Clearing: IT - Equity Derivatives - Introduction of U.S stocks to the Custom Basket Forwards scope

Nasdaq Derivatives Markets (Nasdaq Stockholm AB and Nasdaq Clearing AB) plan to
introduce U.S. stocks to the Custom Basket Forwards (CBF) scope of stocks. As
of today, CBFs on baskets containing U.S. stocks are available for member
testing in EqD Test (trading) and EXT1 (clearing). 

The introduction of U.S. stocks for CBFs in production is planned for
preliminary May 2024, pending necessary regulatory reviews as well as
commitment from members as close-out providers. A separate market notice will
be published to confirm the launch date for CBFs with U.S. stocks in
production, once the regulatory review process is completed and necessary
commitments are in place. 



Product information

In addition to the around 1,600 European stocks in the CBF universe, around 500
U.S. stocks are planned to be added to the scope. The exact list of stocks is
available in the test universe weight report on Nasdaq SFTP, or can be provided
upon request. Please note that the CBF universe is reviewed and updated on a
regular basis. 



For further CBF product information, please see earlier Notice:

https://view.news.eu.nasdaq.com/view?id=b558f61582dc01e8389b5084e9b5bd80c&lang=e
n&src=notices 



Member testing

CBFs with U.S. stocks are available for member testing in EqD Test (trading)
and EXT1 (clearing). The following instruments are available: 



Basket Name Forward  Expiration date ISIN     Stocks in basket Currency
TBG038    TBG0384R   2024-06-24  SE0021329075 U.S.       USD   
TBP021    TBP0214R   2024-06-24  SE0021322112 U.S.       USD   
TBG035    TBG0354R   2024-06-24  SE0021321684 U.S. and     SEK   
                            European         
OTP020    OTP0204R   2024-06-24  SE0021322039 U.S. and     USD   
                            European         
TBN022    TBN0224R   2024-06-24  SE0021321692 European     EUR   
TBG020    TBG0204R   2024-06-24  SE0021331873 European     EUR   

Baskets containing U.S. stocks must be constructed as broad-based security
index baskets 

Baskets containing at least one U.S. stock must not be constructed as a
so-called narrow-based security index (i.e. it must be constructed and
classified as a broad-based security index) as set out in relevant guidance
provided by the U.S. Commodity Futures Trading Commission and the U.S.
Securities and Exchange Commission, available at
https://www.cftc.gov/IndustryOversight/ContractsProducts/SecurityFuturesProduct/
sfpoverview.html 

Requirement on members wishing to participate in trading and clearing of CBFs
with U.S. stocks 

Section 871(m) of the Internal Revenue Code (IRC) imposes U.S. non-resident
withholding tax on dividend equivalent payments. Section 871(m) focuses on
withholding taxes on any financial contract that references an underlying
security that could give rise to U.S. source dividend payments and meet certain
conditions. For this reason, members aiming to transact in CBFs on baskets with
U.S. stocks will need to hold Qualified Derivatives Dealer/Qualified
Intermediary (QDD/QI) tax status with the U.S. Internal Revenue Service (IRS)
allowing tax-related compliance for transactions involving dividend-linked
derivatives. 



Access to CBFs on baskets with U.S. stocks

Production access to CBFs on baskets with U.S. stocks will be restricted only
to members that can demonstrate the correct U.S. tax status. Members can
request production access via Nasdaq's Member Portal from earliest May 6, 2024. 



Technical product information

Access to CBFs on baskets with U.S. stocks will in the clearing system be set
up with specific instrument types and instrument group ID/numbers in order to
separate such instruments from CBFs on baskets with only European stocks. See
appendix to this Notice for further details. 

A list of all stocks classified as U.S. stocks will be available at:

https://www.nasdaq.com/solutions/custom-basket-forwards

For technical information related to NDTS (trading) and Genium INET (clearing),
see appendix A to this Notice. 

For further technical product information, please see the following IT notice:

https://view.news.eu.nasdaq.com/view?id=b558f61582dc01e8389b5084e9b5bd80c&lang=e
n&src=notices 

For further information concerning this notice, members may contact their
respective Nasdaq account manager or product manager Håkan Walden, telephone
[phone]. 
Nasdaq Derivatives Markets

Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=1213493