3. In this Schedule —| “compressed derivatives contract”, in relation to a portfolio compression cycle, means a derivatives contract that was modified, or terminated and replaced, under the cycle; |
| “constant notional amount”, as a specified feature of a derivatives contract, refers to whether or not the notional amount of the derivatives contract is constant throughout the tenor of the derivatives contract; |
“features”, in relation to a fixed‑to‑floating interest rate swap contract, means the following:| (a) | the settlement currency of the fixed‑to‑floating interest rate swap contract is the currency as specified in the second column of Table 1; | | (b) | the underlying thing of the fixed‑to‑floating interest rate swap contract is the floating interest rate index as specified in the third column of Table 1; | | (c) | the tenor of the fixed‑to‑floating interest rate swap contract is as specified in the fourth column of Table 1; | | (d) | whether or not the fixed‑to‑floating interest rate swap contract has optionality is as specified in the fifth column of Table 1; | | (e) | whether or not the fixed‑to‑floating interest rate swap contract has a constant notional amount is as specified in the sixth column of Table 1; | | (f) | the trade start type of the fixed‑to‑floating interest rate swap contract is as specified in the seventh column of Table 1; | | (g) | the fixed rate of the fixed‑to‑floating interest rate swap contract is as specified in the eighth column of Table 1; | | (h) | the fixed leg payment frequency of the fixed‑to‑floating interest rate swap contract is as specified in the ninth column of Table 1; | | (i) | the fixed leg day count convention of the fixed‑to‑floating interest rate swap contract is as specified in the tenth column of Table 1; | | (j) | the floating leg reset frequency of the fixed‑to‑floating interest rate swap contract is as specified in the eleventh column of Table 1; | | (k) | the floating leg day count convention of the fixed‑to‑floating interest rate swap contract is as specified in the twelfth column of Table 1; |
|
“fixed‑to‑floating interest rate swap contract” means an interest rate swap under which —| (a) | the payments to be made by one of the 2 parties are to be calculated by reference to a fixed interest rate applied to a notional amount; and | | (b) | the payments to be made by the other party are to be calculated by reference to a floating interest rate applied to the same notional amount; |
|
| “IMM” means the International Monetary Market; |
“interest rate swap” means a derivatives contract under which —| (a) | the 2 parties to the derivatives contract agree to exchange interest rate cash flows at specified intervals while the derivatives contract is outstanding; and | | (b) | the payments are to be calculated by reference to —| (i) | a notional amount that is denominated in a single currency; and | | (ii) | agreed fixed interest rates or agreed floating interest rates; |
|
|
| “optionality”, as a specified feature of a derivatives contract, refers to whether or not the derivatives contract has an option granted to a party to the derivatives contract which, if exercised, would or could affect the amount, timing or form of the payments to be made under the derivatives contract; |
“package transaction” means a transaction in which —| (a) | 2 or more parties agree to purchase or sell 2 or more capital markets products; | | (b) | all the capital markets products mentioned in paragraph (a) are purchased or sold (as the case may be) simultaneously; and | | (c) | the purchase or sale (as the case may be) of each capital markets product mentioned in paragraph (a) is contingent upon the purchase or sale (as the case may be) of all the capital markets products mentioned in paragraph (a); |
|
“participant” means a person who —| (a) | is a party to one or more derivatives contracts contained in a portfolio of derivatives contracts; | | (b) | has, together with one or more other persons (each of whom is a party to one or more derivatives contracts contained in the portfolio), engaged an operator to conduct a portfolio compression cycle on the portfolio; and | | (c) | is not the operator; |
|
“portfolio compression cycle” means a process —| (a) | that is applied to a portfolio of derivatives contracts; | | (b) | under which some or all of the derivatives contracts in the portfolio are —| (i) | modified to reduce their notional amount; or | | (ii) | terminated and replaced with one or more new derivatives contracts which have the effect of reducing notional exposures between the participants; |
| | (c) | that is conducted for the purposes of reducing counterparty risk or operational risk for the participants; | | (d) | that is conducted by an operator engaged by parties to derivatives contracts contained in the portfolio; | | (e) | in which there are at least 2 participants; and | | (f) | that is conducted —| (i) | in accordance with rules set by the operator; and | | (ii) | in compliance with a counterparty credit risk tolerance level set by all the participants; |
|
|
| “settlement currency”, as a specified feature of a derivatives contract, refers to the currency in which payments under the derivatives contract are denominated; |
| “tenor”, as a specified feature of a derivatives contract, refers to the period starting on the date on which the derivatives contract comes into effect and ending on the date on which the derivatives contract expires; |
| “underlying thing”, as a specified feature of a derivatives contract that is a fixed‑to‑floating interest rate swap contract, means the floating interest rate index by reference to which payments to be made by any one counterparty to the other counterparty under the fixed‑to‑floating interest rate swap contract are calculated. |
|