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

Danish mortgage bond Futures 


Nasdaq Clearing AB offers CCP clearing of a future on Danish mortgage bonds. The contract base is a basket of mortgage bonds issued by Nykredit Realkredit, Realkredit Danmark, Nordea Kredit and Totalkredit, with final settlement occurring on the settlement date for the underlying bonds.

Download product sheet Danish Mortgage Bond Future


 

Vendor Codes

Contract Bloomberg Reuters ISIN Expiration date
30YMBFM6 YYAM6 Comdty 30YMBFM6 SE0007985593 29-06-2016
20YMBFM6 TMBM6 Comdty 20YMBFM6 SE0007985585 29-06-2016
3YMBFM6 YMBM6 Comdty 3YMBFM6 SE0007985577 29-06-2016

 

 

Listing notices

Mortgage Bond Future 30YMBFM6

Mortgage Bond Future 20YMBFM6

Mortgage Bond Future 3YMBFM6

 


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



NASDAQ CIBOR Future

Nasdaq Cibor Futures 

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

 

Download product sheet CIBOR Future


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Vendor Codes

 

Contract Bloomberg Reuters ISIN Expiration date

CIBORU6

 

CIBORU6

SE0006076626

19-09-2016

CIBORZ6

 

CIBORZ6

SE0006407250

19-12-2016

CIBORH7

 

CIBORH7

SE0006734554

13-03-2017

CIBORM7

 

CIBORM7

SE0007051362

19-06-2017

CIBORU7

 

CIBORU7

SE0007359104

18-09-2017

 

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


DKK Repo Clearing

Repoclearing of DKK and EUR repos

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

Download product sheet DKK Repoclearing




Eligible Bonds for Repo Clearing 

Repo List  

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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:
sett.dk@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 Forward and Future

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.

The NIBOR FRA Forwards will be replaced by NIBOR FRA Futures during 2016-2017

Download product sheet 3-month NIBOR FRA Future

Download product sheet 3-month NIBOR FRA Forward 

6-month NIBOR FRA Forward and Future

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.

The NIBOR FRA Forwards will be replaced by NIBOR FRA Futures during 2016-2017

Download product sheet 6-month NIBOR FRA Future

Download product sheet 6-month NIBOR FRA Forward

Options on NIBOR FRA Forward and Future

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.

Download product sheet Options on NIBOR FRA Futures 
Download product sheet Options on NIBOR FRA Forwards 

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 product sheet Riksbank Future
 



 


Committed Banks

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

 


Date  
Volume  

 

STIBOR FRA Forward and Future

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


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.


The STIBOR FRA Forwards will be replaced by STIBOR FRA Futures during 2016-2018.

Download product sheet 3-month STIBOR FRA Future
Download product sheet 3-month STIBOR FRA Forward 

Options on STIBOR FRA Forward and Future

FRA Options– Managing Swedish short-term interest rate risk


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 FUTURES 

Download product sheet Mid-Curve Options on STIBOR-FRA FUTURES 

Download product sheet Options on STIBOR-FRA FORWARDS 

2-year Government Bond Forward and Future

R2 & SGB2Y - Managing Swedish Long-Term Interest Rate Risk


The R2 and SGB2Y contracts constitutes as valuable tools 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.


The government bond forwards (R2) will be replaced by government bond futures (SGB2Y) during 2016.

Download product sheet 2-year Swedish government bond future
Download product sheet 2-year Swedish government bond forward

5-year Government Bond Forward and Future

R5 & SGB5Y - Managing Swedish Long-Term Interest Rate Risk


The R5 and SGB5Y contracts constitutes as valuable tools 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.

The government bond forwards (R5) will be replaced by government bond futures (SGB5Y) during 2016.

Download product sheet 5-year Swedish government bond future

Download product sheet 5-year Swedish government bond forward

10-year Government Bond Forward and Future

R10 & SGB10Y - Managing Swedish Long-Term Interest Rate Risk

The R10 and SGB10Y contracts constitutes as valuable tools 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.

The government bond forwards (R10) will be replaced by government bond futures (SGB10Y) during 2016.


Download product sheet 10-year Swedish government bond future
Download product sheet 10-year Swedish government bond forward

2-year Stadshypotek Bond Forward and Future

ST2 & STH2Y - Managing Swedish Long-Term Interest Rate Risk

The ST2 and STH2Y contracts constitutes as valuable tools 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.

The Stadshypotek bond forwards (ST2) will be replaced by Stadshypotek bond futures (STH2Y) during 2016.

Download product sheet 2-year Stadshypotek Bond Future
Download product sheet 2-year Stadshypotek Bond Forward

5-year Stadshypotek Bond Forward and Future

ST5 & STH5Y - Managing Swedish Long-Term Interest Rate Risk

The ST5 and STH5Y contracts constitutes as valuable tools 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.

The Stadshypotek bond forwards (ST5) will be replaced by Stadshypotek bond futures (STH5Y) during 2016.

Download product sheet 5-year Stadshypotek Bond Future
Download product sheet 5-year Stadshypotek Bond Forward 

2-year Nordea Hypotek Bond Forward and Future

NBHYP2 & NDH2Y - Managing Swedish Long-Term Interest Rate Risk


The NBHYP2 and NDH2Y contracts constitutes as valuable tools 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.

The Nordea Hypotek bond forwards (NBHYP2) will be replaced by Nordea Hypotek bond futures (NDH2Y) during 2016.

Download product sheet 2 year Nordea Hypotek bond Future
Download product sheet 2 year Nordea Hypotek bond Forward

5-year Nordea Hypotek Bond Forward and Future

NBHYP5 & NDH5Y - Managing Swedish Long-Term Interest Rate Risk

The NBHYP5 and NDH5Y contracts constitutes as valuable tools 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.

The Nordea Hypotek bond forwards (NBHYP5) will be replaced by Nordea Hypotek bond futures (NDH5Y) during 2016.

Download product sheet 5-year Nordea Hypotek bond Future
Download product sheet 5-year Nordea Hypotek bond Forward

2-year Swedbank Hypotek Bond Forward and Future

SPA2 & SWH2Y - Managing Swedish long-term interest rate risk

The SPA2 and SWH2Y contracts constitutes as valuable tools in managing Swedish long-term interest rate risk. The contract base is a synthetic 2-year bond issued by Swedbank Hypotek. 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 Swedbank Hypotek risk against 5-year Swedbank 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.

The Swedbank Hypotek bond forwards (SPA2) will be replaced by Swedbank Hypotek bond futures (SWH2Y) during 2016.

Download product sheet 2-year Swedbank Hypotek Bond Future  
Download product sheet 2-year Swedbank Hypotek Bond Forward

5-year Swedbank Hypotek Bond Forward and Future

SPA5 & SWH5Y- Managing Swedish Long-Term Interest Rate Risk

The SPA5 and SWH5Y contracts constitutes as valuable tools in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by Swedbank Hypotek. 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 Swedbank Hypotek risk against 5-year Swedbank 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.

The Swedbank Hypotek bond forwards (SPA5) will be replaced by Swedbank Hypotek bond futures (SWH5Y) during 2016.

 

Download product sheet 5-year Swedbank Hypotek Bond Future
Download product sheet 5-year Swedbank Hypotek Bond Forward 

5-year SCBC Bond Forward and Future

SB5 SCBC5Y - Managing Swedish Long-Term Interest Rate Risk

The SB5 and SCBC5Y contracts constitutes as valuable tools in managing Swedish long-term interest rate risk. The contract base is a synthetic 5-year bond issued by SCBC (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.

The SCBC bond forwards (SB5) will be replaced by SCBC bond futures (SCBC5Y) during 2016.

Download product sheet 5-year SCBC bond Future  
Download product sheet 5-year SCBC bond Forward

Options on Government Bond Forwards and Futures

Market Model and Central Counterparty Clearing

Options on Swedish Government Bonds 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.

Contracts are only clearing listed, i.e. they are not admitted for trading on the Exchange. For the complete description of the contract specification please see Nasdaq Stockholm Rules and Regulations.

The options on government bond forwards (R2, R5, R10) will be replaced by options on government bond futures (SGB2Y, SGB5Y, SGB10Y) during 2016.

Download Product Sheet Options on Swedish Government Bond Futures

Download Product Sheet Options on Swedish Government Bond Forwards

 

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

 

 

 

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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