As of June 19, 2023, Nasdaq Derivatives Markets (Nasdaq Stockholm AB) will introduce Basis Trade at Close (BTC) functionality on index futures. Basis trades are quoted and agreed in terms of the difference between the futures price and today's closing values of the underlying index. Technically, basis trades are defined as separate instruments with their own order books. This allows Members to enter orders and trades with a price expressed as a differential in index points, which is to be added to that day's index closing value to set the actual futures price. The differential can be a positive, negative or zero value. The basis instruments executed during the continuous trading phase are converted by the clearing system during evening processing to the referenced index futures, whereby a reversed transaction is made to the basis trade and new trade is created for the index future. Basis trading will be available for the first two expiration months on the OMXS30, OMXESG, OMXO20 and OMXC25 index futures. Instrument specification The following is a brief description of the instrument specification of basis trade. Further information is made available in the draft Marked Model (may be subject to change): https://www.nasdaq.com/market-regulation/nordics/derivatives-rules Underlyi OMXS30, OMXESG, OMXC25 and OMXO20 index ng -------------------------------------------------------------------------------- Underlyi Index ng Type -------------------------------------------------------------------------------- Instrume [Underlying] + [Year] + [Month] + "BT". E.g. "OMXS303GBT" for the BTC nt instrument settling into OMXS303G (OMXS30 Jul'23 Fut). Symbolo gy -------------------------------------------------------------------------------- Contract 100 (1 basis contract is novated into 1 index future) Size -------------------------------------------------------------------------------- Expiries First two expiries for the corresponding reference instruments for the respective indices (front- and first back months) -------------------------------------------------------------------------------- Price In terms of the Basis in index points (differential between future and Quotati index cash values) on -------------------------------------------------------------------------------- Tick 0.01 Size -------------------------------------------------------------------------------- Order Limit, reserve and market orders (no stops) and quotes accepted for Book continuous trading in price/time priority during regular trading Trading hours of the respective reference instruments. No auctions or extended hours trading. -------------------------------------------------------------------------------- Off-Book 09:00 - 19:30 Trade Entry -------------------------------------------------------------------------------- First On the expiration date of the nearest expiry of the reference product Day of (the front-month). Trading -------------------------------------------------------------------------------- Last Day The business day before the expiration date of the reference of instrument. Trading -------------------------------------------------------------------------------- Holidays Same as reference instrument. and Half-Da ys -------------------------------------------------------------------------------- Minimum Same as reference instrument. Block Trade Size -------------------------------------------------------------------------------- Deferral Same as reference instrument. Thresho ld -------------------------------------------------------------------------------- Transact Same as reference instrument. ion fees -------------------------------------------------------------------------------- Technical product information For further technical product information, please see references to IT-notices below. IT-notice published February 22, 2023: https://view.news.eu.nasdaq.com/view?id=b558f61582dc01e8389b5084e9b5bd80c&lang=e n&src=notices IT-notice published April 3, 2023: https://view.news.eu.nasdaq.com/view?id=b46c4b357bc9a013f6f550c6d1e71ffc1&lang=e n&src=notices Member testing BTC instruments are available for trading in EqD Test and are cleared in External test system 1 (EXT1). For assistance in testing, please contact Trading Operations tradingoperations@nasdaq.com or the Nasdaq Clearing Operations team at clearing.test@nasdaq.com or +46 8 405 6880. For further information concerning this exchange notice, members may contact their respective Nasdaq account manager or product manager Håkan Walden or Joakim Fernlund, telephone +46 8 405 60 00. Nasdaq Derivatives Markets Håkan Walden Product Manager, Equity Derivatives Attachment: https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=1146304
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