IT - Equity Derivatives - Value-at-Risk Margin Model for Custom Basket Futures and Forwards - Margin Replication Support
As previously communicated in the IT Notice dated 11 May 2026, Nasdaq Derivatives Markets plans to introduce a Value-at-Risk (VaR) margin model for Custom Basket Futures and Forwards (CBF), with a target go-live of April 2027. The planned change is subject to regulatory approval.
To support members, software and service providers who intend to replicate the VaR margin model, a Developers Kit is now available. The kit includes the CBF VaR Margin Replication Guide and sample files and data required for margin replication. The file formats are consistent with upcoming production versions.
The Developers Kit can be requested by contacting technicalrelations@nasdaq.com.
For further information about the Custom Basket Futures product, please visit:
www.nasdaq.com/solutions/custom-basket-futures
For questions related to margin replication support, please contact:
Anders Bergström, Technical Relations, European Market Operations anders.bergstrom@nasdaq.com
For questions related to the Custom Basket Futures product, please contact:
Richard Pafford, European Sales, Equities and Derivatives
richard.pafford@nasdaq.com
Nasdaq Derivatives Markets