NASDAQ is introducing daily cash settlement on all standardized fixed income derivatives that are currently offered as forwards with monthly cash settlement. The daily settled fixed income derivatives will replace the fixed income Forwards after a transition period during which both the Forward and the Futures contracts are available for clearing.
Together with the introduction of daily cash settlement, discounting of settlement amounts will become inapplicable on all contracts. There will also be changes specifically to the Nordea Hypotek and Swedbank Hypotek contracts where a synthetic underlying bond instead of physical underlying will be introduced.
The daily settled products will be completely off-settable, traded at yield, and profit/loss will be settled on a daily basis. The introduction of daily cash settled derivatives is driven by members demand for capital efficient products.
NASDAQ will launch the full technical solution for the new Futures contracts on June 15th 2015 with the technical release of Genium INET 4.0.0250. In order to allow sufficient time for market participants to prepare for the new contract types, the first trade day for Futures contracts will be on November 2nd 2015.
Please find attached a scope document and details regarding listing of new instruments.
For further information concerning this exchange notice, please contact Natalie Allam at +46 73 449 6237, or fixedincomesweden@nasdaq.com
