a separate account An example of position keeping and margining for House Client and Market Maker accounts can be seen in Appendix A 2 Cash Transactions Section 5 1 Options premium futures mark to market give up amp take commissions cash settlements on expiration trading and clearing fees payable to NASDAQ Dubai and any other payables calculated for each Member s House and Market Maker positions would be clubbed into one account for each Member while those generated for client positions would be posted to a separate account Clearing member will have to open a USD settlement bank account with any of the banks approved by NASDAQ Dubai Currently NASDAQ Dubai has designated 3 banks as settlement banks Standard Chartered Bank Doubles up as NASDAQ Dubai s Clearing Bank HSBC Bank Middle East ADCB Bank 3 3 Transactions eligible for clearing All transactions in futures and options instruments executed on NASDAQ Dubai trading system are automatically subject to Central Counter Party CCP clearing 3 4 NASDAQ Dubai as a CCP
4. All these factors have an impact on the value of the portfolio Through these scenarios and using positions of the portfolio SPAN determines the maximum loss sustained by this portfolio from one market day to the next This is the Scanning Risk SPAN considers a total of 16 risk scenarios by using a scanning range or fluctuation range of the underlying instrument price and a volatility range defined for each Combined Commodity Inter month Spread charge Calendar Spread When SPAN scan the futures prices it assumes that prices of different contract months move by the same amount For a client holding long September XYZ futures and short December XYZ futures SPAN will consider the loss from the long position to be completely offset by the gain from the short position for this client To cover the price risk among different contract months SPAN adds an Intermonth Spread Charge to the margin requirement SPAN uses deltas to compute the Intermonth Spread Charge Deltas measure how a futures contracts or an option s value reacts to underlying price change Futures deltas are 1 0 while option deltas range from 1 0 to 1 0 SPAN finds the net delta in each contract month and then adds up the net delta in all net long months and all net short months SPAN forms spread between delta in long months and delta in short months until it exhausts either long or short delta SPAN then charges the spread rate for each spread and adds this Intermonth Spread C
5. 31 500 31 500 1 00 0 0 15 000 15 000 15 000 15 000 30 000 30 000 30 000 30 000 45 000 45 000 45 000 45 000 31 500 31 500 1 00 Page 26 of 29 LSUJ EJIL NASDAQ DUBAI Short 2 Sep 17400 XYZ Calls Value Loss Futures unchanged Volatility up Futures unchanged Volatility down Futures up 1 3 range Volatility up Futures up 1 3 range Volatility down Futures down 1 3 range Volatility up Futures down 1 3 range Volatility down Futures up 2 3 range Volatility up Futures up 2 3 range Volatility down Futures down 2 3 range Volatility up Futures down 2 3 range Volatility down Futures up 3 3 range Volatility up Futures up 3 3 range Volatility down Futures down 3 3 range Volatility up Futures down 3 3 range Volatility down Futures up extremely 3x range cover 30 of loss Futures down extremely 3x range cover 30 of loss Delta Derivatives operating procedures for clearing members Ver 1 6 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 2 X 297 717 8 263 7 755 5 297 6 420 17 586 17 435 8 215 8 870 27 424 27 396 9 247 9 441 20 088 3 327 0 64 594 1 434 16 526 15 510 10 594 12 840 35 172 34 870 16 430 17 740 54 848 54 792 18 494 18 882 40 176 6 654 1 28 Page 27 of 29 LSU ls NASDAO DUBAI Long 1 Dec Short 2 Sep XYZ 17400 XYZ Vang Tasa Futures Calls Futures unchanged Volatil
6. NASDAQ Dubai ftp folders website httos reports nasdaqdubai com 8443 5 OPERATING PROCEDURES FOR SETTLEMENT OPERATIONS 5 1 Introduction to the settlement model All derivatives contracts on NASDAQ Dubai are currently cash settled Daily cash obligations calculated for derivatives positions include options premium futures mark to market give up amp take commissions cash settlements on expiration trading and clearing fees payable to NASDAQ Dubai and any other payables 5 1 1 Variation Margin Settlement Mark to Market settlement is designed to reflect the accrued unrealized profits or losses on the unsettled traded positions A comparison will be made with each Business Day s price at closing used for margining In general the Variation Margin i e the mark to market settlement value will be calculated on the Business Day as the difference between the relevant transaction prices and the daily settlement price i e the price at closing used for margining for that Business Day The Variation Margin will be calculated for all unsettled traded positions where profits and losses will be netted NASDAQ Dubai will calculate Variation Margin or any other payment or receipt of obligation for Admitted Derivative Contracts like option premium fees etc on daily basis at end of Business Day generally by 16 00 A Clearing Member shall ensure that these are daily settled at 11 30 next day unless the day in question is a Currency Settlement Hol
7. The document intends to provide the operations team at the clearing member a clear understanding of all the Derivatives post trades activities at NASDAQ Dubai The document also intends to provide information about the risk computation methodology and the clearing structure at NASDAQ Dubai Any reference to time in this notice is reference to Dubai times unless otherwise stated In this notice the terms USD or US dollars are used for the local currency of United States of America and AED or UAE dirham is used for the local currency of United Arab Emirates Scope The document intends to cover post trade operational activities relating to clearing risk management and settlement including their timelines Additional Documentation In addition to this document clearing members are required to read the following NASDAQ Dubai Business rules NASDAQ Dubai Bancs user manual For derivatives NASDAQ Dubai Derivatives market model All information in the form of CAP notices and circulars from time to time which are posted on the website All updated information on the NASDAQ Dubai website www nasdaqdubai com NASDAQ Dubai assistance Following NASDAQ Dubai teams will be available for your assistance Please feel free to get in touch with any of us 1 Clearing amp Risk Unmesh Kantak 971 4 305 5471 unmesh kantak nasdaqdubai com Abilash Kokkath 971 4 305 5473 abilash kokkath nasdaqdubai com 2 CSD Tahir H
8. clearing members subject to following restrictions a Trades can only be given up from the Client account b Trades can be taken up in the Client account and in House accounts c Give ups and take ups may only be performed for transactions executed on the same trading day current give up or the previous trading day historical give up All give up and take up transactions require that respective target Clearing Members accept them Acceptance must take place on the same day as the transaction took place If a give up trade is not accepted by the end of specified time limit the trade remains in the Client account of the original clearing member Deleted or rejected give up trades also remain in the Client account of the Clearing Member All changes to positions on account of give up transactions will be effected on a real time basis i e even if the change in positions is on account of past dated trades the positions will not be effected as of the trade date In exceptional circumstances where the member participants cannot perform the activity on account of not being able to access the clearing system NASDAQ Dubai clearing team will perform the activity on behalf of the member The member participant needs to forward the duly filled Give Up Take up form to the NASDAQ Dubai clearing team 3 7 Match outs Match outs at NASDAQ Dubai can be of 2 types Auto and Manual Auto match outs are match out instructions which are executed on t
9. have a relationship with a General Clearing Member GCM for clearing and settling of transactions executed by them as well as on behalf of their clients GCM TM relationship Important operational guidelines governing the GCM TM relationship are summarised below The GCM needs to enter into a separate agreement with each TM it will clear and settle transactions GCM needs to maintain adequate systems and controls to manage the risk arising out of positions taken by the TMs it clears for Derivatives operating procedures for clearing members Ver 1 6 Page 5 of 29 LSUJ Ls NASDAQ DUBAI GCM TM relationship for derivatives segment A Trading Member can have separate clearing members for different market segments This means that a trading member can have separate clearing members in the equity and derivatives markets However a Trading Member cannot have more than 1 clearing member in each segment 3 2 Accounts In order to meet its cash and securities obligations the clearing member needs to open various accounts referred as clearing accounts The member participant has to open separate clearing accounts for its house client and market maker positions An ICM needs to open atleast one client account for all its underlying clients However a General Clearing Member GCM can open multiple clearing accounts for its trading members Additionally the NASDAQ Dubai Clearing House will open a separate clearing account for cash movements
10. if applicable a Margin call it will be expressed as positive number that is payable by a Clearing Member NASDAQ Dubai will normally not make a Margin call for an amount less than or equal to US Dollars 1000 for US Dollar denominated position All margin calls will be expressed in the currency in which the contracts are denominated However under exceptional circumstances or if the situation so warrants NASDAQ Dubai may call for margins in the currency that is available on that particular day e g on Sundays NASDAQ Dubai may call for margins in UAE dirham after converting US dollars margin requirement into UAE dirham or on Fridays NASDAQ Dubai may call for margins in US dollars after converting UAE dirham margin requirements into US dollars Derivatives operating procedures for clearing members Ver 1 6 Page 11 of 29 LSUJ Ls NASDAQ DUBAI 4 4 Margin timelines A Clearing Member must ensure that it monitors its requirement to provide Margin and that it complies with all Margin calls in a timely fashion In connection with a Margin call NASDAQ Dubai will notify the Clearing Bank and clearing members of the Margin call in question at end of business day generally from 16 00 A Clearing Member shall ensure that all Margin payments other than Intra day Margin payments which may be subject to different time requirements are made on the next business day no later than 11 30 hours unless the day in question is a Currency Settlement Holida
11. such cash Margin less the spread Provided that no interest shall be paid on cash Margin which is less than USD 1 000 000 for cash margin held in USD and AED 1 000 000 for cash margins held in AED NASDAQ Dubai will specify the minimum cash margin amount eligible for interest and the spreads in the Margin Notice from time to time H Cash Margin held by NASDAQ Dubai is more than USD 1 000 000 or AED 1 000 000 NASDAQ Dubai will pay interest to Clearing Member only on amount in excess of USD 1 000 000 for USD cash and AED 1 000 000 for AED cash Cash Margin Amount in USD Spread Between USD 1 000 000 and USD 9 999 999 0 50 USD 10 000 000 or more 0 25 on the amount exceeding USD 9 999 999 Derivatives operating procedures for clearing members Ver 1 6 Page 13 of 29 LSUJ Js NASDAO DUBAI Cash Margin Amount in AED Spread Between AED 1 000 000 and AED 24 999 999 0 50 AED 25 000 000 or more 0 25 on the amount exceeding AED 24 999 999 4 12 Daily Settlement Prices 4 12 1 Daily settlement price for Single Stock Future and Index futures NASDAQ Dubai determines the daily settlement price at its sole discretion after giving consideration to the prevailing market conditions of the respective contract and the risk assessment When determining the daily settlement price following guidelines shall apply a Last traded price in that instrument b Mid points of bid ask available before market close c Price information provided
12. Expiry will take place on the 3 Thursday of the expiration month If the 3 Thursday happens to be non business day the previous business day will be taken as the expiry date On the expiration day all in the money options will be automatically exercised unless the holder of the option abandons The term in the money herein means that even if the contract is in the money by the least minimum tick the option will be exercised The member participant does not have the choice of specifying the factor in terms of value or percentage by which the options can be exercised Those options which are exactly at the money i e the closing price of the underlying assets is exactly the same as the strike price will also be exercised a Automatic Exercise In cases where the member s option position has gone to expiration the member is not required to input any instructions The NASDAQ Dubai clearing system computes the value of the positions and if the positions are deemed to be In the Money the positions are automatically exercised b Voluntary Manual Exericse In cases where the instrument has final exercise as Voluntary the member participants are required to input instructions in the clearing system Based on the instructions received availability of positions and other data the clearing system computes the value of the positions and the same are exercised Early Exercise Member participants having a long position in an options i
13. Futures down 3 3 range Volatility up 14 Futures down 3 3 range Volatility down 15 Futures up extremely 8x range cover 32 of loss 16 Futures down extremely 3x range cover 32 of loss u i The risk array represents how a specific derivative instrument will gain or lose value from the current point in time to a specific point in time in the near future over a specific set of market conditions which may occur over this time duration also called the look ahead time The look ahead time is typically set to one trading day because in SPAN we are trying to evaluate the maximum likely loss which may reasonably occur over one trading day The specific set of market conditions evaluated are called the risk scenarios are defined in terms of a how much the price of the underlying instrument is expected to change over the look ahead time and b how much the volatility of that underlying price is expected to change over the look ahead time The results of the calculation for each risk scenario the amount by which the specific derivative instrument will gain or lose value over the look ahead time under that risk scenario is called the risk array value for that scenario The set of risk array values for that contract derivative instrument under the full set of risk scenarios constitutes the risk array Derivatives operating procedures for clearing members Ver 1 6 Page 22 of 29 LSUJ Ls NASDAQ DUBAI By convention risk array v
14. a Pee NASDAQ DUBAI NASDAQ DUBAI OPERATING PROCEDURES CLEARING AND RISK MANAGEMENT FOR DERIVATIVES MARKET March 2013 Ver1 6 LSUJ Js NASDAO DUBAI CONTENTS 1 INTRODUGCTION 22 22z 4 240002 2220000 sans Sandmann ann anna nn nn nnd eusuedecudesuterddetagsndeesudecssettde sarstbecteenee 3 2 CLEARING SYSTEM 42 022220 40200000 Banana anna sah nam ann an uaaa ataa iaaa Ea anarian Aa aerieni daana arinaa 5 3 OPERATING PROCEDURES FOR CLEARING OPERATIONS uuuzzsusnunnnnnannnnnnnnunnnnnnnnnnnnannunnnnnnnnnnnnnnnnnnannnnnn 5 3 1 Types of Clearing Memberehip nassen nnnnnnen 5 32 ee CN 6 23 Transactions eligible for clearing cccceecceeeeeeeeeeeeeeeeeeeteeeaeeeeeeaaeeeeeeaaeeeseeaaeeessaaeeeseeaaeeeeeeneneeseeneneeees 6 3 4 NASDAQ Dubalasa CEP n nn a einen aaa a en EEN 6 35 Trade Cancelation sninen innean aaa aan naeh han ee 7 3 6 Give up take up transactions eseseseeeeeeese resene se tnst ts sttsstetstessttnttenstensttnsttnttnnntnnattnnttnnennnnn nenn neen nsen nenn 7 3 7 Maleh OUtS nenea TA ae en AAEE nen ana 7 3 8 Unwinding of matoh e CEET 8 3 9 Manual allocator essas ain ASAREE AET A eee SE 8 3 10 Clearing ae ET nei en eek 8 3 11 Market Calendar Clearing and settlement nn 10 3 12 Trading Member Clearing Member association nn 10 4 MARGIN REQUIREMENTS uesuunssansnannnnnnnnunnnnnnnnnnnnannnnnnnnnnnnnnnnnnnnnannnnnannnnnnnnnannnnnannnnnnnnnnnnnnnannnnnnnnnnnnnnnannennnnnn 10 4 1 Initi
15. al Margin SPAN margin 10 4 2 Adaitional e EE 11 4 3 Margin KEE 11 AA Margmn Bt TEE 12 4 5 mira Day Magi EE 12 4 6 Eligible Margi WEE 12 4 7 Concentration Limits on Eligible Margin ccceccceeseeceeeeeceeeeeeeaeeeeaeeeeeeeeceaeeesaaeseeaeeseeeeeseaeestaeeseneeseaes 12 4 8 Valuation of Eligible Margin ssassn a saaa AS E nr 13 4 9 Collateral SUBMISSION unse nee nen reine Se deet 13 4 10 Madin EE 13 4 11 Interest on Cash Margin 2 2u nee need 13 4 12 Daily Settlement Prices ee eier 14 4 13 Final Settlement Pficesa u n uen sense nennen 14 5 OPERATING PROCEDURES FOR SETTLEMENT OPERATIONS ursunssnannnnaonnnnnnnnnnnnnnnannunnnnnnnnnnnnannennannnn 15 5 1 Introduction to the settlement model AA 15 5 1 1 Variation Margin Settlement AA 15 512 Final Cash Settlement sisarien EEN Ed EES EES 16 5 2 EXETCISE nern nee anne tibiaeett ited seeds E Henn Ban Altec tien ed ide tie ieee deed ie 16 5 3 Assignment e tee EE 17 5 4 NEIE 17 5 5 User Defined Contracts arnein ee nie 17 5 6 Block Amounts for options Contrat 17 6 SWIFT MESSAGES u 24uu 253420u00 000000002240 aasian aeni SEENEN ge nn nun uecweccdscuncestueewecctiesiieseeeesectiesite Eege 18 VER 3 121 2 6 2 4 ES 6 eege 18 Bi APPENDIX eege Een 20 DO APPENDIDOIB ee Een 21 MO APPENDIX eege EE 29 Derivatives operating procedures for clearing members Ver 1 6 Page 2 of 29 LSUJ Ls NASDAQ DUBAI 1 INTRODUCTION Purpose of the Document
16. alues are calculated for a single long position Long here means long the instrument not long the market buying a put and buying a call both yield long positions for the purposes of SPAN Also by convention since SPAN is more interested in potential losses than potential gains losses are represented as positive values and gains as negative values Risk array values are typically represented in the performance bond currency in which the specific contract is denominated Since its inception SPAN has used a standardized definition of the risk scenarios defined as indicated above in terms of the underlying price scan range and the underlying price volatility scan range These two values are often simply referred to as the price scan range and the volatility scan range There are 16 risk scenarios in the standard definition Here s an example of a typical options risk array Scanning ranges SPAN starts at the current underlying market settlement price and scans up and down three even intervals of price changes At each underlying market price the program also scans up and down a range from the underlying market s current volatility NASDAQ Dubai determine the magnitude of these scan ranges for each underlying instrument The scenarios used by SPAN consider the following Possible variation of underlying price Price scanning range Possible variation of underlying volatility Volatility scanning rang Impact of time on option price
17. ber who wishes to clear for a TM contacts NASDAQ Dubai Clearing Operations with a written request NASDAQ Dubai performs various verification checks on the request and then decides whether to process the allocation or not 4 MARGIN REQUIREMENTS Business Rules Rule 6 2 11 2 6 2 13 3 and 6 2 17 1 In order to manage the risk that the clearing house assumes as the central counterparty to all obligations NASDAQ Dubai will be using a concept based on collateralized obligations where the margin will be collected to manage the replacement risk The Margin Rate for each Admitted Derivative Contract will be published in a separate notice so called from time to time upon admission of such Admitted Financial Instrument for trading on the NASDAQ Dubai and thereafter when changed The applicable Margin Rates and margin parameters for all Admitted Financial Instruments are listed in the Margin Parameter Circular The types of collateral that is accepted to meet margin calls are listed in the Eligible Margin Notice 4 1 Initial Margin SPAN margin As a general statement it should be noted that Initial Margin is designed to reflect the market risk of a Clearing Member s Net Open Positions The objective is to set a Margin Rate which will provide NASDAQ Dubai with 99 confidence that the Margin provided will be sufficient to cover the loss In arriving at a Margin Rate NASDAQ Dubai will normally take into consideration historical price information in
18. by Market Makers and active Trading Members in the Derivative contract NASDAQ Dubai will poll each obligated Market Maker plus the top 5 trading members by volume based on activity in the current and previous expiration month d However if price so determined does not reflect the actual market conditions NASDAQ Dubai may re determine the daily settlement price at its sole discretion and may use theoretical fair value for the same The daily settlement prices are issued by 15 00 hours As an exception to the rule NASDAQ Dubai will not change the prices on Sundays and will use the same price of Thursday 4 13 Final Settlement Prices 4 13 1 Final settlement price for Single Stock Future NASDAQ Dubai determines the final settlement price on expiration day at its sole discretion after giving consideration to the prevailing market conditions of the respective contract and the risk assessment When determining the final settlement price following guidelines shall apply a The settlement price as determined using the standard daily methodology on the expiration date b Prices used by FTSE in the calculation of the FTSE NASDAQ Dubai UAE 20 Index Series section 9 0 of the Ground Rules for the Management of the FTSE NASDAQ Dubai Index Series states The FTSE NASDAQ Dubai Index Series will use actual closing mid market or last trade prices where available for securities with local borse quotations c Prices provided by Market Part
19. by the member participants All valid exercise quantities will be picked up for the assignment process in order of time of placing the requests All clearing members with short positions will then be assigned a number on a random basis Based on the random number every short position will be assigned to a long position until any of it is exhausted In this process all members with short positions have equal chance of getting assigned If the contract is physically settled then the obligation are merged with the obligations in the equity market and the assignment date will be considered as Trade Date and will follow normal settlement cycle and fails management 5 4 Delivery Notification Member participants who have short positions and have been assigned will be notified about the fact that they have been assigned and what quantity has been assigned The member participants will be notified in the form of end of day reports and in the clearing systems The member participants are required to honour the obligations from the option exercise transaction 5 5 User Defined Contracts NASDAQ Dubai has introduced user defined options contracts This is to enable member firms to request and report non standardised contracts Currently the facility is restricted only to stocks on which contracts are available in the derivatives segment i e a Any eligible security listed on and approved by NASDAQ Dubai b Any regional security approved by NASDAQ Dubai an
20. d c Any index covering regional markets approved by NASDAQ Dubai Member participants wishing to report such transactions need to forward the trade form and series creation form duly filled or provide details to NASDAQ Dubai NASDAQ Dubai will then create the series in its clearing systems and subsequently print the trade on the next business day However the members will have to honour margin requirements on such contracts as per the timelines fixed by NASDAQ Dubai from time to time 5 6 Block Amounts for options contract NASDAQ Dubai shall at periodical intervals review the normal block amounts and where necessitated change and amend them via a CAP notice inform all market participants Currently the normal block amounts for options contracts are as follows Derivatives operating procedures for clearing members Ver 1 6 Page 17 of 29 LSUJ ws NASDAQ DUBAI 500 Contracts 100 Contracts Single Stock Options FTSE Index Options 6 SWIFT MESSAGES For the purposes of derivatives NASDAQ Dubai will not use any additional SWIFT messages However existing SWIFT messages for transfer of funds between NASDAQ Dubai member participants and banks will continue 7 REPORTS The NASDAQ Dubai as part of its daily end of the day activities will forward an array of system generated user friendly reports to its participants As an exception to this rule for transactions done on Sundays NASDAQ Dubai will forward the reports on the nex
21. e Details of options CSV Members EOD Settlement exercised and settled in Derivatives operating procedures for clearing members Ver 1 6 Page 18 of 29 LSUJ Js NASDAQ DUBAI 9 Exercise Details of options CSV Members EOD Settlement exercised and settled in 10 Daily MTM Details of MTM settlement CSV Members EOD for Futures 11 Maturity of Details of Physical delivery CSV Members EOD futures of futures 12 Match Outs Details of Match outs done CSV Members EOD Done during the day 13 Unwinding of Details of match outs CSV Members EOD Match outs unwound during the day 14 Open Details of open interest on CSV Members EOD Interest futures and options 15 Derivatives Details the initial margin CSV Members EOD Margin details for the derivatives 16 Exercise Details on the exercise CSV Members EOD Request requests 17 Position Details the reconciliation CSV Members EOD Reconciliatio for positions 18 Assignment Details the assignment CSV DIFX BOU EOD Report 19 Positions Details the positions before CSV Members EOD Before Expiry the expiry Physical Details the trades 20 Settlement generated in the equity CSV Members EOD Trades segment Derivatives operating procedures for clearing members Ver 1 6 Page 19 of 29 LSUJ Js NASDAO DUBAI 8 APPENDIX A Example for position keeping and mar
22. e a special risk identification problem As they move toward expiration they may not be significantly exposed to normal price moves in the underlying instrument However unusually large underlying price changes may cause these options to move into the money thus creating large losses to the holders of short positions To cover this risk SPAN constructs two additional scenarios by scanning up and down 3 times of the normal client margin level Since these unusually large price moves are so rare SPAN covers only a fraction of the resulting loss i e 32 Scanning Risk SPAN computes the theoretical value of options and futures in each scenario It then compares today s theoretical value to the following day s theoretical value for the same scenario and calculates the gain or loss SPAN will store these value gains and losses in each scenario in a Risk Array As each futures contract and options series may react differently to each scenario each will have its own Risk Array The value gain and loss of a portfolio in each scenario is the aggregate value gains or losses of all futures and options positions in that portfolio The largest loss of the portfolio in these sixteen scenarios is called the Scanning Risk Charge which is the basic margin requirement for that portfolio Long Option Value Long Option Value is applied to all long options in each Combined Commodity It serves as an upper bound of margin requirement for each Combined Commodity
23. e pair of spread can be formed and Intermonth Spread Charge is 1 x USD 7 500 per spread USD 7 500 Minimum margin requirement for these positions is the sum of the Scanning Risk Charge USD 26 506 and the Intermonth Spread Charge USD 7 500 i e USD 34 006 10 APPENDIX C sa Name Description Applicable for W D 4 Give Up To Give up mae Forms transactions Give_Up_Form doc W D 2 Take Up To take up or reject ae Forms transactions Take_Up_Form doc Manual zg To match out 3 Match out S as A positions Manual_Matchout_F Forms orm doc Manual We 4 Allocation To allocate a trade i Manual_Allocation_F Forms orm doc Option ae Creatin n 5 Exercise Ge We exercise Options_Exercise_Fo Forms rm doc Derivatives operating procedures for clearing members Ver 1 6 Page 29 of 29
24. ether with other details are calculated on a weekly basis or more frequently at NASDAQ Dubai s discretion and published via circulars that are placed on the NASDAQ Dubai website The Span risk parameter file and price files are made available on CME FTP server ftp ftp cmegroup com pub span data difx as well as on the NASDAQ Dubai website Members may also request NASDAQ Dubai for sample SPAN files that they can use verify margin calculations if required Please efer to Appendix B for a more detailed summary on the SPAN calculation methodology 4 2 Additional Margin Additional Margin will be called by NASDAQ Dubai if market conditions warrant Additional Margin may be applied in respect of a particular Clearing Member or with regard to a particular Admitted Security The additional margin requirement can be checked by the clearing member by logging on to Bancs system 4 3 Margin Call The Margin requirements for each Derivatives Clearing Member will be the sum of the following Margin components i Initial Margin for Futures Contract ii Margin for Options Contract Options Margin and iii Additional Margin Each Clearing Member s Margin requirement will be calculated at least every Business Day following the close of trading for that day and where applicable a Margin call will be made When NASDAQ Dubai notifies a Clearing Member a Securities Clearing Member or Derivatives Clearing Member of a Margin requirement and
25. gining Position Keeping Bacon Type Net Position account 1 House 10 contracts 2 Client 5 contracts 3 Market maker 15 contracts Derivatives Margin calculation oe Type Currenc Margins account yP y g 1 House USD 50000 2 Client USD 35000 3 Market maker AED 80000 Margin calls Cash message generation for pan margins Cash settlement Account ende Margin Collateral Margin call account Type y calculated available shortage 41 Cash USD 50000 10000 40000 House 12 Cash USD 35000 10000 25000 11 Cash Market AED 80000 20000 60000 Maker Note Please note that profit and loss MTM and other cash obligations arising for premium and commissions and Settlements etc will be sent as a separate cash message Derivatives operating procedures for clearing members Ver 1 6 Page 20 of 29 LSUJ Js NASDAQ DUBAI 9 APPENDIX B Overview of SPAN calculation methodology NASDAQ Dubai will use SPAN Risk Manager Clearing SPAN RMC to calculate Margin obligations The Standard Portfolio Analysis of Risk SPAN system is a highly sophisticated methodology that calculates performance bond requirements by analyzing the what ifs of virtually any market scenario Developed and implemented in 1988 by Chicago Mercantile Exchange CME SPAN was the first system ever to calculate performance bond requirements exclusively on the basis of overall portfolio risk at both clearing and customer levels Following types of marg
26. harge to the Scanning Risk Charge Derivatives operating procedures for clearing members Ver 1 6 Page 23 of 29 LGL NASDAO DUBAI Short Option Minimum Charge Short options positions in extremely deep out of the money strikes may appear to have little or no risk across the entire scanning range However in the event that underlying market conditions change sufficiently these options may move into the money thereby generating large losses for the holders of short positions in these options To cover the risks associated with deep out of the money short options positions SPAN assesses a minimum requirement for each short option contained in the portfolio These Short Option Minimum charges are set by the NASDAQ Dubai and expressed as amount The Short Option Minimum charge serves as a lower bound to the risk requirement for each underlying instrument the risk requirement for the instrument in question cannot fall below this level The SOM margin is calculated based on the maximum number of total short calls or total short puts on the portfolio The client margin requirement can be obtained by added the Scanning Risk Charge and the Intermonth Spread Charge and then comparing it with the Short Option Minimum Margin whichever is larger Short Option Minimum Charge maximum number of short calls short puts Short option minimum charge rate Unusual Future Price moves Scenario 15 and 16 Deep out of the money short options positions pos
27. he trading system at the time of entering the trade and manual match outs are the ones which are executed in the clearing system Only open positions can be matched out in clearing system Positions on account of manual match outs are updated on a real time basis If the match out quantity is greater than the sufficient available positions the system will not process the instruction The match out instruction should be the minimum of available long and short positions The match out instructions will be per ISIN per account Derivatives operating procedures for clearing members Ver 1 6 Page 7 of 29 LSU Ls NASDAO DUBAI In exceptional circumstances where the member participants cannot perform the activity on account of them being unable to access the system NASDAQ Dubai clearing team will perform the activity on behalf of the member In such cases the member participant needs to forward the duly filled Manual match out form to the clearing team 3 8 Unwinding of match outs Transactions that have been matched out can be unwound again As match outs are done for positions unwinding is also done for positions and not for transactions This means that the unwinding can be done only on match outs performed either auto or manual Partial quantities cannot be unwound which means the entire quantity of the match out has to be unwound The positions on account of unwinding are updated on real time basis Past dated match outs can be unwound
28. ice The value of eligible margin deposited can be checked by the clearing member by logging on to NASDAQ Dubai Bancs system and viewing the relevant reports 4 9 Collateral Submission The Cash Margin should be deposited by the clearing member in the Settlement Bank Clearing Membere Settlement Bank in turn will transfer it to NASDAQ Dubai s Margin Account at the Clearing Bank Bank guarantees shall be lodged with NASDAQ Dubai by the Clearing Member 4 10 Margin Release Clearing Members may request the withdrawal of those assets which are not required to meet the Margin requirement In order to be eligible for such release of Margin on the same day any such requests must be made to NASDAQ Dubai prior to 14 00 hours If approved Margin will be released on the same day on best effort basis after considering the end of day margin requirements and no later than next business day which is not a currency settlement holiday by 20 00 hours 4 11 Interest on Cash Margin Cash Margin held at NASDAQ Dubai shall be transferred to the Margin Account in the name of NASDAQ Dubai at the Clearing Bank NASDAQ Dubai will pay interest on cash Margin The interest will be calculated on a monthly basis and credited on a quarterly basis to the funds held by NASDAQ Dubai as Margin of the Clearing Member The interest to be credited by NASDAQ Dubai to a Clearing Member on cash Margin shall be equal to the amount of interest which NASDAQ Dubai receives in respect of
29. icipants polled by the Clearing House 4 13 2 Final settlement price for Index Future With respect to the Futures contracts on indices such as the FTSE NASDAQ Dubai UAE 20 Index the final price of the respective index will be the opening print calculated and provided by the respective Derivatives operating procedures for clearing members Ver 1 6 Page 14 of 29 LSUJ Ls NASDAQ DUBAI Index provider Where there is no opening price for one or more of the constituent stocks the last traded price will be used In case of extraordinary circumstances especially due to technical problems or if a price determination as mentioned is not possible for any reasons the NASDAQ Dubai may determine the final settlement price at its sole discretion 4 13 3 Distribution of settlement prices NASDAQ Dubai Clearing house shall determine the settlement prices around one hour after the market close After such determination these prices file shall be used and disseminated as follows 1 Uploaded in the clearing system for Mark to Market calculations 2 Span system for calculation of margins 3 CME FTP website and NASDAQ Dubai website through span risk parameter file difxyyyymmdd spn 4 NASDAQ Dubai website as public information settlement_price_yyyymmdd csv 5 NASDAQ Dubai ftp folders for specific members settlement_price_yyyymmdd csv CME ftp address ftp ftp cmegroup com pub span data difx NASDAQ Dubai Website www nasdagdubai com
30. iday whereupon payments shall be made no later than 11 30 hour the following Business Day which is not a Currency Settlement Holiday Derivatives operating procedures for clearing members Ver 1 6 Page 15 of 29 LSUJ Ls NASDAQ DUBAI However there will no settlements for these payments on Sundays and all obligations for Sundays shall be settled no later than 11 30 the following Business Day that is not a Currency Settlement Holiday 5 1 2 Final Cash Settlement For instruments that are Cash Settled the final settlement will be done by either payment or receipt of monies This means that the member participants cash account at the settlement bank will be either credited in case of receipt obligations or debited in cases of payment obligations The payment and receipt of monies will be on the official settlement prices published by NASDAQ Dubai Notification and payment deadlines for final cash settlements will follow the same timelines as the ones stated above for variation margin In case of physically settled instruments the assignment date will be considered as Trade Date T Day and the positions will be settled on T 1 day The NASDAQ Dubai Clearing House will forward cash instructions on the T day and the confirmation of these instructions can be on the time decided by NASDAQ Dubai periodically For calculation of expiration fees house positions will be netted and client positions will be on a gross basis 52 Exercise
31. increased risk of positions in deliverable instruments near expiration Interest rates Expiry date Derivatives operating procedures for clearing members Ver 1 6 Page 21 of 29 LSUJ Js NASDAQ DUBAI The Price scanning range is used to derive Initial Margin on Futures Contract and is the amount of the Initial Margin per Futures Contract denominated in the currency of the contract Intra commodity spread is the amount per Future Contract levied to cover the calendar spread risk in contracts on the same underlying SPAN Algorithm SPAN evaluates overall portfolio risk by calculating the worst probable loss that a portfolio might reasonably incur over a specified time period SPAN achieves this number by comparing hypothetical gains and losses that a portfolio would sustain under different market conditions SPAN typically provides a Risk Array analysis of 16 possible scenarios for a specific portfolio under various conditions SPAN Scenarios Risk Arrays Futures unchanged Volatility up Futures unchanged Volatility down Futures up 1 3 range Volatility up Futures up 1 3 range Volatility down Futures down 1 3 range Volatility up Futures down 1 3 range Volatility down Futures up 2 3 range Volatility up Futures up 2 3 range Volatility down Futures down 2 3 range Volatility up 10 Futures down 2 3 range Volatility down 11 Futures up 3 3 range Volatility up 12 Futures up 3 3 range Volatility down 13
32. ins shall be calculated by SPAN RMC system Initial margin on Futures Futures are margined for both side of contract i e buyer and seller It covers the Price volatility risk as determined by NASDAQ Dubai NASDAQ Dubai will set and publish the Initial margins based on the volatility analysis on the underlying Margin for written options The total Initial margin requirements for a member for a portfolio of futures and options contract would be computed in SPAN RMC as follows i SPAN will add up the Scanning Risk Charges and the Intracommodity Spread Charges ii SPAN will compares this figure as per i above to the Short Option Minimum charge ii It will select the larger of the two values between i and ii iv Total SPAN Margin requirement is equal to SPAN Risk Requirement as per iii above less the net option value which is mark to market value of difference in long option positions and short option positions Risk parameters Parameter used to calculate margin requirement by SPAN are as follows Price Scan Range A set range of potential price changes Volatility Scan Range A set range of potential implied volatility changes Intracommodity Spread Charge An amount that accounts for risk basis risk of calendar spreads or different expirations of the same product which are not perfectly correlated Short Option Minimum Minimum margin requirement for short option positions Spot Charge A charge that covers the
33. ity up 0 594 594 Futures unchanged Volatility down 0 1 434 1 434 Futures up 1 3 range Volatility up 15 000 16 526 1 526 Futures up 1 3 range Volatility down 15 000 15 510 510 Futures down 1 3 range Volatility up 15 000 10 594 4 406 Futures down 1 3 range Volatility 15 000 12 840 2 160 down Futures up 2 3 range Volatility up 30 000 35 172 5 172 Futures up 2 3 range Volatility down 30 000 34 870 u 4 870 Futures down 2 3 range Volatility up 30 000 16 430 13 570 Futures down 2 3 range Volatility 30 000 17 740 12 260 down Futures up 3 3 range Volatility up 45 000 54 848 9 848 Futures up 3 3 range Volatility down 45 000 54 792 9 792 Futures down 3 3 range Volatility up 45 000 18 494 26 506 Futures down 3 3 range Volatility 45 000 18 882 26 118 down Futures up extremely 3x range 31 500 40 176 8 676 cover 30 of loss Futures down extremely 3x range 31 500 6 654 24 846 cover 30 of loss All losses in the above tables are positive numbers all gains are negative numbers These scenarios scan across a futures price range movement of 900 points USD 45 000 and volatility movement range of 4 Derivatives operating procedures for clearing members Ver 1 6 Page 28 of 29 LU JL NASDAO DUBAI The Scanning Risk Charge for the above positions is USD 26 506 For September contract Net Delta 1 28 For December contract Net Delta 1 00 Thus on
34. n with the combination of User ID BP ID and its password The following timelines pertain to the TCS Bancs system All timings are standard local Dubai time 1 Sunday to Thursday Between 09 00 hours and 17 00 hours In query mode after 15 30 hours Note Bancs system will be open on Sundays and will follow the normal weekday timings However Derivative transactions executed on Sundays will be fed in the clearing system on next available business day which is not a holiday 3 OPERATING PROCEDURES FOR CLEARING OPERATIONS Transactions executed on the NASDAQ Dubai trading system are sent to post trade systems for the purposes of clearing and settlement Clearing operations refer to various activities performed by the clearing house and the exchange As an exception to the above rule transactions on Sundays are received in the clearing system on the next available business day which is not a holiday Clearing Structure 3 1 Types of Clearing Membership General Clearing Member GCM Members who can clear and settle their own transactions as well as transactions executed by other Trading Members GCMs will typically have a set of trading members under them GCMs can also execute transactions for their own clients Individual Clearing Member ICM Members who can execute as well as clear and settle their own and client transactions ICMs cannot settle the transactions for another trading member Trading members of NASDAQ Dubai needs to
35. nstrument can early exercise to the extent of the available long positions Member participant can perform early exercise only in those instruments which are of American style The member participants can input 2 different types of instructions 1 Exercise Requests 2 Do not exercise requests Derivatives operating procedures for clearing members Ver 1 6 Page 16 of 29 LSUJ Js NASDAQ DUBAI 1 Exercise Requests Member participants having sufficient long positions in options can input exercise request via the clearing system For American options the member participants can input the request up until one day prior to the expiration date In cases where the option has the final exercise as Voluntary Manual the member has to input the instructions to exercise otherwise the option expires worthless 2 Do not exercise requests Member participants can input do not exercise requests only on the expiration date 5 3 Assignment process The assignment process is an automated one in the clearing system Assignments are binding for the holders of short positions The assignment process is part of the end of the day activities performed by the clearing system and will commence after all other activities like the give up take up of transactions match outs unwinding of match outs and allocation etc have been completed On the expiry date the clearing system will identify the exercise requests and do not exercise requests placed
36. respect of securities indices sectors or other measurements that demonstrate some correlation with the Admitted Security in question NASDAQ Dubai uses the following guidelines to arrive at the Margin Rate for each a Calculate lognormal returns of historical prices over a 1 day period b Calculate standard deviation of returns for 360 days 180 days 90 days and 30 days c The highest of the four standard deviations in b above to be multiplied by a square root of 2 assuming a 2 day close out period d Multiply the above value by 2 57 99 confidence level Derivatives operating procedures for clearing members Ver 1 6 Page 10 of 29 LSUJ Js NASDAQ DUBAI e The result derived in the above calculation will set the margin rate and is rounded up to nearest integer f The derived margin rate is compared with the last 100 days actual price movements If the margin rate breaks more than once the rate is adjusted accordingly and g The margin rate so determined may be further adjusted at NASDAQ Dubai s discretion The margin rate thus arrived at is used to compute the Price Scanning Range for each contract NASDAQ Dubai computes Initial Margin requirements using the Standard Portfolio Analysis of Risk SPAN system which is developed and owned by Chicago Mercantile Exchange CME The Scanning Range derived through the process above is fed into the SPAN system to calculate Margin requirements These Scanning Ranges tog
37. s comprising Eligible Margin by Notice Eligible Margin which NASDAQ Dubai currently accepts are as follows i USD or AED cash for margin requirements denominated in US dollars ii USD or AED bank guarantees for requirements denominated in US Dollars In the case of bank guarantees no bank guarantee shall be accepted unless NASDAQ Dubai approves the issuing bank the credit limit the precise wording of the guarantee and the governing law of the guarantee Additions to the list of Eligible Margin will be made by Notice Removals from the Eligible Margin List will generally be made by Notice unless NASDAQ Dubai determines that the situation warrants otherwise 4 7 Concentration Limits on Eligible Margin NASDAQ Dubai may impose restrictions on the quantity or proportion of each type of eligible margin by providing the requisite information in the margin Notice Derivatives operating procedures for clearing members Ver 1 6 Page 12 of 29 LSUJ Js NASDAQ DUBAI This could include Imposing a minimum requirement by proportion and or value for cash Margin Assigning a maximum limit for bank guarantees from a specific bank The bank guarantee from that bank would be accepted only if the total bank guarantee provided by the bank is within the defined limit 4 8 Valuation of Eligible Margin The value of the eligible margin will be arrived at after taking into consideration the haircuts as specified by NASDAQ Dubai in the margin not
38. sitive numbers all gains are negative numbers These scenarios scan across a futures price range movement of 900 points USD 45 000 and volatility movement range of 4 The Scanning Risk Charge for writing a September 16800 XYZ Call option is USD 29 356 which is larger than the Short Option Minimum Margin USD 7 000 Therefore the minimum margin requirement for writing that option is USD 29 356 Derivatives operating procedures for clearing members Ver 1 6 Page 25 of 29 Example 2 Long 1 December XYZ Futures Short 2 September 17400 XYZ Calls Market closed at 17438 LSU ws NASDAQ DUBAI Long 1 Dec XYZ EIS Futures Loss Futures unchanged Volatility up Futures unchanged Volatility down Futures up 1 3 range Volatility up Futures up 1 3 range Volatility down Futures down 1 3 range Volatility up Futures down 1 3 range Volatility down Futures up 2 3 range Volatility up Futures up 2 3 range Volatility down Futures down 2 3 range Volatility up Futures down 2 3 range Volatility down Futures up 3 3 range Volatility up Futures up 3 3 range Volatility down Futures down 3 3 range Volatility up Futures down 3 3 range Volatility down Futures up extremely 3x range cover 30 of loss Futures down extremely 3x range cover 30 of loss Delta Derivatives operating procedures for clearing members Ver 1 6 0 0 15 000 15 000 15 000 15 000 30 000 30 000 30 000 30 000 45 000 45 000 45 000 45 000
39. t available business day which is not a holiday All of the reports will be in CSV or PDF formats The aforementioned CSV and PDF reports will be forwarded to member participants in a secured destination using the secured file transfer protocol SFTP mechanism The members and or their back office system vendors will be allowed to access these folders NASDAQ Dubai will provide user names and passwords to access these folders NASDAQ Dubai will forward the trade details to the clearing members and the clearing members in turn have to pass on the information to trading members The list of reports with its formats and specifications are explained in a Reports specification document which will be available on request Serial Report AD Formats to Intended Frequency Name Brief Description be primary report of supported user s generation 1 Positions Closing positions for the CSV Members EOD Report day and BOUs 2 Trades List of trades for the day CSV Members Perio Report and BOUs dic E Trades Given Details of given up trades 3 Up accepted successfully by CSV Members EOD the target CM 4 Trades Details of trades taken up CSV Members EOD Taken Up by target CM 5 Contract Summary of contract CSV Members EOD details report details Vs market price 6 Cash Summary of net cash CSV Members EOD obligation obligations for members in 7 Cash Summary of collaterals for CSV Members EOD collateral derivatives 8 Exercis
40. the trade record Trade Novation NASDAQ Dubai clearing house becomes the central counterparty to all transactions executed on the NASDAQ Dubai trading system In other words it acts as a buyer to every seller and the seller to every buyer CM 1 Fei 50 10 Sx 25 s 40 15 40 15 60 12 CM 2 25 10 25 10 Generation of cash Obligations In case there are trade cancellations the settlement obligations are adjusted accordingly and recomputed Derivatives operating procedures for clearing members Ver 1 6 Page 9 of 29 LU Ls NASDAO DUBAI 3 11 Market Calendar Clearing and settlement NASDAQ Dubai informs its member participants about trading holidays and currency holidays via its market calendar The market calendar is published in the form of a notice to all its member participants and is also posted on its website Additionally if due to exceptional circumstances there are changes to the calendar the same is informed by way of an additional Notice 3 12 Trading Member Clearing Member association A Trading Member will get associated to a Clearing Member in the following cases 1 New admission of a Trading Member 2 Voluntary transfer of association under another active Clearing Member 3 Clearing Member is suspended and hence trading member is required to be associated under another active Clearing Member The Clearing Mem
41. usain 971 4 305 5135 tahir husain nasdaqdubai com Shailesh Rahate 971 4 305 5133 shailesh rahate nasdaqdubai com Additionally NASDAQ Dubai has in place group contact details You may contact us at below 1 Clearing clearing nasdaqdubai com 2 CSD csdregistry nasdaqdubai com Derivatives operating procedures for clearing members Ver 1 6 Page 3 of 29 LSUJ Js NASDAQ DUBAI Periodical review The revision of the document will be done in the event of any of the following Any changes to the banking model including changes in banks Any changes in the settlement model Any changes in the risk management model including margining Any other material changes including timelines etc gt 08 8 gt Derivatives operating procedures for clearing members Ver 1 6 Page 4 of 29 LSUJ Js NASDAQ DUBAI 2 CLEARING SYSTEM The Derivatives Clearing system TCS Bancs system is a web based application and the URL to access the graphic user interface GUI is https depository nasdaqdubai com The system will be used for all derivatives related clearing functionalities Member participants are provided with default user password and business partner ID Referred to as BP ID The member participants with the help of the default user can then create multiple users and access groups Functional eligibilities can be set up based on access groups which determine the activities that each user can perform using the system Each user can log o
42. with solely net long calls and or long put Derivatives operating procedures for clearing members Ver 1 6 Page 24 of 29 LSUJ Ls NASDAQ DUBAI For each long option contract in this Combined Commodity 1 Multiply the number of long positions by option contract value to obtain Long Option Value for each of the contract Long Option Value number of long positions x option contract value where option contract value option settlement price x contract multiplier 2 Add up all the Long Option Value in step 1 to derive Long Option Value for the Combined Commodity SPAN EXAMPLE Example 1 Write short a September 16800 XYZ Call Option with underlying closing at 17515 Scenario Value Loss Futures unchanged Volatility up 260 Futures unchanged Volatility down 380 Futures up 1 3 range Volatility up 9 736 Futures up 1 3 range Volatility down 9 424 Futures down 1 3 range Volatility up 8 759 Futures down 1 3 range Volatility down 9 684 Futures up 2 3 range Volatility up 19 476 Futures up 2 3 range Volatility down 19 321 Futures down 2 3 range Volatility up 17 060 Futures down 2 3 range Volatility down 18 391 Futures up 3 3 range Volatility up 29 356 Futures up 3 3 range Volatility down 29 285 Futures down 3 3 range Volatility up 24 342 Futures down 3 3 range Volatility down 26 011 Futures up extremely 3x range cover 30 of loss 20 745 Futures down extremely 3x range cover 30 of loss 13 512 All losses are po
43. y whereupon payment shall be made no later than 11 30 hours the following business day that is not a Currency Settlement Holiday In connection with longer currency holidays specific special rules may apply Admitted derivative transactions executed on Sundays will be entered in clearing system on Monday by 9 30 hours Hence NASDAQ Dubai may notify margin calls to clearing bank and clearing members by 10 00 hours on Mondays Clearing member shall ensure that these margin payments are made no later than 11 30 hours the same day SPAN Margins will be recalculated on Monday evening per the normal timelines and the deadline to meet this is next business day 11 30 hours 4 5 Intra Day Margin In certain circumstances including but not limited to the accumulation of a larger than usual Net Open Position by a particular Clearing Member or unusually large market movements NASDAQ Dubai may recalculate the Margin requirements for any or all Clearing Members and require the Clearing Members to provide intra day margin accordingly The timing for complying with such intra day margin requirements shall be as notified to the Clearing Member at the time a request for Margin is notified Clearing members should ensure that they pay the intra day margin within the deadline set for it 4 6 Eligible Margin NASDAQ Dubai shall have sole discretion to determine Eligible Margin and shall specify the type of cash Eligible Securities bank guarantees and other asset
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