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Published: 2017-09-08 13:00 +0000 GMT | Source: Nasdaq Nordic

Changes to Nasdaq Standardized Fixed Income Derivatives

Nasdaq introduces a new market model and new trade report types for Fixed Income derivatives.

A trade in a contract that is listed on the Exchange ("admitted for trading") can be reported as an OTC trade or as a Manual Trade (on exchange, off order book). This is applicable to the following contracts that are admitted for trading and clearing with Nasdaq:

o             STIBOR FRA Forwards (FRA) [SEK]

o             STIBOR Futures (3STIBFRA) [SEK]

o             Riksbank Future (RIBA) [SEK]

o             Swedish Mortgage Bond Future [SEK]

o             Swedish Government Bond Futures [SEK]

o             CIBOR Future (CIBOR) [DKK]

o             NIBOR Futures (3/6NIBFRA [NOK]

A new trade report type for off order book exchange trades has been made available in the production system (EXFI) alongside with the currently used trade report type (NTFI). The new trade report type shall be used to mark trades that have been executed in accordance with the Exchange Rules.

Additional new trade report types (SI and OTFI) for OTC trades will be introduced in January 2018 to enable direct reporting to the Nasdaq APA. The new types will be valid for trades in all of the following products, as well as for OTC trades in the above mentioned products.

o             Buy-sell-back/Sell-buy-back SEK Repo Contract [SEK]

o             One Year Mid-Curve STIBOR-Future Options [SEK]

o             SGB-Future Options [SEK]

o             STIBOR-Future Options [SEK]

o             STIBOR-FRA Forward Options [SEK]

o             Buy-sell-back/Sell-buy-back DKK Repo Contract [DKK]

o             NIBOR-FRA Forwards [NOK]

o             NIBOR-FRA Options [NOK]

o             NIBOR-Future Options [NOK]

Full information on the upcoming changes to Nasdaq Fixed Income Derivatives can be found in the attached document. A functional description of the changes and further information for testing can be found on the web: http://www.nasdaqomx.com/transactions/technicalinformation/geniuminet/enhancements/genium-inet-mifid-ii-5.0.0201

For further information concerning this exchange notice please contact Natalie Allam, telephone +46 8 405 6237, or fixedincomesweden@nasdaq.com

Attachments:
Mifid2 and Nasdaq Fixed Income Derivatives 2017-09-08.pdf

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