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:
- 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% | 94,5% | 0,5% | |
| 10-20Y | 89,0% | 90,5% | 1,5% | |
| 20-30Y | 83,5% | 85,5% | 2,0% | |
| >30Y | 82,0% | 84,0% | 2,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 92,5% | 94,0% | 1,5% | |
| 10-20Y | 84,5% | 86,5% | 2,0% | |
| 20-30Y | 75,0% | 77,0% | 2,0% | |
| >30Y | 68,5% | 70,5% | 2,0% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 96,0% | 96,5% | 0,5% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 90,0% | 92,0% | 2,0% | |
| >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 | 92,5% | 94,0% | 1,5% | |
| 20-30Y | 88,5% | 90,5% | 2,0% | |
| >30Y | 86,5% | 88,5% | 2,0% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,5% | 96,5% | 0,0% |
| 5-10Y | 95,0% | 94,5% | -0,5% | |
| 10-20Y | 92,0% | 92,0% | 0,0% | |
| 20-30Y | 86,0% | 88,0% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 97,0% | 96,5% | -0,5% |
| 5-10Y | 93,0% | 93,5% | 0,5% | |
| 10-20Y | 87,0% | 88,0% | 1,0% | |
| 20-30Y | 80,5% | 82,5% | 2,0% | |
| >30Y | 74,0% | 76,0% | 2,0% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 95,0% | 95,5% | 0,5% | |
| 10-20Y | 91,5% | 93,5% | 2,0% | |
| 20-30Y | 87,0% | 89,0% | 2,0% | |
| >30Y | 86,0% | 88,0% | 2,0% | |
| 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 | 94,5% | 95,0% | 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 | 95,0% | 94,5% | -0,5% | |
| 10-20Y | 91,0% | 91,0% | 0,0% | |
| 20-30Y | 87,0% | 89,0% | 2,0% | |
| >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 | 83,5% | 85,5% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 92,0% | 0,5% | |
| 10-20Y | 86,5% | 90,0% | 3,5% | |
| 20-30Y | 79,5% | 85,5% | 6,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 92,0% | 0,5% | |
| 10-20Y | 86,5% | 90,0% | 3,5% | |
| 20-30Y | 79,5% | 85,5% | 6,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
| Share | Current value after haircut | New value after haircut | Change |
| ABB | 68% | 71% | 3% |
| Alfa Laval | 67% | 69% | 2% |
| Assa Abloy B | 68% | 70% | 2% |
| Atlas Copco A | 70% | 71% | 1% |
| Atlas Copco B | 69% | 71% | 2% |
| Boliden | 52% | 57% | 5% |
| Electrolux B | 64% | 66% | 2% |
| Lundin Petroleum | 55% | 56% | 1% |
| Sandvik | 69% | 70% | 1% |
| SCA B | 73% | 74% | 1% |
| Skanska B | 71% | 72% | 1% |
| SSAB A | 64% | 63% | -1% |
| Tele2 B | 62% | 67% | 5% |
| Volvo B | 67% | 68% | 1% |
The changes will come into force 2016-07-19
Attached documents:
Appendix 14 - Collateral list – 2016-07- 19
Default Fund Policy Paper - Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2016-07-19
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
