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NASDAQ OMX - Risk Management 16/16

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 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:

  1. 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

Source: GlobeNewswire