NASDAQ OMX is making changes to Appendix 14 of NASDAQ OMX Derivatives Market Clearing Rules and to Appendix 5 of NASDAQ OMX Default Fund Policy Paper – Eligible Funds. The changes will come into force 29 November 2013.
The following changes are made:
Changes of haircut levels on government bills and bonds and on Kommuninvest bonds:
| Maturity | Previous value after haircut | New value after haircut |
| < 5 years | 5% | 5% |
| 5-10 years | 7% | 7% |
| 11-20 years | 10% | 12,50% |
| 21 - 30 years | 10% | 20% |
| > 30 years | 10% | 30% |
Changes of haircut levels on Swedish and Danish covered bonds:
| Maturity | Previous value after haircut | New value after haircut |
| < 5 years | 5% | 7% |
| 5-10 years | 7% | 10% |
| 11-20 years | 10% | 12,50% |
| 21 - 30 years | 10% | 20% |
| > 30 years | 10% | 30% |
Changes of FX haircuts (when a Surplus/Deficit in relation to a Margin Requirement Account is re-calculated into the Margin Requirement Account Base Currency):
| Currency | Previous haircut | New haircut |
| British pounds (GBP) | 7,5% | 10% |
| Danish kronor (DKK) | 7,5% | 10% |
| Euro (EUR) | 7,5% | 10% |
| Norwegian kronor (NOK) | 7,5% | 10% |
| Swedish kronor (SEK) | 7,5% | 10% |
| US dollars (USD) | 7,5% | 10% |
Changes on ETF haircuts:
| ETF Instrument | Previous value after haircut | New value after haircut |
| XACT Norden 30 | 70% | 60% |
| XACT OMXS30 | 70% | 60% |
| XACT OMXS30 | 70% | 60% |
For further information concerning this exchange notice please contact Risk Management European Financial Products, telephone +46 8 405 70 88, or riskmanagement@nasdaqomx.com
NASDAQ OMX Derivatives Markets
Risk Management European Financial Products
