Nasdaq Derivatives Market 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:
- Updates of 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 | 94,5% | 94,5% | 0,0% | |
| 10-20Y | 90,5% | 90,5% | 0,0% | |
| 20-30Y | 85,5% | 86,5% | 1,0% | |
| >30Y | 84,0% | 84,0% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 93,0% | -1,0% | |
| 10-20Y | 86,5% | 88,5% | 2,0% | |
| 20-30Y | 77,0% | 79,0% | 2,0% | |
| >30Y | 70,5% | 72,5% | 2,0% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 96,5% | 96,5% | 0,0% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 92,0% | 92,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Dutch Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 96,0% | 96,0% | 0,0% | |
| 10-20Y | 94,0% | 94,0% | 0,0% | |
| 20-30Y | 90,5% | 90,5% | 0,0% | |
| >30Y | 88,5% | 90,0% | 1,5% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,5% | 96,5% | 0,0% |
| 5-10Y | 94,5% | 95,0% | 0,5% | |
| 10-20Y | 92,0% | 92,0% | 0,0% | |
| 20-30Y | 88,0% | 88,5% | 0,5% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 96,5% | 97,0% | 0,5% |
| 5-10Y | 93,5% | 93,5% | 0,0% | |
| 10-20Y | 88,0% | 88,0% | 0,0% | |
| 20-30Y | 82,5% | 85,5% | 3,0% | |
| >30Y | 76,0% | 78,0% | 2,0% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 95,5% | 95,5% | 0,0% | |
| 10-20Y | 93,5% | 93,5% | 0,0% | |
| 20-30Y | 89,0% | 89,5% | 0,5% | |
| >30Y | 88,0% | 88,0% | 0,0% | |
| 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% | 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% | |
| Swedish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,5% | 94,5% | 0,0% | |
| 10-20Y | 91,0% | 91,0% | 0,0% | |
| 20-30Y | 89,0% | 90,0% | 1,0% | |
| >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 | 85,5% | 85,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 95,0% | 1,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 88,5% | 90,0% | 1,5% | |
| 20-30Y | 81,5% | 83,5% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 95,0% | 1,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 88,5% | 90,0% | 1,5% | |
| 20-30Y | 81,5% | 83,5% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
| Share | Current value after haircut | New value after haircut | Change |
| SSAB A | 63% | 65% | 2% |
The changes will come into force 2016-09-30
Attached documents:
Appendix 14 – Collateral List – 2016-09-30
Default Fund Policy Paper – Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2016-09-30
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or riskmanagement@nasdaq.com.
Nasdaq Clearing
Clearing Risk Management
