This is to inform you about an amendment to the Clearing Rules of Nasdaq Commodities, Appendix 10 - Collateral List, effective September 30, 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 updates to haircuts have been made:
| 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 | 94,5% | 94,5% | 0,0% | |
| 10-20Y | 90,5% | 90,5% | 0,0% | |
| 20-30Y | 85,5% | 86,5% | 1,0% | |
| >30Y | 84,0% | 84,0% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 93,0% | -1,0% | |
| 10-20Y | 86,5% | 88,5% | 2,0% | |
| 20-30Y | 77,0% | 79,0% | 2,0% | |
| >30Y | 70,5% | 72,5% | 2,0% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 96,5% | 96,5% | 0,0% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 92,0% | 92,0% | 0,0% | |
| >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 | 94,0% | 94,0% | 0,0% | |
| 20-30Y | 90,5% | 90,5% | 0,0% | |
| >30Y | 88,5% | 90,0% | 1,5% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,5% | 96,5% | 0,0% |
| 5-10Y | 94,5% | 95,0% | 0,5% | |
| 10-20Y | 92,0% | 92,0% | 0,0% | |
| 20-30Y | 88,0% | 88,5% | 0,5% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 96,5% | 97,0% | 0,5% |
| 5-10Y | 93,5% | 93,5% | 0,0% | |
| 10-20Y | 88,0% | 88,0% | 0,0% | |
| 20-30Y | 82,5% | 85,5% | 3,0% | |
| >30Y | 76,0% | 78,0% | 2,0% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 95,5% | 95,5% | 0,0% | |
| 10-20Y | 93,5% | 93,5% | 0,0% | |
| 20-30Y | 89,0% | 89,5% | 0,5% | |
| >30Y | 88,0% | 88,0% | 0,0% | |
| 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 | 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% | |
| Swedish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,5% | 94,5% | 0,0% | |
| 10-20Y | 91,0% | 91,0% | 0,0% | |
| 20-30Y | 89,0% | 90,0% | 1,0% | |
| >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 | 85,5% | 85,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 95,0% | 1,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 88,5% | 90,0% | 1,5% | |
| 20-30Y | 81,5% | 83,5% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 95,0% | 1,0% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 88,5% | 90,0% | 1,5% | |
| 20-30Y | 81,5% | 83,5% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
| Share | Current value after haircut | New value after haircut | Change |
| SSAB A | 63% | 65% | 2% |
For further information, please contact Nasdaq Commodities:
Maria Nehlin, Head of Credit Risk, phone + 46 8 405 6574/+46 73 449 6574 maria.nehlin@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 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 Oslo ASA are subject to clearing with Nasdaq Clearing.
About Nasdaq Clearing
Nasdaq Clearing is the trade name of Nasdaq 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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