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NASDAQ OMX OFFERS CLEARING OF CIBOR FUTURES NASDAQ OMX 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 performed OTC and then the trades are reported to NASDAQ OMX 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 Contracs 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 Echange’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). | All information provided on this page shall be deemed to be general information regarding the instruments that can be traded at the exchange. For current 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 on this page. Notwithstanding that the accuracy of the information provided here in has been verified, NASDAQ OMX Copenhagen assumes no liability with respect to the accuracy or use of such information. | CIBOR Contracts | Bloomberg | Reuters | ISIN | Expiration Date | | CIBORH2 | CIBH2 | CIBORH2 | SE0003461664 | 19-03-2012 | | CIBORM2 | CIBM2 | CIBORM2 | SE0003461672 | 18-06-2012 | | CIBORU2 | CIBU2 | CIBORU2 | SE0003461680 | 17-09-2012 | | CIBORZ2 | CIBZ2 | CIBORZ2 | SE0003626076 | 17-12-2012 | | CIBORH3 | CIBH3 | CIBORH3 | SE0003733997 | 18-03-2013 | | CIBORM3 | CIBM3 | CIBORM3 | SE0003905710 | 17-06-2013 | | CIBORU3 | CIBU3 | CIBORU3 | SE0004075646 | 16-09-2013 | | CIBORZ3 | CIBZ3 | CIBORZ3 | SE0004260883 | 16-12-2013 |
For more information regarding the vendors and their systems please contact them directly. |
- Danske Bank- Nordea- Nykredit Bank- SEB- Jyske Bank |
