All Interbank RMB Market Participants and FX Market Members,
Following' General Office of the State Council Notice of Extending Spring Festival Holidays', with approval from People's Bank of China and State Administration of Foreign Exchange, China will Interbank RMB and FX Market adjustments are as below:
Interbank RMB 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 February will postpone to 3rd of February for any transaction including Credit Lending, Pledged Repo, Outright Repo, Cash Bond, Bond Lending, (Standardized) Bond Forward, Interest Rate Swap, Credit Default Swap and etc.; and same adjustments apply to primary bidding of Cash Bond (hereinafter including Asset Back Securities),NCD and Credit Risk Mitigation Instruments. Bond and NCD coupon and mature date falling on 1st 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 applied agreement and market practice.
Interbank FX Market
I. The interbank RMB/FX market, G10 currency pairs market and foreign currency money market will remain closed until February 2nd, 2020 and reopen on February 3rd.
II. January 31st is newly added as CNY holiday for the interbank FX market. In order to ensure the smooth clearing and exercise of the transactions, the historically executed transactions will be adjusted with reference to the Notice on the Improvement of the Unified Adjustment of Historical Value Date and Other Relevant Dates for Holidays (Zhonghuijiaofa No.454) and other provisions. Detailed rules are as follows:
1. Bilateral clearing
(1) If the value date of RMB/FX spot, forward or swap, the delivery date and premium date of RMB/FX option, and the initial exchange date, final exchange date or payment date of RMB/FX CCS falls on January 31st, the aforementioned relevant date will be postponed to the next business day on February 3rd.
(2) If RMB/FX option 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 a swap trade whose original near-leg value date falls on January 31st and far-leg value date falls on February 3rd, its near-leg and far-leg value date will be adjusted to February 3rd simultaneously.
(4) If relevant dates of G10 currency pairs bilateral trades, foreign currency lending, and FX interest rate swap such as value date, maturity date, payment date, delivery date and premium date fall on January 31st, these dates will not be adjusted.
2. Netting clearing for FX anonymous trading and CCP Clearing for FX bilateral trading at Shanghai Clearing House
(1) For FX anonymous trades netted and FX bilateral trades CCP cleared by Shanghai Clearing House, 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 the next business day on February 3rd. Market members shall complete cash settlement and margin payment on February 3rd, in the light of settlement amount and margin requirement shown on the settlement reports and margin reports published on January 23rd by Shanghai Clearing House. Shanghai Clearing House will not re-issue the settlement reports or adjust the calculation results of margin at the day end of January 23rd.
(2) For FX bilateral trades CCP cleared by Shanghai Clearing House, the value date of spot bilateral trades (T+2) conducted on January 23rd and of forward and swap trades whose near-leg or far-leg value date is February 3rd will be adjusted to February 4th, and the report generation date will be adjusted to February 3rd.
(3) For FX bilateral trades CCP cleared by Shanghai Clearing House, if RMB FX option expiry date falls on January 23rd, then the value date of FX trades resulted from option exercise(EXOP) will be adjusted from February 3rd to February 4th, and the report generation date will be adjusted to February 3rd. If RMB FX option expiry date falls on January 31st, the expiry date will be postponed to the next business day February 3rd, the delivery date from February 4th to February 5th, and the report generation date to February 4th.
(4) For FX bilateral swap trades CCP cleared by Shanghai Clearing House, if the near-leg value date of a trade falls on January 31st and the far-leg value date falls on February 3rd, the near-leg value date will be adjusted to February 3rd and the far-leg value date will be adjusted to February 4th. if the near-leg value date of a trade falls on February 3rd and the far-leg value date falls on February 4th, the near-leg value date will be adjusted to February 4th which is the same date as the far-leg value date.
(5) For FX anonymous spot trades conducted on January 23rd, if the value date falls on February 3rd, the value date will not be adjusted, and the trades will be netted separately rather than netted together with the FX anonymous spot trades conducted on January 22nd.
III. CFETS will regenerate deal tickets for the trades adjusted, which will be re-transmitted by CSTP. Users of post-trade platform shall re-conduct trade confirmation. For other outstanding matters, please negotiate with trading counterparties.
Interbank RMB market participants / FX market members shall arrange related matters properly.
In case of any discrepancy between English version and Chinese version, the Chinese version shall prevail.
China Foreign Exchange Trade System also known as National Interbank Funding Center
China Central Depository & Clearing Co., Ltd.
Shanghai Clearing House
January 28th, 2020