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Approved by the China Securities Regulatory Commission (CSRC), the Shanghai Stock Exchange (SSE) has revised some articles related to the collateralized repo of bonds in the “SSE Trading Rules” (the “Trading Rules” for short) and the “SSE Detailed Rules for Implementation of Bond Trading” (the “Detailed Rules” for short), and the specific amendments are as follows:
1. Amendments to related articles in the “Trading Rules”
The method of calculating the closing price of collateralized repo has been modified. Article 4.1.3 is amended to: "Except as otherwise provided in these rules, the closing price of the securities shall be the volume weighted average price of all transactions in one minute before the last transaction of the securities (including the last transaction) on the very day. It there is no transaction on the very day, the closing price shall be the previous one.
The closing price of collateralized repo of bonds is the volume weighted average price of all transactions in one hour before the last transaction of the securities (including the last transaction) on the very day. If there is no transaction on the very day, the closing price shall be the previous one.”
2. Amendments to related articles in the “Detailed Rules”
(1) Addition of articles on the methods of calculating the opening price and the closing price of the collateralized repo
One article is added as Article 16: “The opening price of the collateralized repo of bonds is the price generated in the call auction for the repo product; if the call auction fails to result in an opening price, the price of the first transaction in the continuous auction shall be the opening price.
The closing price of bonds repo is the volume weighted average price of all transactions in one hour before the last transaction of the securities (including the last transaction) on the very day. If there is no transaction on the very day, the closing price shall be the previous one.”
(2) Revision of calculation formula of repurchase price of bonds repo
The original Article 18 is modified as: “On the maturity date of repo, the securities depository and clearing institution shall calculate the quantities of funds and collateralized bonds that shall be delivered on the basis of the repurchase price formula.
The formula of repurchase price is: repurchase price = RMB100 + annual rate of return × RMB100 × actual number of days for the outstanding funds / 365.
The actual number of days for the outstanding funds in the second paragraph in the article refers to the actual number of calendar days from the first settlement day (included) to the settlement day (excluded) of maturity in the repo transaction.”
These amendments shall come into effect starting on May 22, 2017. The repurchase prices at maturity for the repo transactions reached before May 22, 2017 shall still be calculated on the basis of the original formula.
