Eligible Funds

ELIGIBLE CASH

The currencies that are stated in the table below qualify as eligible currencies for cash contributions. Haircuts are only applied on cash contributions that are denominated in a currency that differs from that of the Default Fund Requirement.

ELIGIBLE SECURITIES

Eligible securities must meet the following criteria:
• Government bills and bonds issued by the governments of Denmark, Finland, Germany, Norway, Sweden or the UK.
• The bills and bonds should be denominated in the issuer’s own currency.
• The term of the government bills and bonds should have a maximum remaining duration of ten years.
• Bonds should be bullets.
• Bonds must not be index-linked securities.
• Minimum outstanding volume of the issue must be SEK 10 billion (or equivalent value in other currency).

If choosing to post securities to cover a default fund contribution, a request should be sent to NASDAQ OMX no later than three (3) bank days in advance of the requirement. NASDAQ OMX will determine if the bond is eligible to be accepted as a default fund contribution and will communicate its decision no later than one (1) bank day after the request is received.

In an interim period, until the future collateral management service is implemented within NASDAQ OMX, which is planned in the second half of 2012, a limited number of issues will be listed as eligible securities. Specification of these issues can be found on:

Eligible Government bonds

In the interim period, any request for other eligible securities should be sent to NASDAQ OMX no later than five (5) banking days in advance of the time for when the member wishes to post the security.

The haircuts that apply on eligible securities are specified in the table below.

Additional haircuts apply on securities that are denominated in a currency that differs from that of the Default Fund Requirement. The additional haircuts are equivalent to those stated under Eligible cash above.
 

For more information please see the Default Fund Policy Paper Appendix 5.