This Notice serves to inform trading and clearing members, as well as software providers, that Nasdaq Derivatives Markets (Nasdaq Clearing AB) plans to introduce a Value-at-Risk (VaR) margin model for Custom Basket Futures and Forwards (CBF), with a target go-live in April 2027. The planned change is subject to regulatory approval.
The purpose of introducing a VaR margin model for CBF is to provide more risk-sensitive and margin-efficient treatment, including long/short offsets and diversification benefits, while maintaining a sound risk management framework.
From the go-live in April 2027, Nasdaq Derivatives Markets intends to offer clearing members the possibility to migrate to the VaR margin model for CBF at their own pace during a migration period.
More detailed information will follow in future IT and Clearing Notices, including further details on the member migration process to the VaR margin model, as well as further details for members and software providers that wish to replicate margin calculations.
For further information about the Custom Basket Futures product, please visit:
www.nasdaq.com/solutions/custom-basket-futures
For questions related to this notice, please contact:
Richard Pafford, European Sales, Equities and Derivatives (email link)
Anders Bergström, Technical Relations, European Market Operations (email link)