Expiration and Delivery -

procedures for derivatives contracts

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Expiration Procedures for Derivatives Contracts

As a central counterparty, Nasdaq Clearing ensures physical settlement in accordance with the specific contracts cleared, the expiration procedures and the clearing rules of the relevant market.

Nasdaq Clearing clears multiple contract types over several different markets - spanning from equity and bonds to electricity certificates and emissions. The expiration and delivery process for equity derivatives, environmental products and repo contracts are outlined in the contract specifications for each product:

The expiration dates for products cleared with Nasdaq are viewable in the Nasdaq Trading Calendars for each product area. See Resource Center for more detail.

Upon expiration day of any contract, Nasdaq Clearing will send out operational messages with information regarding final fixing, series that are in-the-money or other relevant information. To receive operational messages with expiration information from Nasdaq Derivatives Market and Nasdaq Commodities, sign up by following the links on the right-hand side of the web page.

Delivery Process

As outlined in the contract specifications for each product, some of the equity and commodities contract exercises result in a delivery of the underlying physical asset. For example, stock options will settle through a delivery versus payment (DVP) instruction in a central security depository (CSD) in the relevant country, and electricity certificate contracts are delivered through their relevant registry.

Clearing Members are obligated to communicate their Standing Settlement Instruction (SSI) details or any change of such details to Nasdaq Clearing at least two days prior to the effective date. Clearing Members can fill in the SSI delivery request via Member Portal or send the Standard Settlement Instruction (SSI) for Securities form signed by an authorized signature to Nasdaq Clearing (clearing@nasdaq.com).

You can find the template of the SSI form and a Settlement parameter information in the Resource Center below.

Nasdaq Delivery SSIs for Physical Settlement

Market Place of Settlement Proprietary Code BIC Account
Swedish Equities (AM) Euroclear Sweden N/A OMECSESSNOC 158645545
Swedish Bonds (PM) Euroclear Sweden N/A OMECSESSNOC 143500635
Swedish Bonds (PM) IMM trades Euroclear Sweden N/A OMECSESSNOC 46342559
Danish Equities and Bonds VP Denmark N/A OMECSESSNOC N/A
Finnish Equities Euroclear Finland N/A OMECSESSNOC APKE9000000000003210000000000083552
Norwegian Equities VPS Norway 45800 OMECSESSNOC 458004900007
Electricity Certificates CESAR N/A N/A 643002406700077095
Electricity Certificates NECS N/A N/A 707052300000015631
European Union Allowances Union Registry N/A N/A EU-100-5016825-0-9

Buy-In Process

If a counterparty fails to timely perform delivery of the deliverable instrument in the denominated currency to the Clearing House, the counterparty is subject to the Buy-in escalation procedure defined in section 2.11.6 Chapter 2 under Clearing Rules of Nasdaq Derivatives Market.

Settlement of obligations with respect to Instruments cleared by the Clearing House takes place in the manner stated in section 2.11 Chapter 2 under Clearing Rules of Nasdaq Derivatives Market and in accordance with the respective contract specification. Information about administration fees can be found under Appendix 3 to the Clearing Rules of Nasdaq Derivatives Market – Fee List (joint Exchange and Clearing Rules).

Partial Settlement

Nasdaq Clearing offers partial settlement to settle a fraction of the original quantity when full settlement is not possible. Partial settlement can resolve delivery problems in the settlement process, resulting in a reduced number and value of failed settlement instructions, improving the settlement ratio and settlement efficiency. The below table lists CSDs for which Nasdaq Clearing supports partial settlement.

CSD Exercise and Expiration Fixed Income Expiration CCP Repo (Fixed Income) Collateral
VP Securities Yes Yes Yes No
Euroclear Finland Yes N/A N/A N/A
Euronext VPS Yes N/A N/A N/A
Euroclear Sweden Yes Yes (manual)* Yes (manual)* No
Euroclear Bank N/A N/A N/A No

*For Euroclear Sweden PM submarket (institutional fixed income settlement) Nasdaq Clearing will manually create split settlement instructions when Nasdaq Clearing members/settlement agents have agreed with Nasdaq Clearing on a case by case basis to settle partially.

Physical Delivery of Swedish Bonds

Fixed income deliveries take place in the Swedish CSD, Euroclear Sweden AB, and pass through the Nasdaq Clearing account on the IMM-day (International Money Market day).

On the expiration day for fixed income instruments, Nasdaq Clearing provides the Clearing Member information about the settlement that is to be delivered. When possible, the settlement of fixed income products is netted to blocks no larger than SEK 500 million in nominal value.

Please note that the delivery capacity for CCP Repos must be in place at the latest by 13:30 CET on the settlement day. At this point in time, a settlement instruction that leads to a short position will automatically be excluded by the Euroclear Sweden system. If such instruction that has been excluded at 13:30 CET should settle on that day, a new instruction must be created for settlement on that day.

Physical Delivery of Danish Bonds

The delivery of Danish bonds after expiration and exercise is carried out through the Danish CSD, VP Securities, where Nasdaq Clearing is a member.

For Danish bonds all deliveries are carried out via the Nasdaq Clearing's account with VP Securities. Clearing Members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument.

Physical Delivery of of Swedish, Danish, Norwegian and Finnish Stocks

All deliveries are made on the second business day after expiration or exercise, through the Nasdaq Clearing account at the local CSDs, where Nasdaq Clearing is a member:

  • Swedish market: Euroclear Sweden
  • Danish market: VP Securities
  • Norwegian market: Euronext VPS
  • Finish market: Euroclear Finland

Clearing members which have a delivery undertaking as a result of exercise must ensure that sufficient delivery capacity exists with respect to the relevant deliverable instrument. Settlements occur based on each CSD’s timeline, rules and regulations.

Physical Delivery of of Electricity Certificates and European Union Allowances

The net selling Clearing Member has an obligation to deliver their position to the Nasdaq Clearing account in CESAR or NECS, for electricity certificates and Union Registry for European Union Allowances, on the contract expiration day. One bank day after the expiration day, the settlement for net buyers is performed via the Cash Optimization process. Nasdaq Clearing performs deliveries to net buyers of Electricity certificates and European Union Allowances deliveries 3 bank days after the expiration day.

In addition, 3 bank days after the expiration day, settlement for net sellers is also performed via the Cash Optimization process. Transfers to Nasdaq Clearing should be confirmed by completing the delivery forms which can be found in the Resource Center below.

Resource Center

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