Nasdaq Clearing is introducing an enhancement to its margin framework in form of a Stress Margin Add-on.
The purpose of the Stress Margin Add-on is to add a specific stress component to the margin requirement by incorporating a share of a portfolio’s tail risk to the margin requirement. This add-on provides the Clearinghouse the ability to lower the mutualization of a specific account’s tail risk among clearing participants by shifting part of the risk from the member collective to the individual account holder.
The Stress Margin Add-on will increase margins for clearing participants with large stress losses in relation to initial margin.
The add-on will be implemented on 2019-01-31. Affected members will be contacted with details regarding their margin add-on requirements.
More information can be found in the Guidelines on Stress Margin Add-ons attached to this notice, or through the following link:
https://business.nasdaq.com/trade/clearing/nasdaq-clearing/risk-management/index.html
For further information, please contact Nasdaq Clearing Risk Management: clearing.risk@nasdaq.com, +46 8 405 7088, +47 6710 8426
Media contact:
David Augustsson, Corporate Communication, phone +46 734496135, david.augustsson@nasdaq.com
