Risk Management 12/17: Collateral haircut updates
Post# of 301275
Notification of changes to: Appendix 14 of the Clearing Rules of Nasdaq Derivatives Markets - Collateral List and Appendix 5 of the Default Fund Policy Paper - Eligible Funds
Nasdaq Derivatives Market has decided to make changes to Appendix 14 of the Clearing Rules of Nasdaq 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 | 94,0% | 94,0% | 0,0% | |
| 10-20Y | 90,5% | 90,5% | 0,0% | |
| 20-30Y | 87,0% | 84,5% | -2,5% | |
| >30Y | 84,5% | 84,5% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 93,5% | 93,5% | 0,0% | |
| 10-20Y | 89,0% | 89,0% | 0,0% | |
| 20-30Y | 84,5% | 84,0% | -0,5% | |
| >30Y | 80,5% | 76,0% | -4,5% | |
| 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% | 95,5% | 5,5% | |
| 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% | 94,0% | -0,5% | |
| 20-30Y | 92,5% | 90,5% | -2,0% | |
| >30Y | 90,5% | 90,5% | 0,0% | |
| Finnish Government Bills and Bonds | 0-5Y | 96,5% | 97,0% | 0,5% |
| 5-10Y | 95,0% | 95,0% | 0,0% | |
| 10-20Y | 92,5% | 92,5% | 0,0% | |
| 20-30Y | 89,0% | 89,0% | 0,0% | |
| >30Y | 70,0% | 86,3% | 16,3% | |
| French Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 93,0% | 93,5% | 0,5% | |
| 10-20Y | 88,5% | 88,5% | 0,0% | |
| 20-30Y | 86,0% | 86,5% | 0,5% | |
| >30Y | 83,5% | 84,0% | 0,5% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,5% | 0,5% |
| 5-10Y | 95,5% | 95,5% | 0,0% | |
| 10-20Y | 93,5% | 93,0% | -0,5% | |
| 20-30Y | 90,0% | 90,0% | 0,0% | |
| >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% | 95,0% | 0,5% | |
| 10-20Y | 91,5% | 91,5% | 0,0% | |
| 20-30Y | 90,5% | 90,5% | 0,0% | |
| >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 | 86,0% | 86,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 94,0% | 93,5% | -0,5% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 90,0% | 89,5% | -0,5% | |
| 20-30Y | 85,5% | 85,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 94,0% | 93,5% | -0,5% |
| 5-10Y | 92,0% | 92,0% | 0,0% | |
| 10-20Y | 90,0% | 89,5% | -0,5% | |
| 20-30Y | 85,5% | 85,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
| Share | Current value after haircut | New value after haircut | Change |
| ELUX B | 66% | 70% | 4% |
The changes will come into force 2017-05-09.
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or risk.management@nasdaq.com .
Nasdaq 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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