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EURO CHATS Clearing
List of eligible securities for Intraday Repo
- HKMA Exchange Fund Bills
- HKMA Exchange Fund Notes
- The Euro Bonds listed in CMU issued by The Ministry of Finance of the People’s Republic of China
Hair-cut rate
| Eligible Securities | Haircut |
|---|---|
| HKMA Exchange Fund Bills | 2.5% per remaining year to maturity |
| HKMA Exchange Fund Notes | 2.5% per remaining year to maturity |
| The Euro Bonds Listed in CMU issued by The Ministry of Finance of the People’s Republic of China – Fixed Rate | 2.5% per remaining year to maturity, minimum 5% |
| The Euro Bonds Listed in CMU issued by The Ministry of Finance of the People’s Republic of China – Floaters | 5% |
Price differential
The higher of:
(i) the amount equal to the percentage agreed for such purpose from time to time between the Parties of the Purchase Value of the related Repo Transaction multiplied by 1/360 and by the number of days for which the related Repo Transaction has remained outstanding; and
(ii) an amount equal to the cost which would have been incurred by SCBHK for funding the Purchase Value of the related Repo Transaction from the European interbank market for the period during which the related Repo Transaction has remained outstanding (provided that the Price Differential shall not exceed 2 per cent. per annum* above €STR at the time of determination).
*Such percentage may be varied by SCBHK from time to time and notified by SCBHK to the Participant by way of updating this website as soon as reasonably practicable after such variation.