Nasdaq Derivatives Markets has decided to make changes to Appendix 14 of the Clearing Rules of NASDAQ OMX Derivatives Markets - Collateral List and Appendix 5 of the Default Fund Policy Paper – Eligible Funds.
The following changes have been made:
- A new point, P, has been added under General Conditions in Appendix 14 of the Clearing Rules of NASDAQ OMX Derivatives Markets - Collateral List (Point J in Appendix 5 of the Default Fund Policy Paper – Eligible Funds) :
P) The Clearing House is, according to article 39 and Annex I of Commission Delegated Regulation (EU) No 153/2013 supplementing EMIR, only allowed to accept highly liquid financial instruments fulfilling the criteria of having low credit- and market risk. In cases where individual financial instruments fail to fulfill these criteria, based upon the Clearing House’s internal assessment, the instruments will be removed as eligible collateral. The removal of such instruments will be done at the Clearing House’s full discretion.
- Updates to haircuts:
| Time to maturity | Current value after haircut | New value after haircut | Change | |
| Austrian Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 94,0% | 0,0% | |
| 10-20Y | 89,0% | 89,5% | 0,5% | |
| 20-30Y | 84,0% | 84,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 84,0% | 84,5% | 0,5% | |
| 20-30Y | 75,0% | 76,0% | 1,0% | |
| >30Y | 69,0% | 69,0% | 0,0% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 95,0% | 95,5% | 0,5% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 88,0% | 89,0% | 1,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Dutch Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 95,0% | 95,5% | 0,5% | |
| 10-20Y | 92,0% | 92,0% | 0,0% | |
| 20-30Y | 87,0% | 87,5% | 0,5% | |
| >30Y | 85,0% | 85,0% | 0,0% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 93,0% | 94,0% | 1,0% | |
| 10-20Y | 90,0% | 90,5% | 0,5% | |
| 20-30Y | 84,0% | 83,5% | -0,5% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 96,0% | 96,5% | 0,5% |
| 5-10Y | 94,0% | 93,5% | -0,5% | |
| 10-20Y | 88,0% | 88,0% | 0,0% | |
| 20-30Y | 83,0% | 82,0% | -1,0% | |
| >30Y | 77,0% | 76,5% | -0,5% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,5% | 0,5% |
| 5-10Y | 94,0% | 95,5% | 1,5% | |
| 10-20Y | 91,0% | 91,0% | 0,0% | |
| 20-30Y | 86,0% | 86,0% | 0,0% | |
| >30Y | 85,0% | 85,0% | 0,0% | |
| Kommuninvest Bonds | 0-5Y | 95,0% | 95,0% | 0,0% |
| 5-10Y | 94,0% | 95,0% | 1,0% | |
| 10-20Y | 87,0% | 87,0% | 0,0% | |
| 20-30Y | 80,0% | 80,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Norwegian Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 95,0% | 1,0% | |
| 10-20Y | 87,0% | 87,0% | 0,0% | |
| 20-30Y | 80,0% | 80,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 93,5% | 94,0% | 0,5% | |
| 10-20Y | 88,5% | 89,5% | 1,0% | |
| 20-30Y | 84,0% | 85,5% | 1,5% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| World Bank Green Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 96,0% | 96,0% | 0,0% | |
| 10-20Y | 87,0% | 87,0% | 0,0% | |
| 20-30Y | 80,0% | 80,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 91,0% | -0,5% | |
| 10-20Y | 86,5% | 86,0% | -0,5% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 91,0% | -0,5% | |
| 10-20Y | 86,5% | 86,0% | -0,5% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
- The MTG B share is removed as eligible collateral in in conjunction with the semi-annual update of OMXS30
- The Fingerprint Cards share is not added as eligible collateral sine it fails to fulfill the criteria of low market risk (please see point 1 above).
The changes will come into force 2016-01-05
Attached documents:
Appendix 14 - Collateral list – 2016-01- 05
Default Fund Policy Paper - Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2016-01-05
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or riskmanagement@nasdaq.com
NASDAQ OMX Derivatives Markets
Clearing Risk Management
