NASDAQ is, as previously communicated, introducing daily cash settlement on all standardized fixed income derivatives that are currently offered as forwards with monthly cash settlement. The daily settled fixed income derivatives will replace the fixed income Forwards after a transition period during which both the Forward and the Futures contracts are available for clearing.
The scope of the replacement has been slightly adjusted since the first version that was published on April 15th.
The following changes have been made to the scope document since:
Chapter 6. Market & Price Quotation
- The new quotation instruments will be listed approximately two weeks ahead of first listing day (2nd of November) so that NASDAQ together with Market Makers can verify that prices are in place.
- RIC-Codes from Reuters and market data codes from Bloomberg will be distributed to the market via exchange notice as soon as they are available.
Chapter 11. Testing
- Listing of futures and options contracts will be performed in external test system 1 during the third week of June 2015. Contact fixedincomesweden@nasdaq.com with requests for specific series listings or expiration adjustments in test systems.
Chapter 13. Fees and Rebate Model
- Clarification regarding fee and rebate structure for futures contracts.
Chapter 14. Options on futures
- Clarification that the options will be listed on November 2nd 2015
Appendix 1. STIBOR and NIBOR futures
- The expiration settlement day was previously set to 1 bank day after expiration. It has been corrected to 2 days after expiration which means that the expiration settlement will be settled on IMM instead of on the day before IMM.
- Correction of wording in chapter “Example of cash settlement on Trade Date” where MtM fixing was referring to 3M STIBOR/NIBOR. It has now been corrected to reflect that the fixing used for MtM on trade date is the contract fixing, not the 3M STIBOR/NIBOR.
Please find attached an updated version of the scope document and details regarding listing of new instruments.
For further information concerning this exchange notice, please contact Natalie Allam at +46 73 449 6237, or fixedincomesweden@nasdaq.com
