nasdaqomx

Fixed Income Derivatives Products

Central counterparty clearing services are provided for both standardized and non-standardized Swedish, Norwegian and Danish fixed income products. A number of contracts are open for clearing, and can serve as a valuable tool in managing short- or long-term interest rate risk.

The standardized contracts have standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading. The contracts are suitable for both directional trading as well as for different types of spread trading.

Danish Products

Danish Mortgage Bond Future

Nasdaq Offers Clearing of Danish Mortgage Bond Futures


Nasdaq has decided to introduce CCP clearing of a future on Danish mortgage bonds. The contract base is a basket of callable mortgage bonds issued by Nykredit Realkredit, Realkredit Danmark, Nordea Kredit Totalkredit, with final settlement occurring on the settlement date for the underlying bonds. To see the actual portfolio go to Listing notice in the MBF News box.

For many years, the Danish mortgage bond market has provided investors with efficient and liquid investments in the mortgage markets supported by market maker quotes. The new mortgage bond future will add investment opportunities by offering a very efficient way to hedge or adjust portfolio. Trading in the future is supported by market making governed by the Danish Securities Dealer Association.
 

Facts

 
Contract Type Futures contract with daily cash settlement and delivery at Fix on Expiry
Contract Base Size Nominal value of DKK 1,000,000 per contract.
Trading Trading is primarily performed OTC. Market makers are published OTC trades via NASDAQ.
Clearing Trades are reported to NASDAQ OMX Stockholm AB for clearing.
Tick Size 0.001.
Price Clean price expressed in percentage points.
Day Count Conversion Actual/360
Expiration Months March (H), June (M), September (U) and December (Z).
Final Settlement Day Same as coupon date for underlying mortgage bonds, i.e. the first bank day in January, April, July and October.
Expiration Two bank days prior to the final settlement day.
Fixing Median value of indicative bid and offer quotes by market makers.
Offsetting Offsetting can take place during the entire term.
Series Term Three months.

 


 


Vendor Codes

Contract Bloomberg Reuters ISIN Expiration date
30YMBFU5 YYAU5 Comdty 30YMBFU5 SE0007090782 29-09-2015
20YMBFU5 TMBU5 Comdty 20YMBFU5 SE0007090790 29-09-2015
3YMBFU5 YMBU5 Comdty 3YMBFU5 SE0007090774 29-09-2015

 

 

Listing notices

Mortgage Bond Future 30YMBFU5

Mortgage Bond Future 20YMBFU5

Mortgage Bond Future 3YMBFU5


For more information regarding the vendors and their systems please contact them directly.


 


Market Committed Banks

  • Danske Bank
  • Nordea
  • Sydbank
  • SEB
  • Nykredit Bank
  • Jyske Bank
  • SparNord Bank

NASDAQ OMX CIBOR Future

Nasdaq Offers Clearing of CIBOR Futures

Nasdaq has decided to introduce CCP clearing of a CIBOR future. The contract base is a 3 month Copenhagen Interbank Offered Rate, CIBOR. The CIBOR Futures are introduced as the new way to trade and clear Danish FRA contracts. CIBOR Futures are traded on price and with Daily Settlement.

The trading is bilaterally and then the trades are reported to Nasdaq for clearing. There will be 8 CIBOR futures contracts covering a period of twenty-four months. A new contract will open 5 bank days before the expiration of the closest contract.

Trading in the future is supported by market making governed by the Danish Securities Dealer Association.
 

Download: CIBOR Future Quick Reference Guide »

Facts

 
Contract Type: Futures contract with daily cash settlement.
Contract Base: 3 month Copenhagen Interbank Offered Rate, CIBOR.
Trade Currency: Danish kroner (DKK).
Contract Base Size: Nominal value of DKK 1,000,000 per contract.
Trading: Trading is performed OTC.
Clearing: Trades are reported to NASDAQ OMX Stockholm AB for clearing. 
Tick Size: Tick size is 0.005. Tick value is 12.50 Danish kroner.
Future Price: Determined by the parties. The price will be quoted as a price and shall be expressed with three decimals. 
Daily Fix: During the Futures Contract’s Term, Fix shall be determined on behalf of the Exchange in accordance with the following: For each Series in question, an average of CIBOR-FRA forwards contracts bid and ask yields published by each respective market maker shall be calculated at 16.15 CET on the stated day. Only up-to-date quotations which include both bid and ask quotations shall be included in the calculation. Fix shall be the median value of the average prices calculated in accordance with the above. In the event that indicative bid and ask prices are not available, the Exchange may calculate Fix according to other methods. The Exchange shall notify Exchange Members and Clearing Members, on behalf of the member or customer, of the determined Fix. 

Expiration Day Fix:

Fix for the Expiration Day shall normally be determined in accordance with following. The Contract’s final settlement price shall be set by the Exchange at 11:00 a.m. on the Expiration Day and shall be equivalent to Fix = [100 – (3 month CIBOR)]. To set the Expiration Day Fix, the 3 month CIBOR fixing is rounded to the nearest price interval (0.005; 0.01) and is then subtracted from 100. CIBOR, Copenhagen Interbank Offered Rates, shall be deemed to be that interest rate published by Denmark’s National bank or through another such system or on another such picture or page which replaces the above-mentioned system or page and which constitutes the average, with the exception of the highest and lowest quotes, of those interest rates which are posted by certain selected banks in Denmark on the interbank market in Copenhagen for loans in Danish kronor for a period of three months, where there is no listing regarding CIBOR for a period of three months, an interest rate shall be set for a period of three months by interpolating a quote for the nearest shorter period and a quote for the nearest longer period. In the event that the interest period of three months is shorter or longer than that quoted for the shortest or longest period, the quote for the shortest or longest period regarding CIBOR shall be used.
Expiration Day: The Expiration Day is two Bank Days prior to the third Wednesday of the Expiration Month.
Expiration months: March (H), June (M), September (U) and December (Z). 
Expiration Year: The year listed in the Series designation 
Daily Cash Settlement: In order to secure the fulfillment of the Futures Contract, Daily Cash Settlement shall take place every Bank Day from the transaction day until the Expiration Day for the Futures Contracts in accordance with section 4.2.6.2 in these Rules and Regulations. 
Settlement: Payment of Settlement shall occur on the Expiration Settlement Day in accordance with the Exchange’s instructions. 
Expiration Settlement Day: The first Bank day following the Expiration Day. 
Offsetting: Offsetting can take place during the entire term. 
Series Term: Twenty-four months (8 contracts). 
Listing of Series: Series are listed five Bank days before the Expiration of the closest Contract. 
Designation: Contract Base (CIBOR), Expiration Month (H,M,U or Z), Expiration Year (last digit). 

 


Vendor Codes

 

Contract Bloomberg Reuters ISIN Expiration date
CIBORU3   CIBORU3 SE0004075646 16-09-2013
CIBORZ3   CIBORZ3 SE0004260883 16-12-2013
CIBORH4   CIBORH4 SE0004411668 17-03-2014
CIBORM4   CIBORM4 SE0004559813 16-06-2014
CIBORU4   CIBORU4 SE0004735942 15-09-2014
CIBORZ4   CIBORZ4 SE0004852085 15-12-2014
CIBORH5   CIBORH5 SE0005011285 16-03-2015
CIBORM5   CIBORM5 SE0005156833 15-06-2015

 

For more information regarding the vendors and their systems please contact them directly.


Repo Clearing

Nasdaq Offers Clearing of Repo Contracts for Danish Bonds

Nasdaq provides central counterparty clearing services for Repo transactions of bonds listed at Nasdaq Copenhagen.

Bonds that are eligible for Repo clearing are shown below in the “Repo list”. The Repo clearing service will initially cover bullet loans, issued by the Danmarks Nationalbank including the treasury bills. The Service will be expanded to a number of non-callable mortgage bonds, issued by Nykredit Realkredit, Realkredit Danmark, Nordea Kredit, BRF Kredit or DLR Kredit. The Repo list below will continuously be updated with bonds eligible for repo clearing.

The Repo clearing service will have 3 standard contracts for each bond; TN, SN, SW and TW. In addition to the standard contracts tailor made trades within 12 months of the transaction day can also be cleared. 

 



Facts:

Type of contract

Buy-sell-back/Sell-buy-back of a specific security.

Contract Base

Nominal amount 1 000 000 DKK/EUR for each specific security.

Contract Base value

Market value of the specific security (clean price + accrued interest), at Start day.

Seller

The party who first sells and then buys the security.

Buyer 

The party who first buys and then sells the security. 

Transaction day(T)

The day the repo transaction is Registered with the Clearing House. 

Start day (STD) 

The date of the repo’s first settlement transaction, agreed upon by the parties, but earliest the Bank day after Registration, (T+1) and not later than the Bank Day before End day.   

End day (ED)

The date of the repo’s second settlement transaction, agreed upon by the parties, but not earlier than two Bank Days after T and not later than 1 year after T.  

Series Term  (d)

Number of calendar days as of STD until ED.

Clean price

Clean price of the specific security at STD, agreed upon by the parties.

Accrued interest

Refers to the specific security and is calculated as of STD.

Nominal amount (N)

Refers to the specific securities nominal amount, agreed upon by the parties.

Transaction price/repo interest rate (r)

Refers to the repo interest rate, expressed as % with three decimal places, and with ACT/360 day count convention. Agreed upon by the parties.          

Start consideration (SC) amount.

(Clean price + Accrued interest, for each specific security as of STD) /100 x Nominal 

End consideration (EC)

SC x (1+ r/100 x d/360)

Coupon reinvestment

days  (di )

Number of days between the coupon payment day of the specific security and ED.

Adjusted EC (AEC)


AEC is applicable when the coupon payment day of the specific security falls between STD and ED.

Final Time for Registration 

Application for Registration must be received by the Clearing House no later than 19.15 CET normal Bank days

Settlement

Payment of SC and EC are to be settled on STD and ED respectively and in accordance with the Clearing House’s instruction.

Series Term for repo transaction with standard days

T/N, S/W, 1M

Series Term for tailor made  dates

Agreed upon by the parties and designated by STD and ED and takes place in accordance with the Clearing House’s instructions.

Listing of Series

New Series are listed continuously.

Series Designation

Each Series shall be designated by the designation for the specific security, repo type and series term.

Buy-in

If a Clearing Member has not fulfilled its obligation regarding Delivery at 11:00 a.m. on the applicable Settlement Day (S) the Clearing House may immediately send a notification (Buy-in Notification) to the failing Clearing Member. When the failing Clearing Member has been notified the Buy-in enters into force at 11:30 a.m. on (S) unless the securities have been delivered before 11:30 a.m. on (S). When the Buy-in Notification has entered into force the Clearing House has the right to do a reversed repo in the securities that the failing Clearing Member should have delivered in order to fulfill Delivery towards the non-failing member.

The Clearing House will, by way of Buy-in, make reasonable efforts to fulfill Delivery towards the non- failing member on (S). If it is not possible for the Clearing House to get hold of securities corresponding to the full original nominal amount, the Clearing House has the right to deliver a part of the original Delivery on (S).

When the Buy-in enters into force:

- original delivery instruction from the Clearing Member on (S) will not be accepted;

- the Clearing Member shall immediately cancel the matched transaction; and

- the Clearing Member shall, following instructions from the Clearing House, immediately file a new delivery instruction with Delivery to the Clearing House on next Bank Day, S+1, and with the same terms as the original Delivery, i.e. same settlement amount, right to accrued interest etc.

If the failing member indicates, at the time for the Buy-in Notification, that a delivery is likely to fail, the failing Clearing Member and the Clearing House may agree to start the Buy-in procedure immediately. All direct net costs, expenses and fees associated with the Buy-in incurred by the Clearing House will be debited against the failing Clearing Member (including, e.g. VP Securities A/S’s fees for failed delivery).

Postponed Delivery

If a Clearing Member fails to fulfill Delivery on (S) and if the Clearing House cannot complete a Buy-in on (S) of all or part of the original securities to be delivered, the Clearing House has the right, both in relation to the Buyer and to the Seller, to postpone settlement by one Bank Day. The Clearing House shall promptly inform Seller and Buyer of a decision to postpone settlement.

The Contract will then be settled S+1 with equivalent terms as the original Delivery, i.e. same settlement amount, right to accrued interest etc.

All direct net costs, expenses and fees associated with the postponed Delivery incurred by the Clearing House will be will be debited against the failing Clearing Member (including, e.g. VP Securities A/S’s fees for failed delivery).

In addition, all direct net costs, expenses and fees associated with the postponed Delivery incurred by the non-failing Clearing Member will be debited against the failing Clearing Member (including, e.g. VP Securities A/S’s fees for failed delivery), provided that the non-failing Clearing Member presents a claim to the Clearing House for such direct net costs, expenses and fees within five Bank Days calculated from the date of the postponed Delivery. Any amount debited against the failing Clearing Member under this paragraph will be credited against the non-failing Clearing Member.

Listing

Clearing listing



Eligible Bonds for Repo Clearing

Repo list



Market Committed Banks

  • Danske Bank
  • Jyske Bank
  • Nykredit Bank
  • Sydbank
  • Nordea Bank 

Repo clearing contact info:

 
NASDAQ:

 

Business:
Kasper Byrfelt Lund
Kbl@nasdaq.com
+ 45 3377 0352

Clearing Operations
Clearing@nasdaq.com
+46 8 405 6880

Collateral Management Service
Cms@nasdaq.com
+46 8 405 6881

 

Back Office contact to members:

 

Danske Bank:
Nordic.settlement@danskebank.dk / +45 45 13 74 28
Birthe Sørensen: bsre@danskebank.dk / +45 45 14 38 19
Jakob Trap : jaot@danskebank.dk / +45 45 13 87 71

Jyske Bank:
Marianne A Issakson mai@jyskebank.dk / +45 8757 8233
Torben Greil greil@jyskebank.dk / +45 8757 8231

Nordea Bank:
Vp_settlement_FI@nordea.com / +45 3333 2090

Nykredit Bank:
Danish.settlement@nykredit.dk / +45 4455 4952
Dorte Sand dosa@nykredit.dk / + 45 4455 1146

Sydbank:
Genium INET:
ETD@sydbank.dk
Helle Søberg hels@sydbank.dk / +45 7437 3284
Amela Varmaz amva@sydbank.dk / +45 7437 4351
Ole Hansen ole.hansen@sydbank.dk / 45 7437 4373

VP Settlement:
Jytte Damkjær jykd@sydbank.dk / + 45 74374394
Susanne Jensen susje@sydbank.dk / +45 74374357
Lone Lundberg lone.lundberg@sydbank.dk / + 45 74374366


Norwegian Products

3-month NIBOR FRA

NIBOR-FRA - Managing Norwegian Short-Term Interest Rate Risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The NIBOR-FRA contract constitutes a valuable tool in management of Norwegian short-term interest rate risk. Contract base is 3-month NIBOR. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading e.g. 3-month NIBOR against 3-month STIBOR. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 3-month NIBOR FRA

Facts  
Contract standard: Forward contract with cash settlement of the difference between a fixed rate, agreed by the parties, and the reference rate.
The contract base/Reference rate: 3-month Norwegian InterBank Offered Rate, NIBOR.
Size of contract base: NOK 1,000,000
Tick size: 0.0001
Price quotation: The FRA contract price is quoted as simple interest rate with an act/360 day convention.
Trading: Trading is performed bilaterally and trades are reported to Nasdaq Stockholm for Clearing. Trading hours are in accordance with market practice in the Norwegian fixed income market.
First trading day: Same day as expiration of the next contract scheduled for expiration.
Expiration months: March, June, September and December.
Expiration settlement day: Third Wednesday of the expiration month.
Expiration day/Last trading day: Two bank day's prior the expiration settlement day.
Expiration fixing: Fixing of 3 month NIBOR is established at expiration day 12.05 CET.
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place at the last bank day of each calendar month.
Registration: 08.30 – 19.25 on normal bank days.
Last time for registration: 13.00 CET at expiration day

6-month NIBOR FRA

6-month NIBOR-FRA - Managing Norwegian Short-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The NIBOR-FRA contract constitutes a valuable tool in management of Norwegian short-term interest rate risk. Contract base is 6-month NIBOR. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading e.g. 6-month NIBOR against 3-month NIBOR. For the complete description of the contract specification please see Nasdaq Nordic Rules and Regulations.

Download product sheet: 6-month NIBOR FRA

Facts  
Contract standard: Forward contract with cash settlement of the difference between a fixed rate, agreed by the parties, and the reference rate.
The contract base/Reference rate: 6-month Norwegian InterBank Offered Rate, NIBOR.
Size of contract base: NOK 1,000,000
Tick size: 0.0001
Price quotation: The FRA contract price is quoted as simple interest rate with an act/360 day convention.
Trading: Trading is performed OTC and trades are reported to Nasdaq Stockholm for Clearing. Trading hours are in accordance with market practice in the Norwegian fixed income market.
First trading day: Same day as expiration of the next contract scheduled for expiration.
Expiration months: March, June, September and December.
Expiration settlement day: Third Wednesday of the expiration month.
Expiration day/Last trading day: Two bank day's prior the expiration settlement day.
Expiration fixing: Fixing of 6 month NIBOR is established at expiration day 12.05 CET.
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place at the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days.
Last time for registration: 13.00 CET at expiration day

Options on NIBOR FRA

Market Model and Central Counterparty Clearing

NIBOR-FRA options are traded in the current market structure for Norwegian interest rate derivatives. Trades in options will be reached through bilateral negotiations between buyers and sellers, and reported to Nasdaq for central counterparty clearing.

Contract settlement takes place through a bilateral negotiation between buyer and seller. Following settlement, the transaction is reported to Nasdaq Stockholm for clearing. Novation, meaning when the exchange substitutes existing contracts with two new ones, in relation to the buyer and seller takes place when the settlement is matched and collateral has been placed. Subsequently, there is no counterparty relationship between the buyer and seller; instead both parties have the exchange as counterparty.

Contract Base and Settlement Principles

The contract base is one 3-month or 6-month NIBOR-FRA contract with the same expiration settlement day as the relevant option contract. There is only the contract base that is deliverable.
In practice, no payment takes place between the buyer and seller when the contract is cleared; instead, each party receives/pays from/to the exchange (the clearing house).

Settlement and Offsetting

All purchased and sold contracts are entirely off-settable against each other. This means that only one net position is held against the clearing house and, if the contracts sold equals those purchased, the portfolio may be said to be closed in practice. No periodic settlement takes place.

Name Standard

Contracts are listed by the short name 3NFRA or 6NFRA followed by the expiration year, expiration month, the exercise price and type of option (put or call).

Facts

 
Contract type: Option contract with delivery
Contract base: One 3-month or 6-month NIBOR-FRA contract
Contract base size: The nominal value of the NIBOR-FRA contract shall be NOK 1,000,000
Trading: Trades in NIBOR-FRA options will be reached through bilateral negotiations between buyers and sellers, and reported to Nasdaq for central counterparty clearing
Tick size: 0.01
Price/premium: Price expressed as basis points. The premium is multiplied with the options Basis Point Value
Premium settlement day: The second bank day after registration
Exercise price interval: Upon request
Expiration months: March, June, September and December
Expiration settlement day: The third Wednesday of the expiration month
Expiration day/final day of trading: Two bank days prior to the expiration settlement day. Last time to registration is 13.00 CET on the expiration day
Expiration fix: Fixing of 3-month or 6-month NIBOR is established at expiration day at 12.00 CET
Periodic settlement: No periodic settlement
Offsetting: Offsetting can take place during the entire term
Series term: 3-month NIBOR-FRA: Twenty-six months
6-month NIBOR-FRA: Twelve months


Download: Options on NIBOR FRA Factsheet (PDF, 181 kb)

Swedish Products

Riksbank Future

NASDAQ OMX Stockholm AB Offers Clearing of RIBA Future

The monetary policy of the Riksbank (Central Bank of Sweden) is of great significance to interest rates in capital markets. Since the repo rate is the principal interest rate employed by the Riksbank, market players carefully monitor changes in this rate and the signals given by the Riksbank. Expectations regarding future repo rates are key indicators for many players when choosing to take positions in the interest-rate market.
Accordingly, Nasdaq Stockholm has decided to introduce cash-settled futures specifically based on the Riksbank’s repo rate. The contract base is a fictitious loan with a term corresponding to the period between two IMM dates, with final settlement occurring against the average repo rate for the period concerned.

Download:

Facts

 

Contract type:

Futures contract with daily settlement

Contract base:

Fictitious loan extending between two consecutive IMM dates

Contract base size:

Nominal value of SEK 1,000,000

Trades:

Trades in RIBA futures will be reached through bilateral negotiations between buyers and sellers, and reported to Nasdaq for central counterparty clearing.

Tick size:

0.001

Tick value:

Depending on the number of days in the contract base, tick value of SEK 2.528 per contract with 91 day term

Price:

Contract price quoted as compound interest on the repo-rate periods concerned

Day calculation convention:

Actual/360

End months:

March, June, September and December

Final settlement day:

First bank day following end day

Expiration day/final trading day:

Two bank days prior to the third Wednesday of the end month

Daily fix:

Median value of indicative buy and sell interest rates quoted by market makers

Expiration fixing:

The Riksbank’s repo rate between IMM dates in the contract’s end month and the preceding IMM date, expressed as compounded interest

Offsetting:

Offsetting can take place during the entire term

Series term:

Twelve months

 



Vendor Codes

RIBA Contract Bloomberg ThomsonReuters SIX
June 2009 ORIM9 RIBAM9 *-RIBA-M9 
September 2009 ORIU9 RIBAU9 *-RIBA-U9
December 2009 ORIZ9 RIBAZ9 *-RIBA-Z9
March 2010 ORIH0 RIBAH9 *-RIBA-H0
June 2010 ORIM0 RIBAM0 *-RIBA-M0
September 2010 ORIU0 RIBAU0 *-RIBA-U0
December 2010 ORIZ0 RIBAZ0 *-RIBA-Z0
March 2011 ORIH1 RIBAH1 *-RIBA-H1
    Overview 0#RIBA=

 *=contributor
     code

    Chain RIC 0#RIBA:  
Other related codes      
Riksbank reporate   SERP=  
       

 

For more information regarding the vendors and their systems please contact them directly. 


 


Committed Banks

  • Danske Bank
  • Nordea
  • SEB
  • Handelsbanken
  • Swedbank
  • The Royal Bank of Scotland
  • Nykredit

 


Date  
Volume  

 

STIBOR FRA

STIBOR-FRA – Managing Swedish Short-Term Interest Rate Risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The STIBOR-FRA contract constitutes a valuable tool in management of Swedish short-term interest rate risk. Contract base is 3-month STIBOR. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. FRA's against T-Bill futures or STIBOR against NIBOR. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 3-month STIBOR FRA

Facts

 
Contract standard: Forward contract with cash settlement of the difference between a fixed rate, agreed by the parties, and the reference rate.
The contract base/Reference rate: 3-month Stockholm InterBank Offered Rate, STIBOR.
Size of the contract base: SEK 1,000,000
Tick size: 0.0001
Price quotation: The FRA contract price is quoted as simple interest rate with an Act/360 day convention.
Trading: Trading is performed OTC and trades are reported to Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market.
First trading day: One week before last trading day of the next contract scheduled for expiration.
Expiration months: March, June, September and December.
Expiration settlement day: Third Wednesday of the expiration month.
Expiration day/Last trading day: Two bank day's prior the expiration settlement day.
Expiration fixing: Fixing of 3-month STIBOR is established at expiration day 11.05 CET.
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place at the last bank day of each calendar month.
Registration: 08.30 – 17.45 CET on normal bank days.
Last time for registration: 12.00 CET at expiration day.

Options on STIBOR FRA

FRA Options– Managing Swedish short-term interest rate risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The STIBOR-FRA option contract constitutes a valuable tool in management of Swedish short-term interest rate risk. Contract base is the corresponding 3-month STIBOR-FRA contract. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for and trading based on changes in the implied volatility on the options market. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: Options on STIBOR-FRA

Facts

Contract standard: Option contract with delivery of underlying
Style of option: American
The contract base: One 3-month STIBOR-FRA contract.
Size of the contract base: SEK 1,000,000
Tick size: 0.01
Price quotation/Premium: The STIBOR-FRA option contract is quoted in basis points. Premium is multiplied with Basis points Value to receive the premium payment in SEK.
Basis points value: BpV represent the undiscounted value of 1/100 on one percent change in a SEK one million STIBOR-FRA contract.
Trading: Trading is performed OTC and trades are reported to Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market.
Exercise price: The exercise price set forth in the series designation.
Expiration months: March, June, September and December.
Expiration settlement day: Third Wednesday of the expiration month.
Expiration day/Last trading day: Two bank day's prior the expiration settlement day.
Expiration fixing: Fixing of 3-month STIBOR is established at expiration day 11.05 CET.
Series term: Three, six, nine and twelve months
Registration: 08.30 – 19.25 CET on normal bank days.
Last time for registration: 11.00 CET at expiration day.
Periodic settlement: No cash settlement, only delivery of underlying.

2-year Government Bond Forward

R2 - Managing Swedish Long-Term Interest Rate Risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The R2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year Swedish government bond. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. government yield curve spreads like 6-month government risk against 2-year government risk or spreads against mortgage bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 2-year Swedish government bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate.
Contract base: Synthetic Swedish government bond with a maturity of two years at the expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Swedish government bonds with a remaining maturity of two year, or as close to two years as possible, at the expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/Last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

5-year Government Bond Forward

R5 - Managing Swedish Long-Term Interest Rate Risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The R5 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year Swedish government bond. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. government yield curve spreads like 5-year government risk against 10-year government risk or spreads against mortgage bond futures. A combination of cash bonds and futures can be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 5-year Swedish government bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate.
Contract base: Synthetic Swedish government bond with a maturity of five years at the Expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Swedish government bonds with a remaining maturity of five years or as close to five years as possible, at the expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/Last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

10-year Government Forward

R10 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq Stockholm provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The R10 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 10-year Swedish government bond. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. government yield curve spreads like 2-year government risk against 10-year government risk or spreads against mortgage bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations for Derivatives.

Download product sheet: 10-year Swedish government bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate.
Contract base: Synthetic Swedish government bond with a maturity of ten years at the expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Swedish government bonds with a remaining maturity of ten year, or as close to ten years as possible, at the expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/Last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

2-year Stadshypotek Bond Forward

ST 2 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The ST 2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year bond issued by Stadshypotek AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year Stadshypotek risk against 5-year Stadshypotek risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 2-year Stadshypotek Bond Forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: Synthetic bond with Stadshypotek AB as issuer and with a maturity of two years at the Expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Bond issued by Stadshypotek AB and with a duration that deviates as little as possible, compared to the contract base, at the expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

5-year Caisse - Stadshypotek Bond Forward

ST 5 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The ST 2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by Stadshypotek AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year Stadshypotek risk against 5-year Stadshypotek risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 5-year Stadshypotek Bond Forward 

 

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: Synthetic bond with Stadshypotek AB as issuer and with a maturity of five years at the Expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Bond issued by Stadshypotek AB and with a duration that deviates as little as possible, compared to the contract base, at the expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market.
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

2-year Nordea Hypotek Bond Forward

NBHYP 2 - Managing Swedish Long-Term Interest Rate Risk


Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The NBHYP 2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year bond issued by Nordea Hypotek AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year Nordea Hypotek risk against 5-year Nordea Hypotek risk or spreads against government bond futures bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 2 year Nordea Hypotek bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: A 2- year synthetic bond with Nordea Hypotek AB as issuer and with remaining maturity and coupon rate equal to the deliverable bond in each series.
Deliverable instruments: Bond issued by Nordea Hypotek AB with terms that deviate as little as possible compared to the contract base at the Expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market.
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

5-year Nordea Hypotek Bond Forward

NBHYP 5 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The NBHYP 5 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by Nordea Hypotek AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year Nordea Hypotek risk against 5-year Nordea Hypotek risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 5-year Nordea Hypotek bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: A 5- year synthetic bond with Nordea Hypotek AB as issuer and with remaining maturity and coupon rate equal to the deliverable bond in each series.
Deliverable instruments: Bond issued by Nordea Hypotek AB with terms that deviate as little as possible compared to the contract base at the expiration settlement day.
Contact size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market.
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiraton fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

2-year SPINTAB Bond Forward

SPA2 - Managing Swedish long-term interest rate risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The SPA 2 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year bond issued by AB SPINTAB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year SPINTAB risk against 5-year SPINTAB risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 2-year SPINTAB Bond Forward

 

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: A 2-year synthetic bond with SPINTAB AB as issuer and with remaining maturity and coupon rate equal to the deliverable bond in each series.
Deliverable instruments: Bond issued by SPINTAB AB with terms that deviate as little as possible compared to the contract base at the Expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration:  12.00 CET at expiration day

5-year SPINTAB Bond Forward

SPA5 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The SPA 5 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by SPINTAB AB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. mortgage bond yield curve spreads like 2-year SPINTAB risk against 5-year SPINTAB risk or spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 5-year SPINTAB Bond Forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate
Contract base: A 5-year synthetic bond with SPINTAB AB as issuer and with remaining maturity and coupon rate equal to the deliverable bond in each series.
Deliverable instruments: Bond issued by SPINTAB AB with terms that deviate as little as possible compared to the contract base at the Expiration settlement day.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

5-year SBAB Bond Forward

SB 5 - Managing Swedish Long-Term Interest Rate Risk

Nasdaq provides central counterparty clearing services for Swedish and Norwegian fixed income products.

The SB 5 contract constitutes a valuable tool in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by SBAB. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.

The contract is suitable both for directional trading as well as for spread trading, e.g. spreads against government bond futures. A combination of cash bonds and futures can also be used for creating short-term investments or financing. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

Download product sheet: 5-year SBAB bond forward

Facts

 
Contract standard: Forward contract with a combination of cash settlement and delivery of underlying cash instrument at fixing rate.
Contract base: Synthetic bond with Statens Bostadsfinansierings AB as issuer and with a maturity of five years at the Expiration settlement day. The bond has an annual coupon of six percent.
Deliverable instruments: Bond issued by Statens Bostadsfinansierings AB and with a duration which deviates as little as possible, compared to duration of the contract base.
Contract size: SEK 1,000,000 nominal value of underlying
Tick size: 0.001
Price quotation: The forward contract is quoted in accordance with the underlying cash instrument market, effective interest rate with a 30E/360 day convention.
Trading: Trading is performed OTC and reported to the Nasdaq Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market
Expiration months: March, June, September and December
Expiration settlement day: Third Wednesday of the expiration month
First trading day: Four weeks before last trading day of the next contract scheduled for expiration.
Expiration day/last trading day: Four bank day prior the expiration settlement day
Expiration fixing: Established at expiration day 11.00 CET
Periodic settlement: Cash settlement of the difference between the trade price and monthly fix takes place on the last bank day of each calendar month.
Registration: 08.30 – 19.25 CET on normal bank days
Last time for registration: 12.00 CET at expiration day

R2-, R5- and R10-Options (Options in Forwards in Swedish Government Bonds)

Market Model and Central Counterparty Clearing

R2-, R5-, and R10 options are traded in the current market structure for Swedish interest rate derivatives. Trades in options will be reached through bilateral negotiations between buyers and sellers, and reported to Nasdaq for central counterparty clearing.

Following the transaction trade details are reported to Nasdaq Stockholm for clearing. Novation, meaning when the exchange substitutes existing contracts with two new ones, in relation to the buyer and seller, takes place when trade details are matched and the trade is registered on each parties clearing account. Subsequently, there is no counterparty relationship between the buyer and seller; instead both parties have the exchange as counterparty.

Contract base and settlement principles

The contract base is one R2-, R5, or R10 forward contract with the same expiration settlement day as the relevant option contract. Only the contract base is deliverable.
In practice, no payment takes place between the buyer and seller when the contract is cleared; instead, each party receives/pays from/to the exchange (the clearing house).

Settlement and offsetting

All purchased and sold contracts are entirely off-settable against each other. This means that only one net position is held against the clearing house and, if the contracts sold equals those purchased, the portfolio may be said to be closed in practice. No periodic settlement takes place.

Name standard

Contracts are listed by the forward contract short name followed by the expiration year, expiration month, the exercise price and type of option (put or call) Example a call option with a R2 December contract as contract base and with 1.80% strike and December expiration will be named R2XX1.800C

Clearing listed

Contracts are only clearing listed, i.e. they are not admitted for trading on the Exchange.

Facts

 
Contract type: Option contract with delivery
Style of option: European
Contract base: One R2, R5 or R10 forward contract
Contract base size: One forward contract (underlying value nominal SEK 1,000,000)
Trading: OTC trading with Nasdaq central counterpart clearing
Price/Premium: Expressed in SEK for 1/100 option contract
Tick size: 0,01
Premium settlement day: The third bank day after registration
Exercise price: Expressed as effective interest rate
Exercise price interval: Upon request
Expiration months: March, June, September and December
Expiration settlement day: The third Wednesday of the expiration month
Expiration day/final day of trading: Four bank days prior to the expiration settlement day. Last time to registration is 11:00 CET on the expiration day.
Expiration fix: Fix shall be determined on the Expiration day for the relevant contract and equal to the fix for the corresponding R2, R5, R10 contract in accordance with 4,12 R2-, R5- and R10-forwards (forwards in Swedish government bonds)
Periodic settlement: No periodic settlement
Offsetting: Offsetting can take place during the entire term
Series term: Three and six months

 

R2-, R5- and R10-Options (Options in Forwards in Swedish Government Bonds)

SEK Repoclearing

Nasdaq Offers Clearing of Repo Contracts on Swedish Bonds

Nasdaq provides central counterparty clearing services for Repo transactions on specific bonds listed at Nasdaq Stockholm.

Bonds that are eligible for Repo clearing can be found below in the “Facts” section or in the product sheet.

A Repo contract is an agreement of sell a specific security, together with an agreement for the seller to buy back the same security at a later date. A repo contract constitutes a valuable tool in creating the possibility of increased return on investment and / or amplified leverage.

Download product sheet: SEK Repoclearing

 

Facts

Type of contract

Buy-sell-back/Sell-buy-back of a specific security.
Contract Base

Nominal amount 1 000 000 SEK for each specific security.

Contract Base value

Market value of the specific security (clean price + accrued interest), at Start day.

Eligible securities

Swedish Government bonds, Swedish Mortgage bonds, Swedish T-bills, Swedish Municipal bonds. Instruments included are published under the relevant categories at www.nasdaqtrader.com.

Type of Repo transaction Buy-sell-back/Sell-buy-back.
Seller

The party who first sells and then buys the security.

Buyer

The party who first buys and then sells the security.

Transaction day (T)

The day the repo transaction is Registered with the Clearing House.

Start day (STD) The date of the repo’s first settlement transaction, agreed upon by the parties, but earliest the Bank day after Registration, (T+1) and not later than the Bank Day before End day.
End day (ED) The date of the repo’s second settlement transaction, agreed upon by the parties, but not earlier than two Bank Days after T and not later than 1 year after T.
Series Term (d) Number of calendar days as of STD until ED.
Clean price    Clean price of the specific security at STD, agreed upon by the parties.
Accrued interest Refers to the specific security and is calculated as of STD.
Nominal amount (N) Refers to the specific securities nominal amount, agreed upon by the parties.
Transaction price/repo interest rate (r)
Start consideration (SC)
Refers to the repo interest rate, expressed as % with three decimal

places, and with ACT/360 day count convention. Agreed upon by the parties.

End consideration (EC)

Clean price + Accrued interest, for each specific security as of STD) /100 x Nominal amount.

Coupon reinvestment days (id) SC x (1+ r/100 x d/360)
Adjusted EC (AEC)

Number of days between the coupon payment day of the specific security and ED.

AEC is applicable when the coupon payment day of the

specific security falls between STD and ED. Ex-coupon

rules follows Euroclear Sweden AB’s record date.
Final Time for Registration

Application for Registration must be received by the Clearing House no later than 19.15 CET normal Bank days.

Settlement

Payment of SC and EC are to be settled on STD and ED

respectively and in accordance with the Clearing House’s

instruction.

Series Term for repo transaction with standard days T/N, S/N, S/W, C/W, 1M, 2M, 3M, 6M.
Series Term for tailor made dates

Agreed upon by the parties and designated by STD and ED and takes place in accordance with the Clearing House’s instructions.

Listing of Series New Series are listed continuously.
Series Designation Each Series shall be designated by the designation for the specific security, repo type and series term
Listing Clearing Listing

 

All information provided on this page shall be deemed to be general information regarding the instruments that can be traded at the exchange. For accurate rules for trade with the instruments we refer to the rules and regulations. Information on this page shall under no circumstances constitute any recommendation regarding investment decisions. The visitor shall be personally liable for the risks associated with any investment decision based on information provided on this page. Notwithstanding that the accuracy of the information provided herein has been verified, Nasdaq Stockholm assumes no liability with respect to the accuracy or use of such information.

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