|
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 and Clearing Link 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 and Clearing Link 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 |
| 3.6A |
Multilateral Compression
|
| 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 amount (coupon) in respect of 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 |
| 4.5A |
Participating 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 |
6.2A
|
Where the Special Clearing House Participant is the highest Expected Uncollateralized Loss |
| 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 |
| 8.12 |
Agency Appointment |
| 8.13 |
Client Entitlement |
| 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
|
[Deleted] |
| 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 |
| 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 and Special Clearing House Participant Default |
| Chapter 11 |
Clearing Procedures relating to the Special Clearing House Participant
|
11.1
|
Obligations of the Special Clearing House Participant
|
11.2
|
Operation of the Clearing Link Services
|
11.3
|
De-registration of Inter-CCP Rates Derivatives Contract
|
11.4
|
Identifier
|
11.5
|
Settlement
|
11.6
|
Inter-CCP Margin Amount |
11.7
|
Variation Margin
|
11.8
|
Product specific terms and calculation methodologies
|
11.9
|
Cash Collateral
|
11.10
|
Non-cash Collateral
|
11.11
|
Collateral Valuation
|
|
|
|
|
| Appendix I |
Fees Schedule |
| Appendix II |
Additional Financial Centers |
| 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 Linear Interpolation and for a Stub Calculation Period |
| Appendix VI |
List of Equivalent Floating Rate Options |
| Appendix VII |
Template SSM Tripartite Agreement - sponsoring Clearing Member incorporated in England |
| Appendix VIII |
Template SSM Tripartite Agreement - sponsoring Clearing Member incorporated in France |
|
|
| Glossary
|
Glossary |