編號
Ref. No.:
OTCRM/024/2016
日期
Date:
02/08/2016
香港場外結算有限公司
(香港交易及結算所有限公司附屬公司)
OTC CLEARING HONG KONG LIMITED
(A subsidiary of Hong Kong Exchanges and Clearing Limited)
通告 CIRCULAR
Subject:
Notional Exchange Risk Limits and Notional Exchange Risk Multipliers for
Cross Currency Swap Clearing
Enquiry:
Hotline 2211-6753
To prepare for the planned launch of clearing for Standard Cross-currency Rates Derivatives
Contracts - cross-currency interest rate swap (CCS) denominated in CNY (offshore) and US Dollar,
OTC Clear Hong Kong Limited has determined (i) the Notional Exchange Risk Limits of the
respective currencies; and (ii) the Notional Exchange Risk Multipliers according to approved
policies. Both the Notional Exchange Risk Limits and the Notional Exchange Risk Multipliers will
be effective on 15th August 2016.
Notional Exchange Risk Limits
The Notional Exchange Risk limits in CNY (offshore) and US Dollar will be set at 332 million CNY
(offshore) and 50 million US Dollars respectively. These limits will be imposed on a Clearing
Member’s daily net notional exchange amounts in the respective currencies. A Clearing Member’s
daily net notional exchange amounts in CNY (offshore) and US Dollar shall not exceed the
respective Notional Exchange Risk Limits.
Notional Exchange Risk Multipliers
The levels of Notional Exchange Risk Multipliers are determined based on results from the poll
recently conducted with Clearing Members. The different tiers of multipliers for CNY(offshore) and
US Dollar are summarized below.
CNY (offshore) Net
Notional
(payable to OTC Clear)
≥0 & ≤1,660 mn
>1,660 & ≤3,320 mn
>3,320 & ≤4,980 mn
>4,980 & ≤6,640 mn
>6,640 mn
Notional Exchange Risk
USD Net Notional
Notional Exchange
Multiplier (in pips)
(payable to OTC Clear) Risk Multiplier (in pips)
0
18
42
61
110
≥0 & ≤250 mn
>250 & ≤500 mn
>500 & ≤750 mn
>750 & ≤1,000 mn
>1,000 mn
0
18
42
61
110
2
The Multipliers will be applied to calculate the additional margin requirement for a Clearing
Member based on such Clearing Member’s net notional exchange amounts payable to OTC Clear
from all cleared CCS contracts. Different multipliers will be used to calculate the additional margin
for notional exchange amounts in different currencies. For example, if a Clearing Member’s net
notional exchange amount payable to OTC Clear is USD 300mn, the addition margin imposed on
such Clearing Member would be USD 540,000 (i.e. USD 300mn x 18 / 10,000).
For any enquiries, please contact Simon Chen via the hotline 2211-6753.
Wallace Chan
Head of FIC and OTC Clearing Risk Management