ICE Clear Europe OTC FX Product Guide and Published Terms ... · PDF fileOTC FX Product Guide...

ICE Clear Europe

OTC FX Product Guide

and Published Terms for FX Contracts

OTC Foreign Exchange Clearing Services

October 2012

CONFIDENTIAL

ICE Clear Europe Date: 11/29/2012 New Products Proposal – OTC FX Clearing Services

Private and Confidential www.theice.com 2010 2

Table of Contents 1 PRODUCT SUMMARY..................................................................................................................... 3

1.1 NON-DELIVERABLE FX FORWARDS .................................................................................................. 3 1.1.1 Tranche-1: .............................................................................................................................. 3

2 NON-DELIVERABLE FX FORWARDS ......................................................................................... 4 2.1 USD/BRL FX FORWARD CONTRACT SPECIFICATION ....................................................................... 4 2.2 USD/KRW FX FORWARD CONTRACT SPECIFICATION ..................................................................... 9 2.3 USD/CNY FX FORWARD CONTRACT SPECIFICATION .....................................................................14 2.4 USD/INR FX FORWARD CONTRACT SPECIFICATION .......................................................................19 2.5 USD/IDR FX FORWARD CONTRACT SPECIFICATION .......................................................................24 2.6 USD/CLP FX FORWARD CONTRACT SPECIFICATION ......................................................................29 2.7 USD/RUB FX FORWARD CONTRACT SPECIFICATION .....................................................................34



1 Product Summary ICE Clear Europe plans to launch several cleared FX non-deliverable forward contracts in 2012.

1.1 Non-deliverable FX Forwards ICE will clear non-deliverable FX forwards and FX swaps in the following currency pairs:

1.1.1 Tranche-1:

Currency Description

Currency Pair

MTM & Settlement Currency

Settlement Rate Option Maximum Tenor

Price Precision

U.S. Dollar / Brazilian Real

USD/BRL USD BRL PTAX Offer Rate (BRL09) 1:15pm Sao Paolo Time on the FX Valuation Date (See e.g. Reuters Page BRFR)

2 years .000001

U.S. Dollar / Korean Won

USD/KRW USD KRW KFTC18 (KRW02) 3:30pm Seoul Time on the FX Valuation Date (See e.g. Reuters Page KFTC18)

2 years .000001

U.S. Dollar / Chinese Yuan

USD/CNY USD CNY SAEC (CNY01) 9:15am Beijing Time on the FX Valuation Date (See e.g. Reuters Page SAEC)

2 years .000001

U.S. Dollar / Indian Rupee

USD/INR USD INR RBIB (INR01) 12:30pm Mumbai Time on the FX Valuation Date (See e.g. Reuters Page RBIB)

2 years .000001

U.S. Dollar / Indonesian Rupiah

USD/IDR USD IDR ABS (IDR01) 11:30am Singapore Time on the FX Valuation Date (See e.g. Reuters Page ABSIRFIX01)

2 years .000001

U.S. Dollar / Chilean Peso

USD/CLP USD CLP DOLAR OBS (CLP10) 10:30am Santiago Time on the FX Valuation Date (See e.g. Reuters Page CLPOB=)

2 years .000001

U.S. Dollar / Russian Ruble

USD/RUB USD RUB CME-EMTA (RUB03) 1:30pm Moscow Time on the FX Valuation Date (See e.g. Reuters Page EMTA)

2 years .000001

Note: descriptions of settlement rates in the table above are included for convenience and not intended to amend the settlement rates set out in the applicable EMTA Template.



2 Non-deliverable FX Forwards 2.1 USD/BRL FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Brazilian Real (USD/BRL) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.

Contract Units The unit of clearing shall be one (1) U.S. Dollar, in any amount down to a precision of $0.01 USD.

Tenors The FX Settlement Date originally specified must fall not later than the day which is expected (as at the Trade Date) to be the last Settlement Business Day falling within the period of two calendar years beginning on the FX Settlement Date which would standardly apply in the market to a non-deliverable FX "spot" transaction entered into on the Trade Date.

Contract Security ICE Clear Europe acts as central counterparty to all FX Contracts up to and including final settlement.

Transaction Registration Hours

Transactions may be submitted for clearing at any time during the Clearing House's normal operating hours up until one (1) Business Day prior to the applicable FX Settlement Date, subject to exceptions for currency and other holidays, in accordance with the Rules and Procedures of the Clearing House.

Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Brazilian Real per U.S. Dollar.

Minimum Price Fluctuation

Minimum price fluctuations shall be in multiples of 0.000001 Brazilian Real per U.S. Dollar.

Maximum Daily Price Fluctuation

No limits



Position Limits Generally, none, subject to any particular limit imposed on a Clearing Member or otherwise under Part 6 of the Rules.

Daily Mark-To-Market Reference Rates

The Clearing House determines the rates at which FX Contracts are marked-to-market each Business Day, in accordance with its Rules and Procedures. In summary, the rates are based upon a combination of spot prices and forward points at standard tenors, which are used to generate a forward curve. Unrealized mark-to-market gains or losses as at the FX Settlement Date are (i) calculated in the Reference Currency, (ii) converted to USD at the end-of-day reference rate for that FX Settlement Date, and (iii) then discounted to present value using an OIS discount curve.

FX Mark To Market Margin

All open FX Contracts are ‘marked-to-market’ on each Business Day in the Reference Currency in accordance with the Rules, FX Procedures and applicable Margin and risk policies, with FX Mark-to-Market Margin, calculated after conversion into U.S. Dollars, being called and payable in cash in U.S. Dollars.

FX Mark To Market Interest

A Clearing Member will pay FX Mark-to-Market Interest (overnight interest) to the Clearing House on the FX Mark-to-Market Margin Balance in the Clearing Member's favor (if any) in respect of any FX Contract. Similarly, the Clearing House will pay FX Mark-to-Market Interest to the relevant Clearing Member on the FX Mark-to-Market Margin Balance in the Clearing House's favor on any given FX Contract. FX Mark-to-Market Interest is calculated, accrues and is payable in U.S. Dollars, in accordance with the Rules and Procedures.

Trading Mechanism FX Contracts are eligible for clearing if traded or executed on any acceptable FX Trade Processing Platform and submitted to ICE Clear Europe for clearing and settlement.

Delivery / Settlement Type

Each FX Contract is cash settled, in U.S. Dollars, for value on the applicable FX Settlement Date.

Settlement Currency Amount

All open FX Contracts will be settled on the relevant FX Settlement Date in U.S. Dollars, based upon the product of (i) the Notional Amount of the transaction in U.S. Dollars and (ii) 1 minus (the Forward Rate originally specified or applicable to the transaction as submitted for Clearing divided by the Settlement Rate).



If this U.S. Dollar amount is positive then, where the Clearing Member is the Reference Currency Seller, the Clearing House shall debit the Clearing Member's account or, where the Clearing Member is the Reference Currency Buyer, the Clearing House will credit the Clearing Member's account for this amount in U.S. Dollars. If this U.S. Dollar amount is negative then, where the Clearing Member is the Reference Currency Seller, the Clearing House shall credit the Clearing Member's account or, where the Clearing Member is the Reference Currency Buyer, the Clearing House will debit the Clearing Member's account for absolute value of this amount in U.S. Dollars.

Settlement Rate Option (i.e. primary fixing source)

As set forth in the applicable EMTA Template. In summary, this is BRL PTAX Offer Rate (BRL09), which is expressed as the offered amount of Brazilian Real per one U.S. Dollar for settlement in two (2) business days, as reported by the Banco Central do Brazil at approximately 1:15pm São Paulo time on the FX Valuation Date.

Primary fixing source Valuation Postponement:

None

Valuation Business Days

São Paulo and New York City

Settlement Business Days

New York City

First Fallback Reference Price

As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option is unavailable, then the Settlement Rate shall be determined from the First Fallback Reference Price (i.e. “EMTA BRL Industry Survey Rate” (BRL12)) which is expressed as the amount of Brazilian Real per one U.S. Dollar, for settlement in two business days, as published on EMTA’s web site (www.emta.org) at approximately 3:45pm Sao Paulo time, or as soon thereafter as practicable, on the FX Valuation Date. In the event that neither the Settlement Rate Option nor the First Fallback Reference Price are available, then Valuation Postponement will apply.



Applicable EMTA Template

The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with BRL as the Reference Currency and USD as the Settlement Currency.

FX Settlement Date (i.e. value date)

As set forth in the applicable EMTA Template. In summary, a New York City Business Day, subject to adjustment if the scheduled FX Valuation Date is adjusted in accordance with the Following Business Day Convention, or if Valuation Postponement applies, and in each such case, the FX Settlement Date shall be as soon as practicable after, but not more than two (2) Settlement Business Days after, the adjusted FX Valuation Date.

FX Valuation Date (i.e. fixing date)

The FX Valuation Date will always be specified (as at the Trade Date) as the day falling two (2) Valuation Business Days before the specified FX Settlement Date and is subject to adjustment as summarized below.

Scheduled Holidays If, by reason of change after the Trade Date in the days that are Valuation Business Days (other than a change which would constitute an Unscheduled Holiday), the FX Valuation Date no longer falls two (2) Valuation Business Days before the specified FX Settlement Date, then the FX Valuation date will be adjusted to fall on the first earlier date which is two (2) Valuation Business Days before the specified FX Settlement Date. Otherwise, as set out in the applicable EMTA Template.

Unscheduled Holidays or Valuation Postponement

If the FX Valuation Date is adjusted for an Unscheduled Holiday (in accordance with the Following Business Day Convention) or Valuation Postponement applies, the FX Settlement Date will fall two (2) Valuation Business Days after the date on which the relevant Spot Rate is determined. Otherwise, as set out in the applicable EMTA Template.

Rounding Convention

The Rounding Convention for Forward Rate is six (6) decimal places.

Valuation Postponement

Up to thirty (30) calendar days, although the Clearing House may, after consultation with the FX Risk Committee, reduce the time period under “Maximum Days of Postponement” for all Financially-Settled FX Contracts in this Currency Pair having the same specified FX Settlement Date to fewer than thirty (30) days, by Circular. Any such reduction will equally reduce the thirty (30) day time period



under “Deferral Period” for Unscheduled Holidays and under “Cumulative Events”. Where, at the end of the Maximum Days of Postponement, the Settlement Rate has not been determined by reference to the Settlement Rate Option or any of the Fallback Reference Prices, the Settlement Rate will be determined by the Clearing House, as Calculation Agent, in accordance with the Rules and Procedures. Otherwise, as set out in the applicable EMTA Template.



2.2 USD/KRW FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Korean Won (USD/KRW) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Korean Won per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Korean Won per U.S. Dollar.


No limits














All open FX Contracts will be settled on the relevant FX Settlement Date in U.S. Dollars, based upon the product of (i) the Notional Amount of the transaction in U.S. Dollars and (ii) 1 minus (the Forward Rate originally specified or applicable to the transaction as submitted for Clearing divided by the Settlement Rate). If this U.S. Dollar amount is positive then, where the Clearing Member is the Reference Currency Seller, the Clearing House shall debit the Clearing Member's account or, where the Clearing Member is the Reference Currency Buyer, the Clearing House will credit the



Clearing Member's account for this amount in U.S. Dollars. If this U.S. Dollar amount is negative then, where the Clearing Member is the Reference Currency Seller, the Clearing House shall credit the Clearing Member's account or, where the Clearing Member is the Reference Currency Buyer, the Clearing House will debit the Clearing Member's account for absolute value of this amount in U.S. Dollars.


As set forth in the applicable EMTA Template. In summary, this is KRW KFTC18 (KRW02), which is expressed as the amount of Korean Won per one U.S. Dollar for settlement in two (2) business days, as reported by the Korea Financial Telecommunications and Clearing Corporation at approximately 3:30pm Seoul time on the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.


Up to fourteen (14) calendar days


Seoul


New York City

Fallback Reference Price

As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (ie “SFEMC KRW Indicative Survey Rate (KRW04))”, which is expressed as the amount of Korean Won per one U.S. Dollar, for settlement in two business days, as published on SFEMC’s web site (www.sfemc.org) at approximately 3:30pm Singapore time, or as soon thereafter as practicable.


The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with KRW as the Reference Currency and USD as the Settlement Currency.

http://www.sfemc.org/










Rounding Convention



Up to fourteen (14) calendar days, although the Clearing House may, after consultation with the FX Risk Committee, reduce the time period under “Maximum Days of Postponement” for all Financially-Settled FX Contracts in this Currency Pair having the same specified FX Settlement Date to fewer than fourteen (14) days, by Circular. Any such reduction will equally reduce the fourteen (14) day time period under “Deferral Period” for Unscheduled Holidays and under “Cumulative Events”. Where, at the end of the Maximum Days of Postponement, the Settlement Rate has not been determined by reference to the



Settlement Rate Option and, at the end of the “Fallback Survey Postponement Period”, the Settlement Rate has not been determined by reference to the Fallback Reference Price, the Settlement Rate will be determined by the Clearing House, as Calculation Agent, in accordance with the Rules and Procedures. Otherwise, as set out in the applicable EMTA Template.



2.3 USD/CNY FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Chinese Yuan (USD/CNY) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Chinese Yuan per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Chinese Yuan per U.S. Dollar.


No limits






As set forth in the applicable EMTA Template. In summary, this is CNY SAEC (CNY01), which is expressed as the amount of Chinese Renminbi per one U.S. Dollar for settlement in two (2) business days, as reported by the People’s Bank Of China, at approximately 9:15am Beijing time on the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.




Beijing


New York City


As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (i.e. SFEMC CNY Indicative Survey Rate (CNY02))”, which is expressed as the amount of Chinese Renminbi per one U.S. Dollar, for settlement in two business days, as published on SFEMC’s web site (www.sfemc.org) at approximately 3:30pm Singapore time, or as soon thereafter as practicable.


The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with CNY as the Reference Currency and USD as the Settlement Currency.











Rounding Convention






2.4 USD/INR FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Indian Rupee (USD/INR) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Indian Rupee per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Indian Rupee per U.S. Dollar.


No limits






As set forth in the applicable EMTA Template. In summary, this is INR RBIB (INR01), which is expressed as the amount of Indian Rupee per one U.S. Dollar for settlement in two (2) business days, as reported by the Reserve Bank of India at approximately 12:20pm Mumbai time on the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.




Mumbai


New York City


As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (i.e. “SFEMC INR Indicative Survey Rate (INR02))”, which is expressed as the amount of Indian Rupee per one U.S. Dollar, for settlement in two business days, as published on SFEMC’s web site (www.sfemc.org) at approximately 3:30pm Singapore time, or as soon thereafter as practicable.


The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with INR as the Reference Currency and USD as the Settlement Currency.











Rounding Convention






2.5 USD/IDR FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Indonesian Rupiah (USD/IDR) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Indonesian Rupiah per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Indonesian Rupiah per U.S. Dollar.


No limits






As set forth in the applicable EMTA Template. In summary, this is IDR ABS (IDR01), which is expressed as the amount of Indonesian Rupiah per one U.S. Dollar for settlement in two (2) business days, as reported by the Association of Banks in Singapore at approximately 11:30am Singapore time on the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.




Jakarta and Singapore


New York City


As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (i.e. “SFEMC IDR Indicative Survey Rate (IDR02))”, which is expressed as the amount of Indonesian Rupiah per one U.S. Dollar, for settlement in two business days, as published on SFEMC’s web site (www.sfemc.org) at approximately 3:30pm Singapore time, or as soon thereafter as practicable.


The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with IDR as the Reference Currency and USD as the Settlement Currency.











Rounding Convention






2.6 USD/CLP FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Chilean Peso (USD/CLP) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Chilean Peso per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Chilean Peso per U.S. Dollar.


No limits






As set forth in the applicable EMTA Template. In summary, this is CLP DOLAR OBS (CLP10), which is expressed as the amount of Chilean Pesos per one U.S. Dollar for settlement in one (1) business day, as reported by the Banco Central de Chile by not later than 10:30am Santiago time on the first business day following the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.


Up to thirty (30) calendar days


Santiago and New York City


New York City


As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (i.e. “EMTA CLP Indicative Survey Rate” (CLP11)).


The applicable EMTA Template for this currency pair is that published on 1 August, 2006, with CLP as the Reference Currency and USD as the Settlement Currency.


As set forth in the applicable EMTA Template. In summary, a New York City Business Day, subject to adjustment if the scheduled FX Valuation Date is adjusted in accordance with the Following Business



Day Convention, or if Valuation Postponement applies, and in each such case, the FX Settlement Date shall be as soon as practicable after, but not more than two (2) Settlement Business Days after, the adjusted FX Valuation Date.






Rounding Convention



Up to thirty (30) calendar days, although the Clearing House may, after consultation with the FX Risk Committee, reduce the time period under “Maximum Days of Postponement” for all Financially-Settled FX Contracts in this Currency Pair having the same specified FX Settlement Date to fewer than thirty (30) days, by Circular. Any such reduction will equally reduce the thirty (30) day time period under “Deferral Period” for Unscheduled Holidays and under “Cumulative Events”. Where, at the end of the Maximum Days of Postponement, the Settlement Rate has not been determined by reference to the Settlement Rate Option or the Fallback Reference Price, the Settlement Rate will be determined by the Clearing House, as Calculation Agent, in accordance with the Rules and Procedures.



Otherwise, as set out in the applicable EMTA Template.



2.7 USD/RUB FX Forward Contract Specification

Introduction Cleared OTC U.S. Dollar / Russian Ruble (USD/RUB) Spot, Forwards and Swaps. As set out in the Rules, the terms include certain provisions of the Applicable EMTA Template, as amended and referred to in the Rules. Some of those provisions are summarised below.






Quotation The contract price is in units of the Reference Currency per unit of the Settlement Currency (interbank conventions), ie Russian Ruble per U.S. Dollar.


Minimum price fluctuations shall be in multiples of 0.000001 Russian Ruble per U.S. Dollar.


No limits






As set forth in the applicable EMTA Template. In summary, this is RUB CME-EMTA (RUB03), which is expressed as the amount of Russian Rubles per one U.S. Dollar for settlement in one (1) business day, as calculated by the Chicago Mercantile Exchange (pursuant to the CME/EMTA Daily Russian Ruble Per U.S. Dollar Reference Rate Methodology) at approximately 1:30pm Moscow time on the FX Valuation Date. In the event that the Settlement Rate Option is not available, then Valuation Postponement will apply.




Moscow and New York City


New York City


As set forth in the applicable EMTA Template. In summary, if the Settlement Rate Option remains unavailable after Valuation Postponement, then the Settlement Rate shall be determined from the Fallback Reference Price (i.e. “EMTA RUB Indicative Survey Rate (RUB04))”, which is expressed as the amount of Russian Ruble per one U.S. Dollar, for settlement in one (1) business day, as published on EMTA’s web site (www.emta.org) at approximately 2:45pm Moscow time, or as soon thereafter as practicable.


The applicable EMTA Template for this currency pair is that published on 17 May, 2006, with RUB as the Reference Currency and USD as the Settlement Currency.

http://www.emta.org/




As set forth in the applicable EMTA Template. In summary, a New York City Business Day, subject to adjustment if the scheduled FX Valuation Date is adjusted in accordance with the Following Business Day Convention, or if Valuation Postponement applies, and in each such case, the FX Settlement Date shall be as soon as practicable after, but not more than one (1) Settlement Business Day after, the adjusted FX Valuation Date.


The FX Valuation Date will always be specified (as at the Trade Date) as the day falling one (1) Valuation Business Day before the specified FX Settlement Date and is subject to adjustment as summarized below.

Scheduled Holidays If, by reason of change after the Trade Date in the days that are Valuation Business Days (other than a change which would constitute an Unscheduled Holiday), the FX Valuation Date no longer falls one (1) Valuation Business Day before the specified FX Settlement Date, then the FX Valuation date will be adjusted to fall on the first earlier date which is one (1) Valuation Business Day before the specified FX Settlement Date. Otherwise, as set out in the applicable EMTA Template.


If the FX Valuation Date is adjusted for an Unscheduled Holiday (in accordance with the Following Business Day Convention) or Valuation Postponement applies, the FX Settlement Date will fall one (1) Valuation Business Days after the date on which the relevant Spot Rate is determined. Otherwise, as set out in the applicable EMTA Template.

Rounding Convention






Settlement Rate Option or the Fallback Reference Price, the Settlement Rate will be determined by the Clearing House, as Calculation Agent, in accordance with the Rules and Procedures. Otherwise, as set out in the applicable EMTA Template.

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