v2.4.0.6
Clearing Operations (Tables)
 3 Months Ended
Mar. 31, 2013
Clearing Operations [Abstract]  
Schedule of Clearing Member Default Fund Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2013

 

 

Cash Contributions(1)

 

Non-Cash Contributions

 

Total Contributions

 

 

 

 

 

 

 

 

 

 

 

 

(in millions)

Default fund contributions

 

$
191 

 

$
38 

 

$
229 

 

(1)       As of March 31, 2013, in accordance with its investment policy, NASDAQ OMX Nordic Clearing has invested cash contributions of $118 million in reverse repurchase agreements and $73 million in highly rated government debt securities.

Schedule of Derivative Contracts Outstanding

The market value of derivative contracts outstanding prior to netting was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2013

 

 

(in millions)

Commodity forwards and options(1)(2)

 

$
784 

Fixed-income options and futures(2)(3)

 

 
353 

Stock options and futures(2)(3)

 

 
180 

Index options and futures(2)(3)

 

 
131 

Total

 

$
1,448 

 

(1)    We determined the fair value of our forward contracts using standard valuation models that were based on market-based observable inputs including LIBOR rates and the spot price of the underlying instrument.

(2)    We determined the fair value of our option contracts using standard valuation models that were based on market-based observable inputs including implied volatility, interest rates and the spot price of the underlying instrument.

(3)    We determined the fair value of our futures contracts based upon quoted market prices and average quoted market yields.

The total number of derivative contracts cleared through NASDAQ OMX Nordic Clearing for the three months ended March 31, 2013 and 2012 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2013

 

March 31, 2012

Commodity forwards and options(1)

 

 
236,276 

 

 
294,614 

Fixed-income options and futures

 

 
8,827,632 

 

 
10,851,785 

Stock options and futures

 

 
8,487,497 

 

 
8,354,235 

Index options and futures

 

 
10,330,791 

 

 
11,186,985 

Total

 

 
27,882,196 

 

 
30,687,619 

 

(1)            The total volume in cleared power related to commodity contracts was 460 Terawatt hours (TWh) for the three months ended March 31, 2013 and 521 TWh for the three months ended March 31, 2012.