E. Calculation of accrued interest for trades in debt securities

There are two cases in the calculation of accrued interest of a trade in an interest-bearing debt security. If a trade is due for settlement between the Begin date of a period and the corresponding Last Registration date, the buyer pays accrued interest to the seller. If a trade is due for settlement between the date following the Last Registration date and the End date of the period, the seller pays accrued interest to the buyer.

In the former case, accrued interest is calculated according to:

Actual Days Passed = no. of calendar days between Period Begin Date (included) and settlement date (included) if positive accrued interest applies, or no. of calendar days between settlement date (excluded) and Period End Date (included) if negative accrued interest applies.

The following different bases are used to find out actual no. of days in the year.

• 365 or 366 days in a year;
• 360 days in a year and each month is equal to 30 days;
• 360 days with actual number of days passed.

F. Accrued Interest Adjustment - change in floating interest rate of debt securities

For trades in floating rate debt securities effected in one interest period and is due for settlement on or after the first day of the next following interest period, it is possible that interest rate of the new interest period may not be fixed when the trade is concluded.

Upon notification of the interest rate of the next following interest period by the issuer or issuer's agent, HKSCC may adjust the accrued interest amount of the affected positions. Where other circumstances warrant, HKSCC may also adjust the accrued interest in line with market practice.

Details of the accrued interest adjustments are provided in FCS, Next Settlement Day Due/Overdue Position Reports, Settled Position Reports and Settlement Report, where applicable.

In addition, adjustment in accrued interest can be enquired via the following on-line functions.

• Enquire Settlement Activity
• Enquire Due/Overdue Position
• Enquire Money Obligations

G. Accrued Interest Adjustment - change due to typhoon and black rainstorm

Due to typhoon and black rainstorm, securities and money settlement may be affected. If debt securities settlement and money settlement are delayed, accrued interest of debts securities would be recalculated based on the revised settlement day or one bank working day interest would be added in case securities settlement has been effected but money settlement is delayed. In addition, if the issuer or issuer's agent notifies any changes on the last registration date and/or period end date, accrued interest would be recalculated to take into account of the changes.

Details of the accrued interest adjustments are provided in FCS, Next Settlement Day Due/Overdue Position Report, Settled Position Report, and Settlement Report, where applicable.

In addition, adjustment in accrued interest can be enquired via the following on-line functions.

• Enquire Settlement Activity (SSAE)
• Enquire Due/Overdue Position (SOPE)
• Enquire Money Position (SMEE)

The actual time of posting the adjustment will depend on notification of the interest rate by issuer or issuer's agent.