Production Coverage
The types of OTC derivatives product supported by the Reporting Service of the HKTR are basically determined with reference to the types of product subject to mandatory reporting requirement. The list of products currently supported by the Reporting Service include the followings:
Interest rate (IR) derivatives
| Base Product | Sub Product |
Deliverable |
Non-deliverable |
Cancellable Provision |
Early Termination Provision |
Amortization Schedule |
|---|
| CapFloor |
- |
√ |
√ |
- |
√ |
√ |
| Cross Currency |
Fixed vs Float |
√ |
√ |
√ |
√ |
√ |
| Fixed vs Fixed |
√ |
√ |
√ |
√ |
√ |
| Basis Swap |
√ |
√ |
√ |
√ |
√ |
| FRA |
- |
- |
- |
- |
- |
- |
| IR Swap |
Fixed vs Float |
√ |
√ |
√ |
√ |
√ |
| |
Basis Swap |
√ |
√ |
√ |
√ |
√ |
| |
Overnight Index Swap (OIS)# |
√ |
√ |
√ |
√ |
√ |
| |
Fixed vs Fixed |
√ |
√ |
√ |
√ |
√ |
| |
Inflation |
√ |
√ |
√ |
√ |
√ |
| Option |
Swaption * |
- |
- |
- |
- |
- |
| Other |
(All Interest Rate derivatives products) |
√ |
√ |
√ |
√ |
√ |
| |
# Overnight Index Swap with floating vs floating legs to be reported as Basis Swap
* The swap under swaption still supports deliverable, non-deliverable, cancellable, early termination and amortization schedule |
Foreign exchange (FX) derivatives
| Base Product |
|---|
| Forward * |
| Non-deliverable Forward (NDF) |
| Non-deliverable Option (NDO) |
| Vanilla Option |
| Other (All Foreign Exchange derivatives products) |
| * FX Swap is reported as two separate individual Forwards (one for the near leg and one for the far leg) |
Equity (EQ) derivatives
|
Base Product |
Sub Product |
Transaction Type |
|---|
| Option |
Price Return Basic Performance |
Single Index |
| Single Name |
| Swap |
Price Return Basic Performance |
Single Index |
| Single Name |
| Parameter Return Variance |
Single Index |
| Single Name |
| Parameter Return Dividend |
Single Index |
| Single Name |
| Other |
(All Equity derivatives products) |
- |
Credit (CD) derivatives
|
Product Type |
Product Sub-Type |
|---|
| Single Name |
Corporate |
| Sovereign |
| Index Tranche |
CDX |
| iTraxx |
| Index |
CDX |
| iTraxx |
| Other |
(All Credit derivatives products) |
Commodity (CM) derivatives
|
Transaction Type |
trade leg type |
|---|
| Swap |
Fixed Float |
| Float Float |
| Float Coal / Gas / Oil / Electricity |
| Fixed Coal / Gas / Oil / Electricity |
| Option |
Option Option |
| Fixed Bullion / Metal |
| Average Bullion / Metal |
| Forward |
Fixed Bullion / Metal |
| Average Bullion / Metal |
| Other |
(All Commodity derivatives products) |
For Product Type “Other” under all supported asset classes, a simplified excel template plus uploading of supplementary attachment (e.g., file in PDF format) is supported.
Over time, new products may be added. The HKTR will advise TR Members and announce the introduction of new products well in advance.
The pace of introduction of new products to the HKTR, however, may not necessarily be fully in sync with the pace of introduction of the products for mandatory reporting. TR Members should make reference to the mandatory reporting requirements to ascertain, among the products supported by the HKTR, which products are subject to mandatory reporting.