Notification on the Relevant Issues Concerning the Implementation of Trial Operation of Net Price Trading of Treasury Bonds

上海证券交易所关于实施“试行国债净价交易”有关事宜的通知

Promulgating Institution: Shanghai Stock Exchange

Promulgating Date: 03/18/2002

Effective Date: 03/18/2002

颁布机关: 上海证券交易所

颁布时间: 03/18/2002

实施时间:03/18/2002

All member Units:

According to the spirit of the Notification on Trial Operation of Net Price Trading of Treasury Bonds (Cai Ku [2001] No. 12) issued by the Ministry of Finance, the People's Bank of China, and China Securities Regulatory Commission of the People's Republic of China (CSRC), we hereby notify as follows the relevant issues concerning the net price trading of treasury bonds:

    各会员单位:

    根据财政部、中国人民银行和中国证券监督管理委员会《关于试行国债净价交易有关事宜的通知》(财库〔2001〕12号)精神,现将有关事宜通知如下:

I. Time for the implementation the net price trading of treasury bonds

The implementation shall begin from 25th March 2002 (Monday).

       一、实施“试行国债净价交易”时间

    从2002年3月25日(星期一)起实施。

II. Meaning of net price trading

"Net price trading," means the trading mode through which the prices excluding interest accrued are quoted and transactions are concluded accordingly. On condition of net price trading, because the transaction prices of treasury bonds exclude interest accrued, the creation and fluctuation of such prices may embody the inner value of treasury bonds, supply and demand relationship, and trends of changes of market interest more accurately.

       二、净价交易概念

    净价交易是指在现券买卖时,以不含有自然增长应计利息的价格报价并成交的交易方式。在净价交易条件下,由于国债交易价格不含有应计利息,其价格形成及变动能够更加准确地体现国债的内在价值、供求关系及市场利率的变动趋势。

III. Calculation method for interest accrued after carrying out net price trading of treasury bonds

The amount of interest accrued = Nominal rate / 365 days ⊙ days for which the interest accrued has been calculated.

All factors of the aforesaid formula shall have the following meaning:

1. The amount of accrued of zero-coupon treasury bonds means the amount of interest from the Date of Value of the issuance to the Transaction Date. The amount of interest accrued of interest-bearing treasury bonds means the amount of interest from the Date of Value of this interest payment period to the Transaction Date.

2. Nominal rate of interest-fixed treasury bonds means the nominal rate for issuance, and the nominal rate for interest-floating treasury bonds means the interest-bearing interest rate of this interest payment period.

3. Days of a fiscal year and interest-bearing days: 365 days are calculated for a fiscal year, and no interest is calculated for the 29th day of February of each leap year. Days for which the interest accrued have been calculated mean the actual calendar days from the Date of Value and the Transaction Date.

4. In the event that the nominal rate cannot be divided exactly by 365 days, the computer system will calculate the interest accrued according to the accuracy of the amount of interest accrued for each RMB 100 (accurate to eight places of decimals, that is, data type: N15.8). The amount of interest accrued as listed in the delivery order shall be indicated with two decimals based on the unit of Yuan (RMB) according to the principle of half adjustment.

5. The principle for interest calculation for trading of treasury bonds is calculation of the first day's interest and no calculation of the last day's interest; specifically, the interest of the Date of Value shall be calculated, and the no interest shall be calculated for the "Date of Maturity." The Amount of Interest Accrued for Each RMB 100 indicated by the nominal quotation on a trading day includes the amount of interest accrued of this Trading Day. In the event of maturity of treasury bonds, the amount of interest accrued means the amount of interest accrued from the Date of Value to the Date of Maturity (excluding the Date of Maturity).

       三、实行国债净价交易后,应计利息额的计算方法应计利息额=票面利率÷365(天)×已计息天数上述公式各要素具有以下含义:

    1、应计利息额:零息国债是指发行“起息日”至“成交日”所含利息金额;附息国债是指本付息期“起息日”至“成交日”所含利息金额。

    2、票面利率:固定利率国债是指发行票面利率;浮动利率国债是指本付息期计算利率。

    3、年度天数及已计息天数:1年按365天计算,闰年2月29日不计算利息;已计息天数是指“起息日”至“成交日”实际日历天数。

    4、当票面利率不能被365天整除时,计算机系统按每百元利息额的精度(小数点后保留8位即数据类型位为N15.8)计算;交割单所列“应计利息额”按“4舍5入”原则,以元为单位保留2位小数列示。

    5、国债交易计息原则是“算头不算尾”,即“起息日”当天计算利息,“到期日”当天不计算利息;交易日挂牌显示的“每百元应计利息额”是包括“交易日”当日在内的应计利息额;若国债持有到期,则应计利息额是自“起息日”至“到期日”(不包括到期日当日)的应计利息额。

IV. Principles to govern the net price trading of treasury bonds

The net price trading of treasury bonds shall be governed by not only the current trading rules of this Exchange, but also the following principles:

1. In the event of net price declaration and clinching a deal via a go-between based on net price, the settlement price shall be the sum of the transaction price and the interest accrued.

2. The quotation for net price trading of treasury bonds shall be made based on the price of each RMB 100 treasury bond, and the amount of interest accrued shall be listed based on the amount of interest included in each RMB 100 treasury bond.

3. The quoting system and the market information disclosure system shall simultaneously indicate the net prices and the amount of interest accrued.

4. The Amount of Interest Accrued indicated by site declaration terminals and the market information systems of all securities business departments is the reference value, and all member unit shall make fund settlement based on the data in data file of "the Amount of Interest Accrued for Varieties of Treasury Bonds of the Current Day" announced by China Securities Depository and Clearing Corporation Limited Shanghai Branch.

5. The System of Trading Settlement and Delivery Order Printing shall automatically calculate the amount of interest accrued, and shall indicate the Settlement Price, the Net Price, and the Amount of Interest Accrued respectively on the delivery order.

The net price trading of treasury bonds is a new mode of trading, and will cause relatively serious effect to the securities market and the correlated fields. Therefore, all units concerned shall abide by the principle of activeness and reliability, accomplish all preparation work as required, and ensure the smooth operation of the net price trading of treasury bonds.

       四、国债净价交易遵循的原则

    实行国债净价交易仍将遵守本所现行的交易规则,其次:

    1、实行净价申报和净价撮合成交,以成交价格和应计利息额之和作为结算价格。

    2、国债净价交易以每百元国债价格进行报价,应计利息额按每百元国债所含利息额列示。

    3、报价系统和行情发布系统同时显示净价价格和应计利息额。

    4、在场内申报终端和各证券营业部的行情系统显示的“应计利息额”均为参考值,各会员单位应以中国证券登记结算有限责任公司上海分公司公布的“当日国债品种应计利息额”数据文件的数据为准进行资金清算。

    5、交易清算及交割单打印系统,应自动计算应计利息额并在交割单上分别列明“结算价”、“净价”及“应计利息额”。

    国债净价交易是新的交易方式,对证券市场和相关领域会产生较大影响,因此,各有关单位应遵循积极稳妥的原则,按要求做好各项准备工作,确保试行国债净价交易的顺利实施。

Appendix: 

                Technical Scheme for Net Price Trading of Treasury Bonds of Shanghai Stock Exchange

    附件:

上海证券交易所国债净价交易技术方案

According to the requirements of China Securities Regulatory Commission and the Ministry of Finance, this Exchange will put the system of net price trading of treasury bonds in trial. In order to cooperate in the smooth operation of this system, this Exchange formulated the corresponding technical scheme.

    根据中国证监会和国家财政部的要求,本所将试行国债的净价交易制度。为了配合该制度的平稳实施,本所研究制定了相关的技术方案。

I. Principles to be followed by this Exchange to try out the net price trading of treasury bonds

1. In the event of net price declaration and clinching a deal via a go-between based on net price, the settlement price shall be the sum of the transaction price and the interest accrued.

2. The quoting system and the market information disclosure system shall simultaneously indicate the net prices and the amount of interest accrued. The quotation for this Exchange's trading of treasury bonds shall be made based on the price of each RMB 100 Treasury bond, and the amount of interest accrued shall be listed based on the amount of interest included in each RMB 100 Treasury bond.

    一、本所试行国债净价交易遵循的原则 

    1、实行净价申报和净价撮合成交,以成交价格和应计利息额之和作为结算价格。 

    2、报价系统和行情发布系统应同时显示净价价格和应计利息额,本所的国债交易以每百元国债价格进行报价,应计利息额也按每百元国债所含利息额列示。

II. Technological preparation

1. Securities dealers participating in trading of treasury bonds shall declare net prices for trading in securities; specifically, net prices shall be put in for the prices declared in the site dealing hall and over-the-counter offers. This Exchange also clinches a deal via a go-between based on net price, and the transaction price is the net price. The amount of interest included in each RMB 100 Treasury bond shall be indicated as an added item on the declaration thermals and screens of the site-dealing hall. The prices and amount in answerbacks of the real-time success of transactions of treasury bonds issued by this Exchange are net prices and the business volume calculated based on net prices.

2. In order to make convenience for all parties concerning the market and participating in trading of treasury bonds to disclose the information about interest of treasury bonds and to calculate the settlement prices of treasury bonds, China Securities Depository and Clearing Corporation Limited Shanghai Branch will send the amount of interest of accrued of each RMB 100 treasury bond of the current day to securities dealers via the platform of PROP2000, and please consult the notification issued otherwise by China Securities Depository and Clearing Corporation Limited Shanghai Branch for details. Meanwhile, this Exchange will also send the document of the amount of interest accrued for each RMB 100 treasury bond of the current day to securities dealers in time through the broadcasting satellite system and this Exchange's website, and please see Appendix for this document's format.

3. The transaction prices of treasury bonds in the bank of transactions sent by this Exchange to securities dealers after the closing are net prices of treasury bonds, and the business volume of treasury bonds is the business volume calculated based on net prices. The business volume of treasury bonds in the bank of clearing is also the business volume calculated based on net prices. The format of the banks of transactions and clearing shall hold the line.

4. Securities dealers may settle accounts based on the settlement documents sent by China Securities Depository and Clearing Corporation Limited Shanghai Branch (consult the notification issued otherwise by China Securities Depository and Clearing Corporation Limited Shanghai Branch for details), and may calculate the settlement price (the settlement price = net price + the amount of interest accrued) based on the documents of transactions, settlement documents, and documents of the amount of interest accrued for treasury bonds of the current day of this Exchange.

    二、技术准备 

    1、券商参与国债交易以净价申报,即场内交易大厅和场外报盘中国债的申报价应输入净价。 

    本所同样以净价撮合成交,成交价亦为净价。在场内交易大厅的申报终端和大屏上增加显示每百元国债所含利息额。交易所发布的国债即时成交回报中的价格和金额为净价价格和以净价价格计算的成交金额。 

    2、为方便参与国债交易的市场各方揭示国债利息信息和计算国债结算价,中国证券登记结算有限责任公司上海分公司将通过PROP2000平台把当日每百元国债应计利息额文件发送给券商(具体参照中国证券登记结算有限责任公司上海分公司另行发布的通知)。同时,本所也将通过卫星广播系统和本所网站及时将当日每百元国债应计利息额文件发送给券商,该文件的格式附后说明。 

    3、收市后本所发给券商的成交库中的国债成交价为国债净价,国债成交金额为以国债净价计算的成交金额。清算库中国债的成交金额亦为以净价计算的成交金额。成交库和清算库的格式保持不变。 

    4、券商可以根据中国证券登记结算有限责任公司上海分公司发送的清算文件进行清算(具体参照中国证券登记结算有限责任公司上海分公司另行发布的通知),也可根据本所的成交文件、清算文件和当日国债应计利息额文件,计算出结算价(结算价=净价+应计利息额)。