Risk Management: Risk Management 13/21: Collateral haircut updates

Notification of changes to: Appendix 14 of the Clearing Rules of Nasdaq     
 Derivatives Markets - Collateral List                     

Nasdaq Derivatives Market has decided to make changes to Appendix 14 of the   
 Clearing Rules of Nasdaq Derivatives Markets - Collateral List         


The following changes have been made:

Updates of haircuts:



Collateral        Time to   Current Value   New Value After Change
             Maturity   After Haircut   Haircut        
Austrian Government    0-5 years       96,00%      97,00%  1,00%
 Bills and Bonds                                
Austrian Government    5-10 years       93,50%      95,00%  1,50%
 Bills and Bonds                                
Austrian Government   10-20 years       90,00%      90,50%  0,50%
 Bills and Bonds                                
Danish Government Bills  5-10 years       95,00%      96,50%  1,50%
 and Bonds                                   
Danish Government Bills 10-20 years       92,00%      93,50%  1,50%
 and Bonds                                   
Dutch Government Bills  5-10 years       94,50%      96,00%  1,50%
 and Bonds                                   
Dutch Government Bills  10-20 years       89,50%      92,50%  3,00%
 and Bonds                                   
Finnish Government     0-5 years       95,00%      97,00%  2,00%
 Bills and Bonds                                
Finnish Government    5-10 years       92,50%      95,50%  3,00%
 Bills and Bonds                                
Finnish Government    10-20 years       88,00%      90,50%  2,50%
 Bills and Bonds                                
French Government Bills  0-5 years       96,50%      97,00%  0,50%
 and Bonds                                   
French Government Bills  5-10 years       91,50%      94,50%  3,00%
 and Bonds                                   
French Government Bills 10-20 years       84,50%      90,50%  6,00%
 and Bonds                                   
German Government Bills  0-5 years       94,50%      97,00%  2,50%
 and Bonds                                   
German Government Bills  5-10 years       94,00%      95,50%  1,50%
 and Bonds                                   
German Government Bills 10-20 years       90,50%      93,00%  2,50%
 and Bonds                                   
Norwegian Government    0-5 years       96,50%      97,00%  0,50%
 Bills and Bonds                                
Norwegian Government   5-10 years       87,50%      94,50%  7,00%
 Bills and Bonds                                
Norwegian Government   10-20 years       87,00%      93,50%  6,50%
 Bills and Bonds                                
Swedish Government    5-10 years       94,50%      95,00%  0,50%
 Bills and Bonds                                
Swedish Government    10-20 years       91,00%      92,50%  1,50%
 Bills and Bonds                                
British Government     0-5 years       96,50%      97,00%  0,50%
 Bills and Bonds                                
British Government    5-10 years       92,50%      93,50%  1,00%
 Bills and Bonds                                
British Government    10-20 years       86,50%      90,00%  3,50%
 Bills and Bonds                                
Swedish Covered Bonds   0-5 years       93,50%      94,00%  0,50%
Swedish Covered Bonds   5-10 years       88,50%      93,50%  5,00%
Swedish Covered Bonds  10-20 years       80,00%      84,00%  4,00%
Danish Covered Bonds    0-5 years       89,00%      94,50%  5,50%
Danish Covered Bonds   5-10 years       79,00%      84,50%  5,50%
Danish Covered Bonds   10-20 years       79,00%      76,50% -2,50%
Norwegian Covered Bonds  0-5 years       92,00%      92,50%  0,50%
Norwegian Covered Bonds  5-10 years       92,00%      92,50%  0,50%



The changes will come into force 2021-07-14

For further information regarding this exchange notice please contact Clearing 
 Risk Management, telephone [phone], or [e-mail].    


Nasdaq Derivatives Market

Clearing Risk Management