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人民币外汇交易中央对手清算业务
人民币外汇交易中央对手清算业务包括人民币外汇即期交易、人民币外汇掉期交易、人民币外汇远期交易以及人民币外汇期权交易。
ccp clearing products for rmb/fx transaction include rmb/fx spot transaction, rmb/fx swap transaction, rmb/fx forward transaction and rmb/fx option transaction.
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人民币外汇即期交易
指交易双方以约定的外汇币种、金额、汇率，在交易日（t日）后两个工作日（t 2日）及以内结算的外汇对人民币的交易。
rmb/fx spot transaction
refer to the fx to rmb transactions settled within two business days (day t 2) after the trading day (day t) and with the agreed fx currency, amount and exchange rate.
人民币外汇掉期交易
指交易双方约定一前一后两个不同的起息日、方向相反的两笔本外币交易，在前一次交易（近端交易）中，一方用外汇按照约定汇率从另一方换入人民币（或人民币换入外汇）；在后一次交易（远端交易）中，该方再用人民币按照另一约定汇率从另一方换回外汇（或外汇换回人民币）。
rmb/fx swap transaction
refer to the trading including two fx to rmb transactions that both parties agreed on with different value dates and in opposite direction. in earlier trading (near leg), one party buys rmb with foreign exchange at a specific rate (or buys foreign exchange with rmb); in later trading (far leg), such party buys foreign exchange with rmb at another specific rate (or buys rmb with foreign exchange).
人民币外汇远期交易
指交易双方以约定的外汇币种、金额、汇率，在约定的未来某一日期结算的外汇对人民币的交易。
rmb/fx forward transaction
refer to the fx to rmb transactions settled in the agreed fx currency, amount and exchange rate on an agreed future date.
人民币外汇期权交易
指在未来某一交易日以约定汇率买卖一定数量外汇资产的权利。期权的买方以支付期权费的方式拥有权利，期权卖方收取期权费，并在买方选择行权时履行义务。
rmb/fx option transaction
refer to the right to buy or sell a certain amount of fx assets at the agreed exchange rate on a future trading day. the buyer of the option has the right by paying the option premium, and the seller of the option collects the option premium and performs the obligation when the buyer chooses to exercise the right.
目前，上海清算所接受的清算业务产品如下表所示（其中，t日表示交易日)。未来根据业务发展需要增加产品种类、货币对及期限范围，并另行公布。
|
产品种类 |
货币对 |
近端结算日 |
远端结算日 |
||
|
即期交易 |
spot |
usd/cny |
t 1日、t 2日 |
无 |
|
|
gbp/cny |
t 2日 |
||||
|
hkd/cny |
|||||
|
jpy/cny |
|||||
|
aud/cny |
|||||
|
eur/cny |
|||||
|
掉期交易 |
隔夜 |
tom/next |
usd/cny |
t 1日 |
t 2日 |
|
即期对远期 |
spot-forward |
t 1日、t 2日 |
t f日 |
||
|
远期对远期 |
forward1-forward2 |
t f1日 |
t f2日 |
||
|
远期交易 |
|
forward |
无 |
t f日（f≤5y 2） |
|
|
期权交易（含组合） |
option |
usd/cny |
无 |
t f日（f≤1y 2） |
|
at present, the clearing products accepted by shch are shown in the following table (where day t represents the trading day). in the future, if new products, currency pairs and tenors are added based on business development, shch shall publish the new information separately.
|
product category |
currency pairs |
near leg |
far leg |
|
|
settlement day |
settlement day |
|||
|
spot transaction |
spot |
usd/cny |
t 1、t 2 |
none |
|
gbp/cny |
t 2 |
|||
|
hkd/cny |
||||
|
jpy/cny |
||||
|
aud/cny |
||||
|
eur/cny |
||||
|
swap transaction |
tom/next |
usd/cny |
t 1 |
t 2 |
|
spot-forward |
t 1、t 2 |
t f（f≤5y 2） |
||
|
forward1-forward2 |
t f1 |
t f2（2 |
||
|
forward transaction |
forward |
none |
t f（f≤5y 2） |
|
|
option transaction |
option |
usd/cny |
none |
t f（f≤1y 2） |
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清算费＝基本费清算金额×清算费率。
不同清算品种的清算金额如下表：
|
清算品种 |
清算金额 |
|
|
外汇即期、外汇远期 |
交易本金金额（人民币） |
|
|
外汇掉期 |
近端 |
近端本金金额（人民币）× 0.5 |
|
远端 |
远端本金金额（人民币）× 0.5 |
|
|
外汇期权 |
交易本金金额（人民币） |
|
对于存续期间清算退出的交易收取100元/笔基本费（清算退出处理费），其余交易免收基本费。
clearing fee=base fee clearing amount×clearing rate.
clearing amounts for different clearing types are listed as below:
|
clearing products |
clearing amount |
|
|
fx spot and fx forward |
principal amount (rmb) |
|
|
fx swap |
near leg |
near leg principal amount (rmb)× 0.5 |
|
far leg |
far leg principal amount (rmb)× 0.5 |
|
|
fx option |
principal amount (rmb) |
|
a base fee (clearing exit fee) of 100 rmb per transaction is charged for clearing exit transactions. all other transactions are exempted from base fee.
外汇即期交易包括因外汇期权全额行权生成的外汇即期交易。不同期限的清算费率如下表：
|
期限 |
清算费率（单位：百万分之一） |
|
即期 |
1.2 |
|
一周以内（含） |
1.2 |
|
一周至一个月 |
3 |
|
一个月至三个月 |
5 |
|
三个月至六个月 |
5 |
|
六个月至一年 |
5 |
|
一年至五年 |
5 |
清算轧差日计算清算费并计入当期费用。
fx spot transactions also include fx spot trades generated by full amount delivery in fx option.
clearing rates for different tenors are listed as below:
|
tenor |
clearing rate (0.0001%) |
|
spot |
1.2 |
|
≤1 week |
1.2 |
|
1 week to 1 month (inclusion) |
3 |
|
1 month to 3 months (inclusion) |
5 |
|
3 months to 6 months (inclusion) |
5 |
|
6 months to 1 year (inclusion) |
5 |
|
1 year to 5 years (inclusion) |
5 |
clearing fees shall be calculated on netting day and recorded into expenses of current period.
非现金担保品管理费：
清算参与者非现金担保品管理费的年化费用为担保品有效余额的0.1%，计价单位为人民币元，逐日计算，按季度征收，公式如下：
每日非现金担保品管理费（折人民币）=当日非现金担保品有效余额（usd）*当日人民币对美元汇率中间价*0.1%/365
fees for non-cash collateral management services:
the annualized fees of non-cash collateral management services is 0.1%*effective balance, the fees currency is rmb, the fee is calculated daily and paid quarterly. the calculation formula is as follows:
daily non-cash collateral management fee (rmb)=the effective balance of non-cash collateral on the day(usd)*usd/cny central parity rate on the day*0.1%/365
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保证金包括初始保证金、盯市保证金和特殊保证金。初始保证金又分为最低保证金和超限保证金。
最低保证金根据风险敞口限额核定，缴纳币种为人民币或美元。超限保证金是清算参与者风险敞口超出风险敞口限额时交纳的保证金，缴纳币种为人民币。风险敞口基础模型为期望损失值模型（es）。盯市保证金根据双向盯市损益金额计算，结算币种为人民币。盯市返还金额根据次日到期合约（包括远期和掉期一端，不包括即期）计算，结算币种为人民币。特殊保证金用于弥补异常情况下清算参与者违约给上海清算所造成的潜在额外损失。
the types of margin include initial margin, mtm margin and special margin. initial margin shall include minimum margin and excess margin.
minimum margin shall be determined according to a clearing participant’s risk exposure limit, and its payment should be done in rmb or usd. excess margin shall be collected when the net position or the risk exposure of a clearing participant exceeds the risk exposure limit, its payment should be paid in rmb. the basic model of rmb/fx ccp clearing service is expected loss model (es). mtm margin shall be calculated by mark-to-market profit and loss, which is settled in rmb. mtm return shall be calculated based on amount of positions due on t 1(including forward and swap ends, excluding spot), and should be settled in rmb. the special margin shall be used to cover the additional potential losses caused by clearing participants’ defaults under abnormal circumstances.
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业务一部 rmb & fx clearing department
汪希阳 wang xiyang
wangxiyang@shclearing.com.cn