HKAB HKD Interest Settlement Rates (HKD HIBOR)

Specifications

Item Specifications
Benchmark Owner The Hong Kong Association of Banks (HKAB)
Benchmark Treasury Markets Association
Administrator

Calculation Agent Hong Kong Interbank Clearing Limited (HKICL)

Helpdesk: (852) 2533 1668
Definition The estimated offer rates at which deposits in HKD for the
Contract Period are being quoted to prime banks in the
Hong Kong interbank market at 11:00a.m. on the relevant
business day

Tenors O/N, 1W, 2W, 1M, 2M, 3M, 6M and 12M

Contributing Banks 12-20 banks appointed by the HKAB and selected by

the Hong Kong Monetary Authority (HKMA) based on
banks’ activeness in the different categories

Calculation Method The benchmark rate is determined by averaging the

middle quotes after excluding the highest three quotes
and lowest three quotes received from the Contributing
Banks.

Number of Decimal 5 decimal places

Places

Contribution Cut off at 11:10 a.m.

Window

Publication date and Every Hong Kong business day1 at 11:15a.m. There will be
time no publication on Hong Kong public holidays.

Value date For all tenors, the publication and the value dates shall
be the same (i.e., T+0). Should the value date fall on a
Hong Kong public holiday, the value date shall be the
immediately succeeding day that is a Hong Kong
business day.

Maturity date and Should the maturity date fall on a Hong Kong public
non-business days holiday:

1
For the avoidance of doubt, “Hong Kong business day” excludes Saturdays for the purposes of
these specifications.
 For all tenors except overnight, 1W and 2W, the
maturity date shall be the immediately succeeding day
that is a Hong Kong business day unless that day falls in
the next calendar month, in which case the maturity date
shall be the immediately preceding day that is a Hong
Kong business day.
For the overnight, 1W and 2W tenors, the maturity date
shall be the first day which is a Hong Kong business
day and falls at least one, seven or fourteen days from
the value date, regardless of whether it is in the next
calendar month.
Where a deposit is made on the final business day of a
particular calendar month, the maturity of the deposit shall
be on the final business day of the month in which it
matures (not the corresponding date in the month of
maturity).

Dissemination HKD HIBOR will be published on the HKAB and TMA's

website at 11:15a.m. or the screens/websites of the
redistributors authorised by HKAB.

Governance Rate submissions and related systems of control for HKD

HIBOR are governed by Module CG-7, “Code of Conduct
for Benchmark Submitters,” of the HKMA’s Supervisory
Policy Manual. The Surveillance and Governance
Committee of the TMA will monitor Contributing Banks’
rate submissions and the determination process.

Special weather Please refer to Table 1 below

arrangements

2
Fallback Please refer to Table 2 below (which also indicated the
arrangement minimum data needed to determine the benchmark)

The TMA encourages stakeholders who have financial

instruments that reference TMA-administrated benchmark
to take steps to make sure that:
(a) Contracts or other financial instruments that reference
TMA-administrated benchmark have robust fallback
provisions in the event of non-publication of, material
changes to, or cessation of, the referenced benchmark,
e.g. those promulgated by the International Swaps and
Derivatives Association; and
(b) Stakeholders are aware of the possibility that various
factors, including external factors beyond the control
of the TMA, might necessitate material change to
TMA-administrated benchmark.

Modification of The H K A B a n d TMA reserves the right to modify the

these specifications HKD HIBOR specifications as it sees fit. Market
participants and Contributing Banks will be given
adequate notice before any such changes are implemented.
Terms and The prevailing Terms and Conditions for the benchmark
Conditions for the can be found in the website of the TMA
benchmark (https://www.tma.org.hk/en_disclaimer.aspx).

Disclaimer The HKAB, TMA and HKICL make no warranties,

representations or undertakings, expressed or implied by
law or otherwise, in relation to HKD HIBOR and are not
responsible for any errors or omissions, or losses caused by
disruptions in the service, late publication of the
benchmarks, inaccuracy of the benchmarks, or otherwise
arising from the use of or reliance on the benchmark. By
viewing, using or downloading these benchmarks, you
implicitly accept this disclaimer and agree to its terms.

3
 Table 1: Publication arrangement under typhoon signal and black
rainstorm warning

Black Rainstorm Warning

Issued before
Possible Issued before
9:00 a.m.
combinations of Not issued OR 9:00 a.m. and
and not
No.81 Typhoon issued after 9:00 withdrawn at or
withdrawn
Signal and Black a.m. before 12:00
Rainstorm Warning at or before
noon
12:00 noon
(1) Not hoisted Publication: 11:15 Publication: 2:30
a.m. p.m.
(2) Hoisted at or
before 11:00
a.m. and
lowered2 at
Publication: 2:30 Publication: 2:30
or before 12:00
p.m. p.m.
noon
not lowered
at or before No No
No
12:00 noon Publication Publication
Publication
lowered2 at
No.81 Typhoon Signal

or before 12:00
noon but hoisted No No
again before Publication Publication
2:30 p.m.

(3) Hoisted after

11:00 a.m. and
lowered2 at
Publication: 11:15 Publication: 2:30
or before 12:00
am. p.m.
noon
not lowered
at or before Publication: 11:15 No
12:00 noon a.m. Publication

Note 1: Or a higher number signal.

Note 2: To a typhoon signal below No. 8.

4
Table 2: Fallback arrangements

Scenario Conditions Response

A i) At least 12 Contributing HKD HIBOR is calculated and
Banks have contributed published at 11:15a.m.
rates by 11:00a.m.; and

ii) There are no issues at the

Calculation Agent.

B i) The conditions for scenario At 11:15a.m. or as soon as

A are not met; possible thereafter, an
appropriate notification will be
ii) At least 12 Contributing displayed on the TMA website
Banks have contributed informing users that the
rates by 2:15p.m.; and benchmark will be published
at 2:30p.m.
iii) There are no issues at the
Calculation Agent. HKD HIBOR is calculated and
published at 2:30p.m.

C i) The conditions for scenarios

A and B are not met2; and

ii) It is a good business day. That day’s HKD HIBOR is

published using the HKD
HIBOR of the previous
business day.

iii) It is deemed not a good That day’s HKD HIBOR is

business day. published using the HKD
HIBOR of the next business
day.

2
An appropriate notification will be displayed on the TMA website informing users that
there will be no publication for the entire day.

5
 Current List of Contributing Banks (2 October 2019 – 30 September 2020)

1. Agricultural Bank of China Limited

2. Australia and New Zealand Banking Group Limited
3. Bank of China (Hong Kong) Limited
4. Bank of Communications Co., Ltd.
5. The Bank of East Asia, Limited
6. BNP Paribas
7. China CITIC Bank International Limited
8. China Construction Bank (Asia) Corporation Limited
9. China Development Bank
10. Citibank, N.A.
11. DBS Bank (Hong Kong) Limited
12. Hang Seng Bank Limited
13. The Hongkong and Shanghai Banking Corporation Limited
14. Industrial and Commercial Bank of China (Asia) Limited
15. JPMorgan Chase Bank, N.A.
16. Mizuho Bank, Ltd.
17. MUFG Bank, Ltd.
18. Standard Chartered Bank (Hong Kong) Limited
19. Sumitomo Mitsui Banking Corporation
20. United Overseas Bank Limited

Current List of Redistributors

1. Barclays Bank PLC

2. Blackrock, Inc.
3. Bloomberg Finance L.P.
4. CSOP Asset Management Limited
5. FactSet Research Systems Inc.
6. Moody’s Analytics, Inc.
7. QUICK Corp.
8. Reval.com, Inc.
9. Refinitiv

Last revised: 3 June 2020