OTC Rates Derivatives Clearing -

reduced counterparty risk and lower regulatory capital costs

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CCP clearing of OTC rates derivatives streamlines your clearing & reporting process.

Nasdaq Nordic offers clearing of interest rate swaps and overnight index swaps and forward rate agreements. We are authorized by ESMA to offer clearing services related to OTC interest rate derivatives denominated in SEK, DKK, NOK and EUR.

Central Clearing Reduces Counterparty Risk

Central counterparty clearing of OTC derivatives has several advantages compared to non-centrally cleared derivatives:

  • Reduced counterparty risk.
  • Margin efficiency across exchange-listed and OTC interest rate derivatives.
  • Compression and netting opportunities.
  • Performing transactions with a wider number of counterparties.
  • Lower regulatory capital costs.

The service supports both self-clearing for members and client clearing in the existing clearing model operated by Nasdaq with a wide range of alternatives for account segregation and portability.

Current Members

Current OTC rates clearing members are:

  • Danske Bank
  • Svenska Handelsbanken
  • Nordea
  • Skandinaviska Enskilda Banken
  • Swedbank
  • Swedish National Debt Office

Compression and Netting Service

Nasdaq Clearing offers a Compression Service in cooperation with TriOptima. Current cycle frequency for SEK denominated swaps is annually. In parallel a Netting Service is available each clearing day during the opening hours of the clearing system. Learn more on the Compression and Netting Service.

Cleared Products

Nasdaq offers clearing of interest rate swaps and overnight index swaps in SEK. The trade characteristics eligible for clearing for each class of swap are described below.

INTEREST RATE SWAPS (SEK-DENOMINATED)

  • Fixed-Float
  • Forward starting
  • Front and/or Back Stubs
  • Linear interpolation of stub periods
  • IMM and EOM rolls
  • Spread on the floating leg
  • Negative float and fixed rates
  • Variable notional amounts and fixed rates
  • All relevant day count fractions
  • Variable notional amounts and fixed rates
  • Maturity up to 30Y
  • Start day can be set per leg
  • Backloading

 

OVERNIGHT INDEX SWAP/STINA (SEK-DENOMINATED)

Clearing is available for overnight index swaps denominated in SEK against T/N STIBOR (STINA Swaps). Nasdaq supports overnight index swaps with the following characteristics:

  • Contract settled against T/N STIBOR 
  • All relevant day count fractions
  • Maturity up to 10Y 
  • Spread on floating leg
  • Fixed-Float
  • Forward starting
  • Front and back stubs
  • Negative float and fixed rates
  • Backloading

Rules & Regulations

Nasdaq provides clearing of OTC derivatives in the existing regulatory framework developed for derivatives clearing. The Rules and Regulations of Nasdaq Derivatives Markets govern Nasdaq Stockholm's derivative exchange and clearing activities.

The “derivative rules” comprise the rules and regulations that pertain to clearing of instruments with flexible features related to expiry and cash flow dates including the eligibility criteria for Clearing Members and Direct Pledge Customers wishing to clear these instruments, as well as a complete description of the contract specifications.

Instruments designated as “OTC Rates” are characterized by a wide range of alternatives, adding flexibility catering for the needs of our customers. This contrasts with the listed contracts where the expiry and cash flow dates are predefined and the two parties in a deal only agree on the price/yield. In order to distinguish between listed contracts and "OTC Rates contracts", Nasdaq has labeled "OTC" derivatives as Generic in the Rules and Regulations.

The latest version of the Rules and Regulations is always available on the Derivative Rules page. The Loss Sharing Rules are available in Appendix 17 in the Clearing Rules.

Key Benefits

Reduced Counterparty Risk

As the CCP, Nasdaq becomes the counterparty to both buyer and seller.

Lower Regulatory Capital Costs

Comparatively lower regulatory capital costs to uncleared derivatives.

Netting Opportunities

Gain from margin efficiencies across your portfolio of exchange-listed and OTC interest rate derivatives.

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Related Information

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