According to the Clearing Rules of NASDAQ OMX Derivatives Markets, Appendix 14 (link below), French government bills and bonds shall have a rating of AA+ (S&P) and/or Aa1 (Moody’s) in order to be eligible as collateral, where the lowest of the two ratings is applicable.
After the downgrade of the French Republic by S&P from AA+ to AA on 8 November 2013, French government bills and bonds do not longer fulfill the minimum rating criteria as stipulated in the Clearing Rules of NASDAQ OMX Derivatives Markets and will be removed as eligible collateral.
French government bills and bonds will cease to be eligible as collateral 20 November 2013. Any French government bills and bonds posted as collateral end of day 20 November 2013 will be valued at zero.
For further information concerning this exchange notice please contact:
risk.management@nasdaqomx.com, or telephone +46 8 405 60 00.