Notification of Routine Recalculation of Rates and FX Guarantee Fund

Rates and FX Contribution Determination Date. The recalculation of the routine Rates and FX Guarantee Fund was carried out in accordance with Section 6.7 of the OTC Clearing Hong Kong Limited Clearing Procedures. The recalculation incorporated all settled trades that have taken place during the GF Calculation Period from 2 January 2023 to 31 January 2023. The Rates and FX Guarantee Fund covers the tail risks arising from the potential default of Clearing Members. In addition, OTC conducted the stress test to ensure the adequacy of the Rates and FX Guarantee Fund. The stress test is designed to simulate how a portfolio would behave in the face of extreme market conditions. OTC also regularly reviews its stress testing methodology to ensure that it remains relevant and up-to-date with changing market conditions. This includes conducting reverse stress tests, which are used to assess the effectiveness of existing scenarios and identify any necessary revisions or additions.



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