OASIS user guide - Hong Kong Exchanges and Clearing Limited

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PART IV – Appendix PART IV – Appendix Appendix 1 — Sample CSV file for what-If Portfolio Upload Provided by OTC Clear separately. You may contact OTC Clear - OTCClear_OASIS@hkex.com.hk to obtain the file. September 2013 Page 96 of 107
PART IV – Appendix Appendix 2 — Default Trade Template of What-If Trade Below are the detailed data formats of IRS and NDF What-If Trade templates. When using the “what-if trade” function, user can make reference to the table below to input the appropriate value/strings. Note: 1. All fields below MUST be entered by the user 2. Supported rate index may be subject to further change USD/EUR/HKD/CNH IRS Trade Template (Applicable to both Payfixed and Recfixed) General Terms Fields Format/Example Supported Value Start Date DD-MMM-YYYY (User must define) - End Date DD-MMM-YYYY (User must define) - Business Day Convention / Day Roll MOD_FOLLOW Notional XXXXXXXXXXX (User must define) - Fixed Leg Terms Fixed Rate (%) XXXXXXXXXXX (User must define) - MOD_FOLLOW FOLLOWING PRECEDING MOD_PRECED Fixed Rate Day Count ACT/360 ACT/360 ACT/365 30/365 30/360 Fixed Rate Coupon Frq SA MTH QTR SA PA Floating Rate Terms Floating Rate Index USD#LIBOR#1M# BBA USD: USD#LIBOR#1M# BBA USD#LIBOR#3M# BBA USD#LIBOR#6M# BBA USD#LIBOR#12M#BBA EUR: EUR#EURIBOR#1M# Reuters EUR#EURIBOR#3M# Reuters EUR#EURIBOR#6M# Reuters EUR#EURIBOR#12M# Reuters CNH: CNY#SHIBOR#1M# Reuters CNY#SHIBOR#3M# Reuters CNY#SHIBOR#6M# Reuters CNY#SHIBOR#12M# Reuters HKD: HKD#HIBOR#1M#HKAB HKD#HIBOR#3M#HKAB HKD#HIBOR#6M#HKAB HKD#HIBOR#12M#HKAB Floating Rate Day Count ACT/360 ACT/360 ACT/365 30/365 30/360 Floating Rate Coupon Frq QTR MTH QTR SA PA Stub Period Rule NONE NONE September 2013 Page 97 of 107
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OTC Clearing Hong Kong Limited OTC
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Amendment Log Updated Date Document
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Part I - General Information Hotlin
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OASIS user guide - Hong Kong Exchanges and Clearing Limited

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