mobile search

OTC Clear

Clearing Procedures

OTC Clearing Hong Kong Limited Clearing Procedures

            

View Current

Table of Contents

Preface           
Chapter 1 Introduction to Clearing Procedures
1.1 Interpretation
1.2 Amendments
1.3 Operations of the Rates and FX Clearing Services
Chapter 2 Membership
2.1 Membership Application Process
2.2 Future Categories of Membership
2.3 Clearing Members’ On-going Requirements and Obligations
2.4 Client Clearing
2.5 Changes to conditions of Membership
2.6 Notification
2.7 Audit, Inspection or System Tests
2.8 Suspension, Termination and Resignation
2.9 Capped Liability Period
Chapter 3 Rates and FX Clearing Services
3.1 Overview
3.2 Approved Trade Registration System
3.3 Process of Registration and Rejection
3.4 Product Eligibility Requirements
3.4A Suspension of Products
3.5 Error Contract
3.6 De-registration
3.7 Accounts
3.8 Settlement Components
3.9 Procedures for Voluntary Deposit of Cash Collateral, porting of Cash Collateral representing Excess Margin and Withdrawal of Cash Collateral representing Excess Margin and Rates and FX Contribution Excess
3.10 Types of Securities Acceptable as Non-cash Collateral and Procedures for Voluntary Deposit of Non-Cash Collateral, porting of Non-Cash Collateral representing Excess Margin and Withdrawal of Non-Cash Collateral representing Excess Margin
3.11 Cash Settlement Method
3.12 Cash Settlement Time
3.13 Interest received on Non-Cash Collateral
3.14 Maturity of Non-Cash Collateral
3.15 Tax
3.16 Reporting
3.17 Porting of Client Contracts and Collateral to a Transferee Clearing Member
3.18 Porting of Contracts and Collateral amongst Client Accounts of a Clearing Member
3.19 Notional Exchange Failure Handling Procedures
3.20  Mandatory Notional Exchange Risk Limit Reduction Procedures
Chapter 4 Margin and Valuation
4.1 Margin Requirement
4.2 Initial Margin
4.3 Variation Margin
4.4 Intra-day Variation Margin
4.5 Additional Margin
4.6 Margin Process
4.7 End-of-Day Valuation and Settlement Process
Chapter 5 Curve Construction           
5.1 Curve Construction for Rates Derivatives Contracts
5.2 Curve Construction for FX Derivatives Contracts
Chapter 6 Rates and FX Guarantee Resources           
6.1 Rates and FX Guarantee Resources
6.2 Excess Margin and CM Funded Contribution Amount
6.3 Stress Test
6.4 OTC Clear Contribution
Chapter 7 Collateral
7.1 Acceptable Collateral
7.2 Cash Collateral
7.3 Non-cash Collateral
7.4 Collateral Concentration Limit
7.5 Collateral Valuation
7.6 Treatment of Collateral
Chapter 8 Default Management
8.1 Interpretation and Overview
8.2 Member Obligations
8.3 Scope and Responsibility of Default Management Group
8.4 Suspension of Activities
8.5 Hedging (Risk Neutralizing)
8.6 Auction
8.7 Portfolio Splitting and Re-composition
8.8 Cost of Default and Loss Attribution
8.9 Post Auction Communication
8.10 Review
8.11 Porting of Affected Contracts and Collateral to a Replacement Clearing Member
Chapter 9 Special Events / Business Continuity
9.1 Arrangement for Special Events
9.2 Primary Data Center
9.3 Service Outage
9.4 Special Arrangement for Valuation of a Standard Rates Derivatives Contract which is Denominated in HK$ and a Standard Cross-currency Rates Derivatives Contract which has a Fixed Amount or Floating Amount Denominated in HK$ under Adverse Weather Conditions
9.5 Special Arrangement of Voluntary Deposit of Cash Collateral, Porting of Excess Margin and Withdrawal of Excess Margin and Rates and FX Contribution Excess under Adverse Weather Conditions
 9.6 Special Arrangements of Settlement of Initial Exchange Amount and/or Final Exchange Amount of any Standard Cross-currency Rates Derivatives Contract and Notional Amounts of any Deliverable FX Derivatives Contract under Adverse Weather Conditions 
Chapter 10 Determination of Close-out Value, Winding Down of the Rates and FX Clearing Service and OTC Clear Default
10.1 Close-out Value
10.2 Rates and FX Clearing Termination Event
10.3 Emergency Close-Out or OTC Clear Default
10.4 Product Suspension Event
10.5 Contract Termination Event
Appendix I Fee Schedule
Appendix II Additional Financial Center
Appendix III Template Hong Kong law Deed of Charge – House Collateral Account
Appendix IV Template Hong Kong law Deed of Charge – Client Collateral Accounts
Appendix V Designated Maturities available for Interpolation and for a Stub Calculation Period
Glossary            Glossary

For previous updates: please click here 

For PRC Clearing Member Schedule please click here

 

Updated 06 Jul 2020

Loading