Consolidated response to HKMA/SFC
- For Forward Volatility Agreement which can apply to any asset class, the Strike Price and One Notional Amount can only be determined at fixing date, and hence the need to report default value on trade date.
- For Rates : Cross currency MTM swap with a future starting date will have require default values e.g. 999999999999999999 for Notional Amount and Other payment amount (PEXH) , notional value for the MTM leg and principal exchange will be unknown until the first fixing occurs at the stated start date.
Understand HKTR has previously confirmed on notional amount, in addition, we would like to clarify when reporting principal exchange amount. - For Equity products :
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Data Element Name |
Products |
Comments |
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Price |
Post-priced EQS |
For post-priced equity swaps price is unknown at the time of booking the trade and is later available in EQSP events |
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Strike price |
Exotics Options |
For Exotic options , the strike price is unknown at the time of booking the trade and is populated when available later |
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Notional amount - Leg 1 |
Post-priced EQS/ Exotics Options |
Due to unavailability of Price/ Strike Price for EQS and Exotic options, notional amount cannot be calculated at the time of booking the trade and is reported with the default value |
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Notional amount - Leg 2 |
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Total notional quantity - Leg 1 |
Variance/ Volatility swap |
These products would not have total notional quantity ever as they are booked notionally. Total notional quantity would be defaulted to 9999999999999999999999999 throughout the lifecycle of the trade |
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Total notional quantity - Leg 2 |
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Package transaction price |
Swaps and portfolio swaps |
In a package transaction there can be multiple deals with multiple UTIs. All the deals can have different underliers with varying prices leading to the package price being unknown. |