Nasdaq Clearing has decided to make changes to a number of collateral haircuts in "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:
| Time to maturity | Current value after haircut | New value after haircut | Change | |
| Austrian Government Bills and Bonds | 0-5Y | 96,0% | 97,0% | 1,0% |
| 5-10Y | 93,0% | 94,0% | 1,0% | |
| 10-20Y | 88,0% | 89,0% | 1,0% | |
| 20-30Y | 82,0% | 84,0% | 2,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| British Government Bills and Bonds | 0-5Y | 96,0% | 97,0% | 1,0% |
| 5-10Y | 91,5% | 92,0% | 0,5% | |
| 10-20Y | 82,5% | 84,0% | 1,5% | |
| 20-30Y | 73,0% | 75,0% | 2,0% | |
| >30Y | 65,5% | 69,0% | 3,5% | |
| Danish Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 95,0% | 1,0% | |
| 10-20Y | 90,0% | 90,0% | 0,0% | |
| 20-30Y | 85,0% | 88,0% | 3,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Dutch Government Bills and Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 94,0% | 95,0% | 1,0% | |
| 10-20Y | 89,0% | 92,0% | 3,0% | |
| 20-30Y | 83,0% | 87,0% | 4,0% | |
| >30Y | 80,0% | 85,0% | 5,0% | |
| Finnish Government Bills and Bonds | 0-5Y | 95,0% | 96,0% | 1,0% |
| 5-10Y | 93,0% | 93,0% | 0,0% | |
| 10-20Y | 88,0% | 90,0% | 2,0% | |
| 20-30Y | 80,0% | 84,0% | 4,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| French Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 93,0% | 94,0% | 1,0% | |
| 10-20Y | 88,0% | 88,0% | 0,0% | |
| 20-30Y | 83,0% | 83,0% | 0,0% | |
| >30Y | 75,0% | 77,0% | 2,0% | |
| German Government Bills and Bonds | 0-5Y | 96,0% | 96,0% | 0,0% |
| 5-10Y | 94,0% | 94,0% | 0,0% | |
| 10-20Y | 88,0% | 91,0% | 3,0% | |
| 20-30Y | 82,0% | 86,0% | 4,0% | |
| >30Y | 80,0% | 85,0% | 5,0% | |
| Kommuninvest Bonds | 0-5Y | 95,0% | 95,0% | 0,0% |
| 5-10Y | 94,0% | 94,0% | 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 | 96,0% | 97,0% | 1,0% |
| 5-10Y | 93,0% | 94,0% | 1,0% | |
| 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 | 94,0% | 93,5% | -0,5% | |
| 10-20Y | 90,0% | 88,5% | -1,5% | |
| 20-30Y | 85,0% | 84,0% | -1,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| World Bank Green Bonds | 0-5Y | 97,0% | 97,0% | 0,0% |
| 5-10Y | 95,0% | 96,0% | 1,0% | |
| 10-20Y | 87,0% | 87,0% | 0,0% | |
| 20-30Y | 80,0% | 80,0% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Swedish Covered Bonds | 0-5Y | 93,0% | 94,0% | 1,0% |
| 5-10Y | 90,0% | 91,5% | 1,5% | |
| 10-20Y | 86,5% | 86,5% | 0,0% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% | |
| Danish Covered Bonds | 0-5Y | 93,0% | 94,0% | 1,0% |
| 5-10Y | 90,0% | 91,5% | 1,5% | |
| 10-20Y | 86,5% | 86,5% | 0,0% | |
| 20-30Y | 78,5% | 78,5% | 0,0% | |
| >30Y | 70,0% | 70,0% | 0,0% |
| Share | Current value after haircut | New value after haircut | Change |
| Assa Abloy B | 70% | 68% | -2% |
| Boliden | 53% | 52% | -1% |
| Electrolux B | 65% | 64% | -1% |
| Lundin Petroleum | 58% | 57% | -1% |
| Tele 2 B | 70% | 62% | -8% |
| Volvo B | 71% | 67% | -4% |
The changes will come into force 2015-10-14
Attached document:
Appendix 14 - Collateral list – 2015-10-14
Default Fund Policy Paper - Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2015-10-14
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or riskmanagement@nasdaq.com
NASDAQ OMX Derivatives Markets
Clearing Risk Management
