Shenzhen Stock Exchange: New Interest Calculation Method For Pledge-Style Repo Implemented On May 22

As the bond market of Shenzhen Stock Exchange (SZSE) has been scaling up in recent years, the trading amount of pledge-styled repo (hereinafter referred to as “repo”) also increases and the market is paying more and more attention to the fluctuation of repo interest rate. To address the holiday effect issue, smooth the volatility of repo interest rate and further improve the repo interest rate formation mechanism, SZSE made amendments the Implementation Rules of Bond Transaction on Shenzhen Stock Exchange on April 14, 2017. The repo interest calculation method has been revised, with the interest period of repo price at maturity changed from nominal days to actual days of fund occupation. The new method will be officially implemented on May 22, 2017. For the bond repo transactions closed before that date, the repo prices are still calculated as per the original formula.