NGX Clearinghouse Overview Q1 2015
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1 NGX Clearinghouse Overview Q1 2015
2 NGX Introduction Overview of NGX Clearinghouse Structure Risk Management and Clearing Requirements Regulatory Developments 2
3 TMX Group Limited NGX Introduction to NGX Leading physical energy exchange and clearinghouse - Natural Gas, Power, and Crude Oil. Est Headquartered in Calgary, Alberta, office in Houston, Texas. Physical Delivery - End-to-end delivery with physical backstopping. Wholly owned subsidiary of TMX Group Limited ICE Alliance All major NGX markets on global leading ICE Westcoast Energy 2001 OMX (now NasdaqOMX) 2004 TMX Group Inc Maple Group purchase of TMX Est Leading Canadian equity exchange 2 nd largest exchange worldwide by listed issuers 7 th largest exchange by issuer market cap. Own MX (derivatives), NGX (energy), Shorcan (brokers) and several related businesses 3
4 TMX Majority Owned by Canada s Top Financial Players Strong and Stable Shareholders 77% Collective Ownership at Q3/12 1 Maple investors consist of 11 of Canada s most well recognized players in the Canadian investment industry Affiliates of TD Securities, CIBC World Markets, National Bank Financial and Scotia Capital are lenders to TMX Each of these bank-owned dealers or their affiliates committed to own at least 6.25% of TMX Group Limited for the first year and at least 5.625% of TMX Group Limited for the 4 following years TMX has ready access to equity markets to raise capital if ever required Entity DBRS Credit Rating Lender AAA (Stable) 2 AAA (Stable) AAA (Stable) AA (Stable) AA (Stable) AA (Stable) AA (Stable) AAL (Stable) AAL (Stable) N/A N/A 4 1. The chart shows the relative ownership of TMX Group Limited shares held by each of the above named investors or their affiliates, following completion of the subsequent arrangement on September 14, 2012 (taking into account the number of TMX Group Inc. shares held by each applicable investor and/or their respective affiliates as reported in the TMX Group Inc. Plan of Arrangement Circular dated August 13, 2012). This percentage has been updated for known transactions. 2. Notionally AAA as expressed through Cadillac Fairview Trust guarantee.
5 TMX Group Canada s Clearing Provider Clearing Depository Services (CDS) - Clears all Canadian securities - Processes over 229 million securities transactions annually, settles C$238 billion daily and hold under C$4 trillion in securities on deposit Canadian Derivatives Clearing Corporation (CDCC) Clears all Canadian derivatives traded on Montreal Exchange (over $300 billion/annum in fixed income products. 5
6 Introduction to NGX Estimated 80-90% market share of Canadian physical spot gas and financial power NGX s physical natural gas and power indices are the Canadian benchmarks NGX markets also include Canadian crude oil and U.S. physical power (ERCOT and WECC) U.S. Natural Gas - NGX is exclusive clearinghouse for ICE s OTC natural gas markets NGX s trading primarily transacted on ICE trading platform with some OTC and auction volumes Clear physical and financial energy products across north America No clearinghouse defaults since inception in 1994 Managed though major failures including Lehman and Enron Over $3B in collateral holdings 70-75% L/Cs and remainder cash) Unique direct clearing model - no clearing members (non-mutualized) NGX manages complete physical delivery process 6
7 Operational & Clearing Statistics 260 Over $40 Billion Over $1 Billion+ $3.0 Billion Bcf Contracting Parties including major commercial and financial entities Annual notional transactions cleared Monthly Settlement Amount Average collateral position held at NGX Customer defaults in NGX's history (3 in 2008) resulting in no losses to NGX or any other Contracting Party Approx. daily volumes (equiv - all products/nonweekends) 7
8 8 NGX Volume History
9 9 NGX Product Locations
10 NGX Product Classifications All products clear as Futures on NGX. All screen traded and cleared deals are deemed Future transactions. Product Market Clear or Uncleared Trading Classification Clearing Classification Canadian Physical Natural Gas U.S. Physical Natural Gas U.S. Physical Power Canadian Financial Power Canadian Physical Crude Oil ICE Web Screen Cleared Future Future Bilateral or Broker OTC Cleared Physical Forward or Block Future 1 Future 2 ICE Web Bilateral Screen Uncleared Physical Forward 5 N/A ICE Web Screen Cleared Future 3 Future Bilateral or Broker OTC Cleared Physical Forward or Block Future 1 Future 2 ICE Web Bilateral Screen Uncleared Physical Forward 4 N/A ICE Web Screen Cleared Future 6 Future Bilateral or Broker OTC Cleared Physical Forward or Block Future 1 Future ICE Web Bilateral Screen Uncleared Physical Forward 4 N/A ICE Web Screen Cleared Future Future Bilateral or Broker OTC Cleared Swap or Block Future 1 Future 2 ICE Web Screen Cleared Future Future Bilateral or Broker OTC Cleared Physical Forward or Block Future 1 Future 2 ICE Web Bilateral Screen Uncleared Physical Forward 5 N/A 10 Notes: 1) Product classification to be determined by transaction market source (bilateral participants or broker) 2)Traded and cleared as block future if transaction meets minimum block future size threshold. Otherwise may be cleared as futures by use of EFP or EFS. 3) Upon US natural gas orders being matched for clearing on ICE screens, transaction will be deemed as transacted and cleared as a future 4) Not NGX markets classification determined by ICE. 5) NGX physical crude oil and natural gas, uncleared,markets are forward markets 6) Upon US power orders being matched for clearing on ICE screens, transaction will be deemed as transacted and cleared as a future
11 NGX Introduction Overview of NGX Clearinghouse Structure Risk Management and Clearing Requirements Regulatory Developments 11
12 Overview of Risk - NGX Clearing Operations NGX Clearinghouse Role Buyer to every seller and vice versa on a fully collateralized basis Fully anonymous trading Complete physical delivery (firm delivery in key markets) Private Clearing Operation No mutualized or legal relationship amongst counterparties. All collateral segregated and for owner usage only. Do not require access through clearing member 12
13 NGX Clearinghouse Backstop Model Insurance Policy (Drawdown on Fund over $15MM) Guarantee to TD Bank by TMX Group Inc. (USD $100MM) TD Letter of Credit issued to BNY Mellon (USD $100MM) NGX Guarantee Fund (USD $100MM BNY Mellon Trust) Defaulting Party Collateral (100% Coverage Under NGX Exposure Model) Settlement Banking Credit Facility - $300MM daylight + $20MM Operating Line + NGX Capital PAYER $ $ PAYEE $ or Commodity $ or Commodity 13
14 NGX Financial Resources (as at March 31, 2015) Funds Available for DCO Default Waterfall (Millions USD): A) NGX Capital $ 41.7 B) Default Insurance* $ 82.9 TOTAL FINANCIAL RESOURCES $ *Default Insurance of $100MM adjusted for deductible and potential liquidity risk 14
15 NGX Introduction Overview of NGX Clearinghouse Structure Risk Management and Clearing Requirements Regulatory Developments 15
16 Contracting Party (CP) Performance Obligations Make/Take Delivery NGX is exposed to the price at which an alternative supply/market can be found Risk is managed with backstopping contracts, penalty mechanisms, collateral requirements and credit policy Make Payment NGX is exposed to receivables risk on settlement dates Risk is managed with penalty mechanisms, collateral requirements and credit policy Provide Collateral NGX is exposed to the risk that Contracting Parties will not provide sufficient collateral to manage their risks Risk is managed with liquidation provisions Remain Solvent Risk is managed with margin triggers and liquidation provisions 16
17 Risk Measurement Margin Requirement Accounts Receivable/Payable Contract value of Delivered Product. Remains on exposure (positive or negative) until settled. Variation Margin (Mark-to-Market) Initial Margin (Value at Risk) Difference between real-time market prices and transaction price (positive or negative). Daily settles validated. Potential adverse price movement over a liquidation period (2 days) and defined confidence interval (99.7%) Reduced for any portfolio risk offsets Total Exposure Equals the Sum of These Components Collateral requirements are netted across products and commodities 17
18 CPA Margin Triggers Unlike mutualized clearinghouses (CME/ICE), margin collected prior to exposure A margin call may be made when margin requirement reaches 80% of collateral on deposit If margin requirement reaches 90% of collateral on deposit permissions may be restricted If margin requirement reaches 95% of collateral on deposit permissions may be halted and liquidation rights invoked Additional collateral must be received next business day If available margin is less than the minimum threshold, CP s permissions may be restricted until additional collateral is received Minimum available margin thresholds are: Gas - $500K Oil/Power - $1MM Options - $2MM FCM s provide margin buffer at mutualized clearinghouses. The cost of such intermediation services however are borne by the customer. 18
19 Risk Management Real Time Position Monitoring NGX maintains a team of clearing personnel that monitor all positions on a real-time basis. Ability to halt immediately as required. Fully Collateralized Model All CP positions must be fully collateralized there are no unsecured positions. NGX triggers margin calls when CP exposures reach 80% of collateral held (discretion below 90% applied) NGX only accepts cash and Letters of Credit from A rated or higher banks. Physical Delivery Backstops Risk of physical delivery managed with backstopping contracts and penalty mechanisms for failure to take/deliver product. Extensive operational expertise in Canada and U.S. Extensive Enforcement Rights NGX maintains a uniform Contracting Party Agreement with all parties. Effective and immediate remedies available to deal with any potential risk situations. 19
20 Risk Management cont d Contracting Party Collateral Threshold Requirements All CPs must maintain minimum financial requirements of $5MM in equity or $25MM in assets. Threshold collateral requirements in addition to collateral required to cover exposures. Contracting Party Reviews NGX undertakes an annual financial review of every Contracting Party Over 85% of NGX s exposures to CPs of investment grade rating. Stress Testing NGX undertakes weekly, monthly and quarterly stress tests to determine exposures under extreme but plausible market conditions. Regulatory requirement to maintain sufficient capital to manage single largest default under stress scenario as well as 12 months operating expenses. Back-testing 20 Daily back-testing to ensure that initial margin rates appropriate for actual market price movements. Back-testing independently reviewed by Deloitte on a quarterly basis.
21 NGX Current Margin Position $3,000 NGX Margin Dispersion March 16, 2015 Total Collateral Held: $2,602 $2,500 $2,000 Surplus Collateral $832 CAD $MM $1,500 $1,000 Cushion Collateral $354 Initial Margin $559 Variation Margin $110 $500 AR Margin $761 $- 21
22 22 Aggregate Margin Requirement vs. Margin Held
23 NGX Introduction Overview of NGX Clearinghouse Structure Risk Management and Clearing Requirements Regulatory Developments 23
24 NGX Regulatory Status In Canada NGX is recognized as an Exchange and Clearing Agency by the Alberta Securities Commission (ASC) and has applicable exemptive relief in other Canadian provinces ASC as the Lead (Exchange) Regulator for NGX in Canada In U.S. and Europe NGX recognized by the Commodity Futures Trading Commission (CFTC) as a Derivatives Clearing Organization ( DCO ) in December 2008 NGX has been an Exempt Commercial Market ( ECM ) since November 2002 under the U.S. Commodity Exchange Act. NGX s ECM status replaced by Foreign Board of Trade (FBOT) status in May/13 (1 st FBOT issued by CFTC post Dodd-Frank). NGX has applied for foreign recognition under Article 25 of EMIR 24
25 PFMI and QCCP Status In April 2012, the Committee on Payment and Settlement Systems (CPSS) and the International Organization of Securities Commissions (IOSCO) issued the Principles for Financial Market Infrastructures (PFMIs). CPSS and IOSCO members (including Canada and U.S.) committed to adopting the 24 principles (the Principles) and the five responsibilities (the Responsibilities) included in the PFMIs. NGX s regulatory Recognition Order requires NGX to comply with the PFMIs as a condition of its registration as a clearing agency under section 67 of the Alberta Securities Act. Through implementation of PFMI, NGX qualifies for purposes of the Basel Capital Rules as a Qualified Central Counterparty (QCCP). Financial institutions are required to reserve capital for all exposures, including clearinghouses. Under Basel III agreement, QCCPs attract a very low capital charge (2% of outright exposures and collateral postings). 25
26 NGX 10 th Floor, th Avenue SW Calgary, Alberta Canada T2P 3C4 26 Phone: Fax:
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