Conclusiones

Definition

Asset Switch Trades allow Participants to take opposing positions in, or transfer exposure between, two different Products simultaneously.

Authorization for Execution

Only Trade Registration Executing Participants.

A Trade Registration Executing Participant is a Participant holding the appropriate Trade Registration Rights.

A Participant without Trade Registration Executing Rights may Register Asset Switch Trades via a Trade Registration Executing Participant.

When Asset switch Trades be

organized / executed

An Asset Switch may be organized only during the Open Session of the Futures or Options Products concerned, as communicated by the Operator in these Trading Procedures and from time to time by Notice. Asset Switch Trades may not be executed in a delivery / expiry month that has never traded. Asset Switch Trades may not be executed on the Last Trading Day of any delivery / expiry month.

Asset Switch contracts

The Asset Switch Facility is available for all interest rate futures and options listed on the NLX market.

Fair Value Prices allocated to the individual legs must be at the level trading in the relevant markets at the time, and within the high / low recorded in the previous 30 minutes, or within the ‘fair value ‘ high and low as determined by the Operator.

Reporting Requirements

Once verbal agreement of the Asset Switch has been reached. The Trade Registration Executing Participant must submit the details of the Asset Switch, to the relevant NLX Market official via the Trade Registration Facility as soon as practicable and no less than 5 minutes before the close of trading in the relevant contracts.

Hedge Ratios Products of the same duration: Notional value (currency adjusted if applicable) Products of different durations: Ratio of basis point values.

Registration Details For each Asset Switch Order, the following details must be recorded via the Trade Registration system, by the Trade Registration Executing Participant:

 Name of Products

 Price of each Product

 Volume of each Product

 Time of receipt of Order

 Time of organization of Trade

 Name of authorized Participant submitting the Trade

All information to be retained by the executing Participant for x years

Trade Confirmation The Asset Switch Trade must be authorized and confirmed by an NLX Official.

Trade Publication The Asset Switch Trade will be matched using the Trade Registration Executing Participant’s ITR Key.

The following information will be published by NLX: when the Asset Switch Trade has been reported and approved.

 Name of Products

 Price of each Product

 Volume of each Product

Quote Vendors, with a Trade Type of 13, for Futures Products and with a Trade Type of 14, for Options Products.

Enforcement If the Asset Switch is later found to contravene the NLX Rule Book or the Trading Procedures, enforcement proceedings may be instituted.

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Appendix J: Exchange for Physical (EFP) Trades

Physical (EFP) Definition

An EFP Trade allows Participants to arrange and execute Trades involving a future or options Product and a corresponding ‘physical’ leg. The corresponding physical leg can be a variety of cash and OTC (Over-The-Counter) assets – which include:

 Deliverable cash bonds

 Non-deliverable cash bonds

 Forward Rate Agreements (FRA)

 Vanilla OTC swaps

 Sale and Repurchase Agreements (Repos)

 OTC interest rate options

 Non NLX listed Short Term Interest Rate or Long Term Interest Rate Futures

Authorization for Execution

Only Trade Registration Executing Participants

A Trade Registration Executing Participant is a Participant holding the appropriate Trade Registration right

A Participant may register EFP Trades via a Trade Registration Executing Participant

When May EFP Trades be organized / executed

An EFP Trade may be organized only during the continuous matching sessions of the Futures or Options Products concerned, as published by the Operator in these Trading Procedures and from time to time by notice.

EFP Trades may not be executed in a delivery / expiry month that has never traded. EFP Trades may not be executed on the Last Trading Day of any delivery / expiry month.

Fair Value Prices allocated to the individual legs must be at the level trading in the relevant markets at the time, and within the high / low recorded in the previous 30 minutes, or within the ‘fair value‘ high and low as determined by the Operator.

Reporting Requirements

Once verbal agreement of the EFP has been reached. The Trade Registration Executing Participant must submit the details of the EFP, to the relevant NLX Market official via the Trade Registration Facility as soon as practicable and no more than fifteen minutes from the time at which the EFP Trade was organized. EFP Trades must be submitted no less than five minutes before the close of trading in the relevant Products.

Hedge Ratios Appropriate hedge ratios must be used depending on the type and combination of legs of the EFP Trade. I.e. a ratio of basis point values, a duration based method, a combination of price factor and duration and Notional value (currency adjusted if applicable).

Registration Details

For each EFP Trade, the following details must be recorded via the Trade Registration system, by the Trade Registration Executing Participant:

 Name of Product

 Price of Product

 Volume of Product

 Time of receipt of Order

 Time of organization of Trade

 An individual reference number for the ‘cash’ side of the EFP Trade The Trade Registration Executing Participant must retain, for potential future audit, the key defining details of the ‘cash’ side of the EFP Trade.

All information to be retained by the executing Participant for x years.

Trade Confirmation

The EFP Trade must be authorized and confirmed by an NLX Official

Trade Publication

The EFP Trade will be matched using the Trade Registration Executing Participant’s ITR Key.

The following information will be published by NLX: when the EFP Trade has been reported and approved:

 Name of Product

 Price of Product

 Volume of Product

Details of the EFP Trade will be broadcast on [NLX] and through Quote Vendors, with a Trade Type of 2.

Enforcement If the EFP Trade is later found to contravene the Rule Book or the Trading procedures, enforcement proceedings may be instituted.

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Appendix K: Procedure for Unauthorised use of Usernames and Passwords

If a Participant becomes aware of:

1. Any unauthorised disclosure or use of any password assigned to it;

2. Any unauthorised access to the System; or

3. The need to deactivate any password assigned to it,

One of the Participant’s Designated Representatives must notify the Operator’s Market Operations Department on 020 3753 2075 immediately.

The Operator will, in a timely manner, take action in accordance with the Participant’s request which might include one or more of the following:

1. Disconnecting the port

2. Temporarily blocking access to the port

3. Changing the username and password on the port

4. Cancelling the port

5. Cancelling open Orders