Market Turnover


Cross Currency Swaps

What is a Cross Currency Swap (CCS)?

A CCS is an agreement between two parties to exchange interest payments, with or without an initial and final exchange of principal value, in two different currencies.  During the life of the CCS, each party pays interest (in the currency of the principal received) to the other, while at the maturity of the swap, the parties make a final exchange of the principal amounts, reversing the initial exchange at the same spot rate. The substantial amounts involved in the exchanges of principal value introduce specific risk management challenges for CCS.    

OTC Clear CCS Product Coverage

HKEX’s OTC Clear is the first global clearing house to offer a clearing service for CCS traded in the USD/ CNH , and USD / HKD currency pair. It is expected that the clearing of further currency pairs will be offered if there is any market demand. 

The features of CCS clearable by OTC Clear are specified in the table below. Further product eligibility details for CCS clearing can be found in the OTC Clear Clearing Procedures.

Instrument Currencies/
Currency Pairs
Floating Rate Option Maximum Tenor Designated Maturity
Original Standard Cross-currency Rates Derivatives Transactions Cross-currency interest rate swaps and
Cross-currency basis swaps
USD and CNY (offshore)

CNY (offshore):


11 years

(a) & (b): One month, three months, six months and one year

(c) & (d): Not Applicable



(d) USD-SOFR-OIS Compound

 USD and HKD



(b) HKD-HONIA-OIS Compound

 16 years

(a): One month, three months, six months and one year 

(b), (c) & (d): Not Applicable



(d) USD-SOFR-OIS Compound


Central clearing of CCS through OTC Clear creates values for market participants by:

(i)Mitigating settlement risk

The settlement of initial and final exchange amounts for CCS transactions cleared by OTC Clear will be conducted via the bulk settlement run service of the Real Time Gross Settlement system (RTGS) operated by the Hong Kong Interbank Clearing Limited (HKICL). This largely mitigates the settlement risk which arises from the asymmetric timing of payments and receipts of different currencies in the typical bilateral settlement process.

(ii)Easing funding and liquidity needs

The clearing of CCS should provide a reduction in systemic risk in the inter-bank market through the multi-lateral netting of large principal exchange payments and a  resulting reduction in funding and liquidity requirements of between 40 per cent and 80 per cent.

(iii)Relieving credit limit constraints

Central clearing can reduce credit line and tenor constraints which typically limit the ability of some banks to trade long dated CCS with certain market counterparts in the absence of a credit support annex (CSA).

(iv)Reduction in capital requirements

Significant capital (and economic) benefits for clearing participants can be realized by transacting with a qualified central counterparty (QCCP). Capital required against risk-weighted assets (RWA) is reduced through a 2 per cent to 4 per cent risk-weighting of exposures to a QCCP as compared to a risk-weighting in the range of 20 per cent to 120 per cent for bilateral exposures.

Updated 30 Apr 2018