Nasdaq Derivatives Markets:
Notification of changes to:
Appendix 13 of the Clearing Rules of Nasdaq Derivatives Markets – Parameter Value List
The following changes will be made:
- Removal of window group 1 for the OMS2 margin model (group contents OMXS30, OMXSB, XACTOMXS30). Margin correlation offset between these underlying instruments will be removed
- Change of threshold values for margin concentration scaling
- Market group Swedish Index and Swedish Flex Index: Threshold nr 1 from MSEK 1.000 to MSEK 1.300
- Market group Swedish Index and Swedish Flex Index: Threshold nr 2 from MSEK 1.300 to MSEK 2.000
- Market group Swedish Bond: Threshold nr 2 from MSEK 2.500 to MSEK 2.400
- Addition of a margin concentration limit on Client Accounts used for clearing of Generic Rates Instruments in respect of Clients that also act, in a different capacity, as a Clearing Member on other accounts with the CCP
The above changes will come into force 2015-04-29.
Attached document: Appendix 13 – Parameter Value list – 2015-04-29
Parameter Value List
Change of Margin parameters for OMS2 and CFM. See attached document.
Attached document: Parameter Value List 2015-04-29
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or riskmanagement@nasdaq.com
Nasdaq Derivatives Markets
Clearing Risk Management
Legal disclaimer: This Exchange Notice is provided only as notification to NASDAQ OMX Derivatives Markets participants and other contracting parties of NASDAQ OMX Derivatives Markets and is not intended for any other purposes. Prior to taking any action based on the above information, the Rules and Regulations of NASDAQ OMX Derivatives Markets (“Rules”) should be fully understood. NASDAQ OMX Derivatives Markets is not responsible for any misinterpretation of the information provided in this Exchange Notice. Subject to the Rules, NASDAQ OMX Derivatives Markets assumes no liability for the accuracy or completeness of the contained information or for any damages arising from actions taken on the basis of this Exchange Notice.
