NASDAQ OMX Nordic: Equity derivatives: Introduction of Basis Trade at Close on index futures (152/23)

As of June 19, 2023, Nasdaq Derivatives Markets (Nasdaq Stockholm AB) will
introduce Basis Trade at Close (BTC) functionality on index futures. 

Basis trades are quoted and agreed in terms of the difference between the
futures price and today's closing values of the underlying index. Technically,
basis trades are defined as separate instruments with their own order books.
This allows Members to enter orders and trades with a price expressed as a
differential in index points, which is to be added to that day's index closing
value to set the actual futures price. The differential can be a positive,
negative or zero value. 

The basis instruments executed during the continuous trading phase are
converted by the clearing system during evening processing to the referenced
index futures, whereby a reversed transaction is made to the basis trade and
new trade is created for the index future. 

Basis trading will be available for the first two expiration months on the
OMXS30, OMXESG, OMXO20 and OMXC25 index futures. 



Instrument specification

The following is a brief description of the instrument specification of basis
trade. Further information is made available in the draft Marked Model (may be
subject to change): 

https://www.nasdaq.com/market-regulation/nordics/derivatives-rules



Underlyi OMXS30, OMXESG, OMXC25 and OMXO20 index                
ng                                       
--------------------------------------------------------------------------------
Underlyi Index                                 
ng Type                                     
--------------------------------------------------------------------------------
Instrume [Underlying] + [Year] + [Month] + "BT". E.g. "OMXS303GBT" for the BTC 
nt     instrument settling into OMXS303G (OMXS30 Jul'23 Fut).        
 Symbolo                                    
gy                                       
--------------------------------------------------------------------------------
Contract 100 (1 basis contract is novated into 1 index future)         
 Size                                      
--------------------------------------------------------------------------------
Expiries First two expiries for the corresponding reference instruments for the
      respective indices (front- and first back months)          
--------------------------------------------------------------------------------
Price   In terms of the Basis in index points (differential between future and
 Quotati  index cash values)                          
on                                       
--------------------------------------------------------------------------------
Tick                                    0.01
 Size                                      
--------------------------------------------------------------------------------
Order   Limit, reserve and market orders (no stops) and quotes accepted for  
 Book   continuous trading in price/time priority during regular trading   
 Trading  hours of the respective reference instruments. No auctions or    
      extended hours trading.                       
--------------------------------------------------------------------------------
Off-Book 09:00 - 19:30                             
 Trade                                     
 Entry                                     
--------------------------------------------------------------------------------
First   On the expiration date of the nearest expiry of the reference product 
 Day of  (the front-month).                          
 Trading                                    
--------------------------------------------------------------------------------
Last Day The business day before the expiration date of the reference     
 of    instrument.                             
 Trading                                    
--------------------------------------------------------------------------------
Holidays Same as reference instrument.                     
 and                                      
 Half-Da                                    
ys                                       
--------------------------------------------------------------------------------
Minimum  Same as reference instrument.                     
 Block                                     
 Trade                                     
 Size                                      
--------------------------------------------------------------------------------
Deferral Same as reference instrument.                     
 Thresho                                    
ld                                       
--------------------------------------------------------------------------------
Transact Same as reference instrument.                     
ion fees                                    
--------------------------------------------------------------------------------



Technical product information

For further technical product information, please see references to IT-notices
below. 

IT-notice published February 22, 2023:

https://view.news.eu.nasdaq.com/view?id=b558f61582dc01e8389b5084e9b5bd80c&lang=e
n&src=notices 

IT-notice published April 3, 2023:

https://view.news.eu.nasdaq.com/view?id=b46c4b357bc9a013f6f550c6d1e71ffc1&lang=e
n&src=notices 



Member testing

BTC instruments are available for trading in EqD Test and are cleared in
External test system 1 (EXT1). For assistance in testing, please contact
Trading Operations [e-mail] or the Nasdaq Clearing
Operations team at [e-mail] or [phone]. 

For further information concerning this exchange notice, members may contact
their respective Nasdaq account manager or product manager Håkan Walden or
Joakim Fernlund, telephone [phone]. 



Nasdaq Derivatives Markets



Håkan Walden

Product Manager, Equity Derivatives

Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=1146304