This is to inform you about an amendment to the Clearing Rules of Nasdaq Commodities, Appendix 10 - Collateral List, effective January 5, 2016.
For updated Appendix 10, Collateral List, please see upcoming changes to rules here .
The changes will also be reflected in Appendix 5 of the Default Fund Policy paper, Eligible Funds. The document can be found here and will be updated in due time.
The following changes have been made:
- A new point, P, has been added under General Conditions in Appendix 14 of the Clearing Rules of NASDAQ OMX Derivatives Markets - Collateral List (Point J in Appendix 5 of the Default Fund Policy Paper – Eligible Funds) :
P) The Clearing House is, according to article 39 and Annex I of Commission Delegated Regulation (EU) No 153/2013 supplementing EMIR, only allowed to accept highly liquid financial instruments fulfilling the criteria of having low credit- and market risk. In cases where individual financial instruments fail to fulfill these criteria, based upon the Clearing House’s internal assessment, the instruments will be removed as eligible collateral. The removal of such instruments will be done at the Clearing House’s full discretion.
- 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% | 94,0% | 0,0% | |
| 10-20Y | 89,0% | 89,5% | 0,5% | |
| 20-30Y | 84,0% | 84,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 84,0% | 84,5% | 0,5% | |
| 20-30Y | 75,0% | 76,0% | 1,0% | |
| >30Y | 69,0% | 69,0% | 0,0% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 95,0% | 95,5% | 0,5% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 88,0% | 89,0% | 1,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Dutch Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 95,0% | 95,5% | 0,5% | |
| 10-20Y | 92,0% | 92,0% | 0,0% | |
| 20-30Y | 87,0% | 87,5% | 0,5% | |
| >30Y | 85,0% | 85,0% | 0,0% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 93,0% | 94,0% | 1,0% | |
| 10-20Y | 90,0% | 90,5% | 0,5% | |
| 20-30Y | 84,0% | 83,5% | -0,5% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 96,0% | 96,5% | 0,5% |
| 5-10Y | 94,0% | 93,5% | -0,5% | |
| 10-20Y | 88,0% | 88,0% | 0,0% | |
| 20-30Y | 83,0% | 82,0% | -1,0% | |
| >30Y | 77,0% | 76,5% | -0,5% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,5% | 0,5% |
| 5-10Y | 94,0% | 95,5% | 1,5% | |
| 10-20Y | 91,0% | 91,0% | 0,0% | |
| 20-30Y | 86,0% | 86,0% | 0,0% | |
| >30Y | 85,0% | 85,0% | 0,0% | |
| Kommuninvest Bonds | 0-5Y | 95,0% | 95,0% | 0,0% |
| 5-10Y | 94,0% | 95,0% | 1,0% | |
| 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 | 94,0% | 95,0% | 1,0% | |
| 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 | 93,5% | 94,0% | 0,5% | |
| 10-20Y | 88,5% | 89,5% | 1,0% | |
| 20-30Y | 84,0% | 85,5% | 1,5% | |
| >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 | 80,0% | 80,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 91,0% | -0,5% | |
| 10-20Y | 86,5% | 86,0% | -0,5% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 94,0% | 0,0% |
| 5-10Y | 91,5% | 91,0% | -0,5% | |
| 10-20Y | 86,5% | 86,0% | -0,5% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
- The MTG B share is removed as eligible collateral in in conjunction with the semi-annual update of OMXS30
- The Fingerprint Cards share is not added as eligible collateral sine it fails to fulfill the criteria of low market risk (please see point 1 above).
For further information, please contact Nasdaq Commodities:
Ulrika Christensen, Head of Credit Risk, phone +46 8405 6778/+46 73449 6778, ulrika.christensen@nasdaq.com
Media contact:
Sara Aadnesen, Director Corporate Communications, phone +47 9060 0759, sara.aadnesen@nasdaq.com
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About Nasdaq Commodities
Nasdaq Commodities is the brand name for the worldwide suite of commodity related products and services offered by Nasdaq. The Nasdaq Commodities offerings include power, natural gas and carbon emission markets, tanker and dry cargo freight, fuel oil, seafood derivatives, iron ore, electricity certificates and clearing services.
NASDAQ OMX Oslo ASA is the commodity derivatives exchange authorized by the Norwegian Ministry of Finance and supervised by the Norwegian Financial Supervisory Authority. All trades with NASDAQ OMX Oslo ASA are subject to clearing with Nasdaq Clearing.
About Nasdaq Clearing
Nasdaq Clearing is the trade name of NASDAQ OMX Clearing AB which is authorized and supervised as a multi-asset clearinghouse by the Swedish Financial Supervisory Authority in Sweden as well as authorized to conduct clearing operation in Norway by the Norwegian Ministry of Finance.
For more information, visit www.nasdaqomx.com/commodities
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