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外汇
外币对交易中央对手清算业务
可纳入外币对交易中央对手清算业务的交易包括在交易中心平台达成的外币对询价交易以及外币对撮合交易。可清算的产品包括外币对即期交易、外币对远期交易以及外币对掉期交易，支持的货币对为欧元对美元、美元对日元、美元对港币、澳元对美元、英镑对美元。
G10 transactions concluded with trading mode of bilateral and matching in CFETS are eligible for G10 transaction CCP clearing service.G10 transaction CCP clearing service supports clearing of spot, forward and swap transactions in the following currency pairs: EUR/USD, USD/JPY, USD/HKD, AUD/USD and GBP/USD.
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目前，上海清算所提供的外币对交易中央对手清算业务产品如下表所示（其中，T 日表示交易日)。未来，上海清算所将视业务发展需要增加或调整产品种类、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 |
EUR/USD |
T+2日 |
无 |
|
掉期交易 |
即期对远期 |
Spot-Forward |
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 |
|
At present, the clearing products offered 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 or adjusted with business development, SHCH shall make additional announcement as required.
|
Product category |
Currency pairs |
Near leg |
Far leg |
|
|
Spot transaction |
Spot |
EUR/USD |
T+2 |
None |
|
Swap transaction |
Spot-Forward |
T+2 |
T+F |
|
|
Forward1-Forward2 |
T+F1 |
T+F2 |
||
|
Forward transaction |
Forward |
None |
T+F |
|
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清算费＝清算金额×清算费率。不同清算品种的清算金额如下表1：
|
清算品种 |
清算金额 |
|
|
外币对即期、远期 |
交易本金金额（折人民币） |
|
|
外币对掉期 |
近端 |
近端本金金额（折人民币）× 0.5 |
|
远端 |
远端本金金额（折人民币）× 0.5 |
|
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=clearing amount×clearing rate. Clearing amounts for different clearing types are listed as below:
|
Clearing products |
Clearing amount |
|
|
G10 Spot and Forward |
Principal amount(RMB) |
|
|
G10 Swap |
Near leg |
Near leg principal amount(RMB)× 0.5 |
|
Far leg |
Far leg principal amount(RMB)× 0.5 |
|
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.
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 |
|
一个月以上 |
5 |
清算轧差日计算清算费并计入当期费用。
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 |
3 |
|
＞1 month |
5 |
Clearing fees shall be calculated on netting day and recorded into expenses of current period.
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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经波动率调整的期望损失值模型（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 G10 transaction CCP clearing service is the volatility adjusted 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
程娅婕 Cheng Yajie
chengyajie@shclearing.com.cn