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关于调整银行间本外币市场2020年春节假期休市安排的通知

全国银行间本币市场成员、银行间外汇市场会员:

根据《国务院办公厅关于延长2020年春节假期的通知》(国办发明电〔20201号),经中国人民银行和国家外汇管理局同意,银行间本外币市场2020年春节假期休市安排做如下调整:

一、银行间本币市场

(一)银行间本币市场(含债券通、银行间债券市场柜台业务)延长春节假期休市至202022日,23日起恢复交易和清算结算。

(二)若银行间本币市场信用拆借、质押式回购、买断式回购、现券买卖、债券借贷、债券远期、标准债券远期、利率互换、信用违约互换等交易品种的结算日、支付日以及债券(含资产支持证券,以下同)、同业存单、凭证类信用风险缓释工具的缴款日在2020131日、21日的,顺延至23日进行结算和支付;债券和同业存单的付息日、兑付日在2020131日、21日的,顺延至23日进行付息和兑付。

(三)涉及拆借利息、回购利息、借贷费用以及其他业务利息、费用调整的,交易双方可按照适用的协议文件及市场惯例进行协商。

二、银行间外汇市场

(一)银行间人民币外汇市场、外币对市场和外币货币市场延长春节假期休市至202022日,23日起正常开市。

(二)新增131日为银行间外汇市场人民币节假日。为保证交易正常清算和行权,对已达成的历史交易,将参照《关于完善历史起息日等相关日期遇节假日统一调整的通知》(中汇交发[2018]454号)等规定进行调整,具体规则如下:

1.双边清算

1)若人民币外汇即期、远期和掉期交易起息日,人民币外汇期权交割日、期权支付日,人民币外汇货币掉期交易期初本金交换日、期末本金交换日或付息日在131日,上述相关日期将顺延至下一营业日23日。

2)若人民币外汇期权和外币对期权交易行权日在131日,则该行权日将顺延至下一营业日23日,交割日24日不做调整。

3)原近端起息日为131日、远端起息日为23日的掉期交易调整后,近端、远端起息日将同时落在23日。

4)外币对询价交易、外币拆借交易和外币利率互换交易的起息日、还款日、付息日、交割日和期权费支付日等相关日期若在131日,上述相关日期不做调整。

2.银行间市场清算所股份有限公司(以下简称上海清算所外汇竞价净额清算和外汇询价中央对手清算

1)纳入上海清算所外汇竞价净额清算和外汇询价中央对手清算的交易,若起息日、交割日和期权费支付日在131日,上述相关日期将顺延至下一营业日23日,保证金交纳日期也相应顺延。会员应当按照上海清算所123日已发布的结算清单和保证金清单显示的结算金额和保证金要求,于23日完成资金结算和保证金的交纳,上海清算所不再重新发布结算清单或对123日日终保证金计算结果进行调整。

(2)纳入上海清算所外汇询价中央对手清算的,1月23日达成的即期询价(T+2)交易、历史达成的近/远端起息日为2月3日的远、掉期交易,起息日将调整为2月4日,清算出单日调整为2月3日。

3)纳入上海清算所外汇询价中央对手清算的,若人民币外汇期权行权日在123日,则行权产生的交易(EXOP)起息日从23日调整为24日,清算出单日调整为23日;若行权日为131日,则该行权日顺延至下一营业日23日,交割日从24日调整为25日,清算出单日调整为24日。

(4)纳入上海清算所外汇询价中央对手清算的,原近端起息日为1月31日、远端起息日为2月3日的掉期交易调整后,近端起息日将落在2月3日、远端起息日将落在2月4日;原近端起息日为2月3日、远端起息日为2月4日的掉期交易调整后,近端、远端起息日将同时落在2月4日。

5123日达成的、起息日落在23日的外汇即期竞价交易,起息日不做调整;与122日达成的外汇即期竞价交易分别轧差结算,不做合并轧差。

(三)交易中心将对调整后的交易重新生成成交单,CSTP将重新推送。交易后服务平台用户应重新进行交易确认。其他未尽事宜,请交易双方协商处理。

请银行间本币市场成员/外汇市场会员妥善安排好相关事宜。

 

中国外汇交易中心暨全国银行间同业拆借中心联系方式:

4009787878-2-2(本币市场);4009787878-1-2-1(外汇市场)

中央国债登记结算有限公司联系方式:010-88170123

银行间市场清算所股份有限公司联系方式:021-23198686/8787/8888


中国外汇交易中心暨全国银行间同业拆借中心

中央国债登记结算有限公司

银行间市场清算所有限公司

2020年1月28日

            

Notice of Extending Spring Festival Holidays for ChinaInterbank RMB and FX Market


 

All Interbank RMB Market Participants and FX Market Members,

Following' General Office of the State Council Noticeof Extending Spring Festival Holidays', with approval from People's Bank of Chinaand State Administration of Foreign Exchange, China will Interbank RMB and FX Marketadjustments are as below:


InterbankRMB Market

1. Spring Festival Holidays for Interbank RMB Market(including Bond Connect,Interbank bond market over-the-counter business) extend to 2nd of February 2020.Trading, clearing and settlement service resume on 3rd of February;

2. Settlement and payment date falling on 31st of January and 1st of Februarywill postpone to 3rd of February for any transaction including Credit Lending, PledgedRepo, Outright Repo, Cash Bond, Bond Lending, (Standardized) Bond Forward, InterestRate Swap, Credit Default Swap and etc.; and same adjustments apply to primary biddingof Cash Bond (hereinafter including Asset Back Securities),NCD and Credit Risk MitigationInstruments. Bond and NCD coupon and mature date falling on1st of January and 1st of February will postpone to 3rd of February;

3. Adjustments on incurred interest and any cost related to Credit Lending,Repo and Securities Lending may negotiated by counterparts according to appliedagreement and market practice.

 

Interbank FX Market

I. The interbankRMB/FX market, G10 currency pairs market and foreign currency money market willremain closed until February 2nd, 2020 and reopen on February 3rd.

II. January31st is newly added as CNY holiday for the interbank FX market. In orderto ensure the smooth clearing and exercise of the transactions, the historicallyexecuted transactions will be adjusted with reference to the Notice on the Improvement of the Unified Adjustmentof Historical Value Date and Other Relevant Dates for Holidays (ZhonghuijiaofaNo.[2018]454) and other provisions. Detailed rules are as follows:

1. Bilateralclearing

(1) If thevalue date of RMB/FX spot, forward or swap, the delivery date and premium date ofRMB/FX option, and the initial exchange date, final exchange date or payment dateof RMB/FX CCS falls on January 31st, the aforementioned relevant datewill be postponed to the next business day on February 3rd.

(2) If RMB/FXoption or G10 currency pairs option expiry date falls on January 31st,this expiry date will be postponed to next business day February 3rd.Delivery date on February 4th will not be adjusted.

(3) For aswap trade whose original near-leg value date falls on January 31st andfar-leg value date falls on February 3rd, its near-leg and far-leg valuedate will be adjusted to February 3rd simultaneously.

(4) If relevantdates of G10 currency pairs bilateral trades, foreign currency lending, and FX interestrate swap such as value date, maturity date, payment date, delivery date and premiumdate fall on January 31st, these dates will not be adjusted.

2. Nettingclearing for FX anonymous trading and CCP Clearing for FX bilateral trading at ShanghaiClearing House

(1) For FXanonymous trades netted and FX bilateral trades CCP cleared by Shanghai ClearingHouse, if the value date, delivery date and premium date falls on January 31st,the aforementioned dates, along with margin payment date, will be postponed to thenext business day on February 3rd. Market members shall complete cashsettlement and margin payment on February 3rd, in the light of settlementamount and margin requirement shown on the settlement reports and margin reportspublished on January 23rd by Shanghai Clearing House. Shanghai ClearingHouse will not re-issue the settlement reports or adjust the calculation resultsof margin at the day end of January 23rd.

(2) For FXbilateral trades CCP cleared by Shanghai Clearing House, the value date of spotbilateral trades (T+2) conducted on January 23rd and of forward and swaptrades whose near-leg or far-leg value date is February 3rd will be adjustedto February 4th, and the report generation date will be adjusted to February3rd.

(3) For FXbilateral trades CCP cleared by Shanghai Clearing House, if RMB FX option expirydate falls on January 23rd, then the value date of FX trades resultedfrom option exercise(EXOP) will be adjusted from February 3rd to February4th, and the report generation date will be adjusted to February 3rd.If RMB FX option expiry date falls on January 31st, the expiry date willbe postponed to the next business day February 3rd,the delivery date from February 4th to February5th, and the report generation date to February 4th.

(4) For FXbilateral swap trades CCP cleared by Shanghai Clearing House, if the near-leg valuedate of a trade falls on January 31st and the far-leg value date fallson February 3rd, the near-leg value date will be adjusted to February3rdand the far-leg value date will be adjustedto February 4th. if the near-leg value date of a trade falls on February3rd and the far-leg value date falls on February 4th, thenear-leg value date will be adjusted to February 4th which is the samedate as the far-leg value date.

(5) For FXanonymous spot trades conducted on January 23rd, if the value date fallson February 3rd, the value date will not be adjusted, and the tradeswill be netted separately rather than netted together with the FX anonymous spottrades conducted on January 22nd.

 

III. CFETSwill regenerate deal tickets for the trades adjusted, which will be re-transmittedby CSTP. Users of post-trade platform shall re-conduct trade confirmation. For otheroutstanding matters, please negotiate with trading counterparties.

InterbankRMB market participants / FX market members shall arrange related matters properly.

In case ofany discrepancy between English version and Chinese version, the Chinese versionshall prevail.


China Foreign Exchange Trade System also known as National Interbank Funding Center

China Centeral Depository & Clearing Co.,Ltd.

Shanghai Clearing House

January 28th,2020