NASDAQ OMX - Risk Management 16/16

8 July 2016

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 maturityCurrent value after haircutNew value after haircutChange
Austrian Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y94,0%94,5%0,5%
 10-20Y89,0%90,5%1,5%
 20-30Y83,5%85,5%2,0%
 >30Y82,0%84,0%2,0%
British Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y92,5%94,0%1,5%
 10-20Y84,5%86,5%2,0%
 20-30Y75,0%77,0%2,0%
 >30Y68,5%70,5%2,0%
Danish Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y96,0%96,5%0,5%
 10-20Y90,0%90,0%0,0%
 20-30Y90,0%92,0%2,0%
 >30Y70,0%70,0%0,0%
Dutch Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y96,0%96,0%0,0%
 10-20Y92,5%94,0%1,5%
 20-30Y88,5%90,5%2,0%
 >30Y86,5%88,5%2,0%
Finnish Government Bills and Bonds0-5Y96,5%96,5%0,0%
 5-10Y95,0%94,5%-0,5%
 10-20Y92,0%92,0%0,0%
 20-30Y86,0%88,0%2,0%
 >30Y70,0%70,0%0,0%
French Government Bills and Bonds0-5Y97,0%96,5%-0,5%
 5-10Y93,0%93,5%0,5%
 10-20Y87,0%88,0%1,0%
 20-30Y80,5%82,5%2,0%
 >30Y74,0%76,0%2,0%
German Government Bills and Bonds0-5Y96,0%96,0%0,0%
 5-10Y95,0%95,5%0,5%
 10-20Y91,5%93,5%2,0%
 20-30Y87,0%89,0%2,0%
 >30Y86,0%88,0%2,0%
Kommuninvest Bonds0-5Y95,0%95,0%0,0%
 5-10Y95,0%95,0%0,0%
 10-20Y87,0%87,0%0,0%
 20-30Y80,0%80,0%0,0%
 >30Y70,0%70,0%0,0%
Norwegian Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y94,5%95,0%0,5%
 10-20Y87,0%87,0%0,0%
 20-30Y80,0%80,0%0,0%
 >30Y70,0%70,0%0,0%
Swedish Government Bills and Bonds0-5Y97,0%97,0%0,0%
 5-10Y95,0%94,5%-0,5%
 10-20Y91,0%91,0%0,0%
 20-30Y87,0%89,0%2,0%
 >30Y70,0%70,0%0,0%
World Bank Green Bonds0-5Y97,0%97,0%0,0%
 5-10Y96,0%96,0%0,0%
 10-20Y87,0%87,0%0,0%
 20-30Y83,5%85,5%2,0%
 >30Y70,0%70,0%0,0%
Swedish Covered Bonds0-5Y94,0%94,0%0,0%
 5-10Y91,5%92,0%0,5%
 10-20Y86,5%90,0%3,5%
 20-30Y79,5%85,5%6,0%
 >30Y70,0%70,0%0,0%
Danish Covered Bonds0-5Y94,0%94,0%0,0%
 5-10Y91,5%92,0%0,5%
 10-20Y86,5%90,0%3,5%
 20-30Y79,5%85,5%6,0%
 >30Y70,0%70,0%0,0%

 

ShareCurrent value after haircutNew value after haircutChange
ABB68%71%3%
Alfa Laval67%69%2%
Assa Abloy B68%70%2%
Atlas Copco A70%71%1%
Atlas Copco B69%71%2%
Boliden52%57%5%
Electrolux B64%66%2%
Lundin Petroleum55%56%1%
Sandvik69%70%1%
SCA B73%74%1%
Skanska B71%72%1%
SSAB A64%63%-1%
Tele2 B62%67%5%
Volvo B67%68%1%

The changes will come into force 2016-07-19

Source: GlobeNewswire

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