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 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:
1. Updates of haircuts:
Time to Current value New value after Change maturity after haircut haircut -------------------------------------------------------------------------------- Austrian Government 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,5% 96,5% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,5% 97,0% 0,5% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,0% 96,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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
Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=587277
The following changes have been made:
1. Updates of haircuts:
Time to Current value New value after Change maturity after haircut haircut -------------------------------------------------------------------------------- Austrian Government 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,5% 96,5% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,5% 97,0% 0,5% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 96,0% 96,0% 0,0% and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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 0-5Y 97,0% 97,0% 0,0% Bills and Bonds -------------------------------------------------------------------------------- 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
Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=587277