Risk Management 9/16

Notification of 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


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:

  1. 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 89,5% 89,0% -0,5%
  20-30Y 84,0% 83,5% -0,5%
  >30Y 70,0% 82,0% 12,0%
British Government Bills and Bonds 0-5Y 97,0% 97,0% 0,0%
  5-10Y 92,0% 92,5% 0,5%
  10-20Y 84,5% 84,5% 0,0%
  20-30Y 76,0% 75,0% -1,0%
  >30Y 69,0% 68,5% -0,5%
Danish Government Bills and Bonds 0-5Y 97,0% 97,0% 0,0%
  5-10Y 95,5% 96,0% 0,5%
  10-20Y 90,0% 90,0% 0,0%
  20-30Y 89,0% 90,0% 1,0%
  >30Y 70,0% 70,0% 0,0%
Dutch Government Bills and Bonds 0-5Y 97,0% 97,0% 0,0%
  5-10Y 95,5% 96,0% 0,5%
  10-20Y 92,0% 92,5% 0,5%
  20-30Y 87,5% 88,5% 1,0%
  >30Y 85,0% 86,5% 1,5%
Finnish Government Bills and Bonds 0-5Y 96,0% 96,5% 0,5%
  5-10Y 94,0% 95,0% 1,0%
  10-20Y 90,5% 92,0% 1,5%
  20-30Y 83,5% 86,0% 2,5%
  >30Y 70,0% 70,0% 0,0%
French Government Bills and Bonds 0-5Y 96,5% 97,0% 0,5%
  5-10Y 93,5% 93,0% -0,5%
  10-20Y 88,0% 87,0% -1,0%
  20-30Y 82,0% 80,5% -1,5%
  >30Y 76,5% 74,0% -2,5%
German Government Bills and Bonds 0-5Y 96,5% 96,0% -0,5%
  5-10Y 95,5% 95,0% -0,5%
  10-20Y 91,0% 91,5% 0,5%
  20-30Y 86,0% 87,0% 1,0%
  >30Y 85,0% 86,0% 1,0%
Kommuninvest Bonds 0-5Y 95,0% 95,0% 0,0%
  5-10Y 95,0% 95,0% 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%
Norwegian Government Bills and Bonds 0-5Y 97,0% 97,0% 0,0%
  5-10Y 95,0% 94,5% -0,5%
  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 94,0% 95,0% 1,0%
  10-20Y 89,5% 91,0% 1,5%
  20-30Y 85,5% 87,0% 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% 83,5% 3,5%
  >30Y 70,0% 70,0% 0,0%
Swedish Covered Bonds 0-5Y 94,0% 94,0% 0,0%
  5-10Y 91,0% 91,5% 0,5%
  10-20Y 86,0% 86,5% 0,5%
  20-30Y 78,5% 79,5% 1,0%
  >30Y 70,0% 70,0% 0,0%
Danish Covered Bonds 0-5Y 94,0% 94,0% 0,0%
  5-10Y 91,0% 91,5% 0,5%
  10-20Y 86,0% 86,5% 0,5%
  20-30Y 78,5% 79,5% 1,0%
  >30Y 70,0% 70,0% 0,0%

 

Share Current value after haircut New value after haircut Change
Atlas Copco A 71% 70% -1%
Atlas Copco B 71% 69% -2%
Lundin Petroleum 57% 55% -2%
SSAB A 65% 64% -1%

 

The changes will come into force 2016-04-06

Attached documents:

Appendix 14 - Collateral list – 2016-04- 06

Default Fund Policy Paper - Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2016-04-06

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


Attachments

Default Fund Policy Paper - Appendix 5 - Eligible Funds (Default Fund and Loss Sharing Pool) 2016-04-06.pdf Appendix 14 - Collateral List - 2016-04-06.pdf