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.

 


Mortgage Bond Future Mortgage Bond Future 3YMBFZ5


Vendor Codes

Contract Bloomberg Reuters ISIN Expiration date
30YMBFH6 YYAH6 Comdty 30YMBFH6 SE0007673918 30-03-2016
20YMBFH6 TMBH6 Comdty 20YMBFH6 SE0007673900 30-03-2016
3YMBFH6 YMBH6 Comdty 3YMBFH6 SE0007673892 30-03-2016

 

 

Listing notices

Mortgage Bond Future 30YMBFH6

Mortgage Bond Future 20YMBFH6

Mortgage Bond Future 3YMBFH6


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

CIBORZ5

 

CIBORZ5

SE0005472412

14-12-2015

CIBORH6

 

CIBORH6

SE0005664588

14-03-2016

CIBORM6

 

CIBORM6

SE0005904091

13-06-2016

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.


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 covers bullet loans issued by the Danmarks Nationalbank including the treasury bills. The Service also covers bullet loan bonds and callable bonds issued by Nykredit Realkredit, Realkredit Danmark, Nordea Kredit, BRF Kredit or DLR Kredit. For a bond to be eligible for clearing it needs to have an outstanding amount on at least what is equivalent to 500 MEUR. The Repo list below will continuously be updated with bonds eligible for repo clearing.

The Repo clearing service will have 4 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/N, T/W, S/W

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 to deliver the relevant Deliverable Instruments on the applicable Settlement Day (S), the Clearing House shall send a notification to such Clearing Member stating its intention to perform buy-in as further described below (Buy-in Notification). If the failing Clearing Member has not delivered on S+3, the Clearing House shall, on behalf of the failing Clearing Member, make reasonable efforts to acquire the relevant Deliverable Instruments (Buy-in) and fulfill Physical Settlement under the corresponding, opposite Contract. Immediately upon being informed that the Clearing House will perform Buy-in, the failing Clearing Member shall cancel its original delivery instruction registered with the relevant CSD and delivery from such Clearing Member will not be accepted. To the extent it is not possible for the Clearing House to acquire Deliverable Instruments corresponding to the full original nominal amount, the Clearing House has the right to deliver a part of the original amount. If the failing Clearing Member indicates, at the time of 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 Physical Settlement

If a Clearing Member fails to fulfill Physical Settlement and, where applicable, the Clearing House cannot complete a Buy-in of all or part of the Deliverable Instruments, the Clearing House has the right, both in relation to the Buyer and to the Seller and under the Contract as well as the corresponding, opposite Contract, to postpone settlement accordingly, subject to the following paragraphs. The Clearing House shall promptly inform Seller and Buyer of a decision to postpone settlement. A decision by the Clearing House to postpone Physical Settlement does not remove the failing Clearing Member’s or Clearing House’s liability to pay any delay fee in accordance with the Fee List. In the event of postponed Physical Settlement, the relevant Contract will be settled on the new settlement day, as determined by the Clearing House, with terms equivalent to the original Physical Settlement, i.e. same settlement amount, right to accrued interest, etc. The Clearing Members shall, following instructions from the Clearing House, immediately file a new delivery instruction to the relevant CSD with Physical Settlement on the Bank Day instructed by the Clearing House. If Physical Settlement has not occurred on S+8, Physical Settlement shall not occur and an amount corresponding to the higher of (i) five percent (5%) of the settlement amount on S and (ii) hundred and five percent (105%) of the latest available price on S+8 less the settlement amount on S of the Instruments that should have been delivered, as determined by the Clearing House, shall be paid by the failing Clearing Member and credited to the relevant nonfailing Clearing Member. All direct net costs, expenses and fees associated with the postponed Physical Settlement 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 Physical Settlement 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 Physical Settlement. Any amount debited against the failing Clearing Member under this paragraph will be credited against the non-failing Clearing Member.



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:
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

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 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.

The STIBOR FRA Forward Options will be replaced by STIBOR FRA Future Options during 2016.

Download product sheet for Options on STIBOR-FRA FUTURES 

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

Download product sheet for 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

 

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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