Risk Management 28/16: Collateral haircut updates Nasdaq

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News Desk 2018

Dec 16, 2016 at 11:15 AM

Risk Management 28/16: Collateral haircut updates

Nasdaq Derivatives Market 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:

Updates of 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	94,5%	94,0%	-0,5%
	10-20Y	90,5%	90,5%	0,0%
	20-30Y	86,5%	87,0%	0,5%
	>30Y	84,0%	84,5%	0,5%
British Government Bills and Bonds	0-5Y	97,0%	97,0%	0,0%
	5-10Y	93,0%	93,5%	0,5%
	10-20Y	88,5%	89,0%	0,5%
	20-30Y	79,0%	84,5%	5,5%
	>30Y	72,5%	80,5%	8,0%
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	93,0%	93,0%	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	94,5%	94,5%	0,0%
	20-30Y	92,0%	92,5%	0,5%
	>30Y	90,5%	90,5%	0,0%
Finnish Government Bills and Bonds	0-5Y	96,5%	96,5%	0,0%
	5-10Y	95,0%	95,0%	0,0%
	10-20Y	92,5%	92,5%	0,0%
	20-30Y	88,5%	89,0%	0,5%
	>30Y	70,0%	70,0%	0,0%
French Government Bills and Bonds	0-5Y	97,0%	97,0%	0,0%
	5-10Y	93,5%	93,0%	-0,5%
	10-20Y	88,0%	88,5%	0,5%
	20-30Y	85,5%	86,0%	0,5%
	>30Y	78,0%	83,5%	5,5%
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	89,5%	90,0%	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%	91,5%	0,5%
	20-30Y	90,0%	90,5%	0,5%
	>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	85,5%	86,0%	0,5%
	>30Y	70,0%	70,0%	0,0%
Swedish Covered Bonds	0-5Y	95,0%	94,0%	-1,0%
	5-10Y	92,0%	92,0%	0,0%
	10-20Y	90,0%	90,0%	0,0%
	20-30Y	83,5%	85,5%	2,0%
	>30Y	70,0%	70,0%	0,0%
Danish Covered Bonds	0-5Y	95,0%	94,0%	-1,0%
	5-10Y	92,0%	92,0%	0,0%
	10-20Y	90,0%	90,0%	0,0%
	20-30Y	83,5%	85,5%	2,0%
	>30Y	70,0%	70,0%	0,0%

Share	Current value after haircut	New value after haircut	Change
ERIC B	38%	37%	1%
VOLV B	33%	32%	1%

The changes will come into force 2016-12-22

For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or risk.management@nasdaq.com .

NASDAQ OMX Derivatives Market

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.

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