NASDAQ OMX will harmonize its valuation of bond forwards so that all will have the same rounding rules when calculating market values. Currently the bond forwards with a synthetic bond (R, ST and SB-contracts) use nine decimals when rounding the clean price in the market value calculations and the bond forwards with an actual bond (NBHYP and SPA-contracts) as underlying use three decimals. The impending change will apply to synthetic bond forwards who in the future will be valued with 3 decimals rounding when calculating the clean price from the yield.
This change will NOT affect monthly cash settlement amounts or final settlement amounts. It will only affect the market value calculations and marginally the margin calculations.
For questions, please contact Henrik Jerberyd or Jesper Bruzelius.
Henrik Jerberyd Jesper Bruzelius
henrik.jerberyd@nasdaqomx.com jesper.bruzelius@nasdaqomx.com
+46 8 405 6511 +46 8 405 7002
Fixed Income Markets Risk Management