| Notice by the National Interbank Funding Center of the Trial Operation of the Interest Rate Option Business | | 全国银行间同业拆借中心关于利率期权业务试运行上线的通知 |
| (No. 51 [2020] of the National Interbank Funding Center) | | （中汇交发〔2020〕51号） |
| Members of the interbank local currency market: | | 银行间本币市场成员： |
| For the purposes of maximizing the role of the interbank interest rate derivatives market in supporting the real economy, satisfying the needs of market members for the management of interest rate risks, and improving the pricing mechanism for interest rate risks, with the approval of the People's Bank of China, the National Interbank Funding Center (hereinafter referred to as the “CFETS”) will conduct the trial operation of interest rate option trading and provide relevant services from March 23, 2020, and you are hereby notified of the relevant matters as follows: | | 为更好发挥银行间利率衍生品市场对实体经济支持作用，满足市场成员利率风险管理需求，完善利率风险定价机制，经中国人民银行批复同意，全国银行间同业拆借中心（以下简称交易中心）将于2020年3月23日起试运行利率期权交易及相关服务，现将有关事项通知如下： |
| 1. The interest rate option trading instruments for trial operation are interest rate swap options and collar options linked with LPR1Y/LPR5Y. | | 1. 试运行利率期权交易品种为挂钩LPR1Y/LPR5Y的利率互换期权、利率上/下限期权。 |
| 2. For the purposes of regulating the operation of the interest rate option market, the CFETS has developed the Rules for Trading in Interest Rate Options on the Interbank Market (for Trial Implementation), which are hereby issued to the market for your compliance and implementation. | | 2.为规范利率期权市场运行，交易中心制定了《银行间市场利率期权交易规则（试行）》，现向市场发布，请遵照执行。 |
| 3. In order to encourage market development, the interest rate option trading commissions for the two years prior to business operation shall be temporarily exempted. | | 3.为鼓励市场发展，业务运行前两年暂免利率期权的交易手续费。特此通知。 |
| Annex: Rules for Trading in Interest Rate Options on the Interbank Market (for Trial Implementation) | | 附件：银行间市场利率期权交易规则（试行） |
| National Interbank Funding Center | | 全国银行间同业拆借中心 |
| February 28, 2020 | | 2020年2月28日 |
| Annex | | 附件 |
| Rules for Trading in Interest Rate Options on the Interbank Market (for Trial Implementation) | | 银行间市场利率期权交易规则（试行） |
| Chapter I General Provisions | | 第一章 总则 |
| Article 1 For the purposes of promoting the development of the interest rate derivatives market and regulating the trading in interest rate options, the National Interbank Funding Center (hereinafter referred to as the “CFETS”) has developed these Rules in accordance with the relevant provisions of the People's Bank of China (“PBC”). | | 第一条 为推进利率衍生产品市场发展，规范利率期权交易行为，全国银行间同业拆借中心（以下简称交易中心）根据中国人民银行相关规定，制定本规则。 |
| Article 2 For the purposes of these Rules, “interest rate options” shall include but not be limited to interest rate swap options, collar options, and other products. | | 第二条 本规则所称利率期权包括但不限于利率互换期权、利率上/下限期权等产品。 |
| An “interest rate swap option” means an option contract under which both parties to an option transaction have the right to exchange under agreed terms at an agreed interest rate on a set date. The option buyer shall obtain rights by paying option premium; and the option seller shall collect the option premium and perform obligations when the buyer chooses to exercise the option. | | 利率互换期权是指期权交易双方有权在约定日期以约定条件买卖约定利率互换的期权合约。期权买方以支付期权费的方式获得权利；期权卖方收取期权费，并在买方选择行权时履行义务。 |
| A “collar option” means an option contract under which the option buyer has the right to request the option seller to pay the interest on the balance accrued since the reference interest rate is higher or lower than the agreed interest rate within the agreed term. The option buyer shall pay option premium to the seller and the option seller shall pay to the buyer the interest on the balance if the reference interest rate is higher or lower than the agreed interest rate. | | 利率上/下限期权是指期权买方在约定期限内有权要求期权卖方支付由于参考利率超过/低于约定的利率水平而产生的差额利息的期权合约。期权买方向卖方支付期权费，期权卖方在参考利率高于/低于约定利率水平时向买方支付差额部分的利息。 |
| Article 3 The CFETS shall provide a service platform for trading in interest rate options and services relating to transactions, organize market participants to quote and trade in interest rate options, perform daily market monitoring and statistics duties, and accept the supervision of the PBC. | | 第三条 交易中心提供利率期权交易及交易相关服务平台，组织市场参与者开展利率期权报价和交易，履行市场日常监测和统计职责，接受中国人民银行监管。 |
| Article 4 Market participants shall trade in interest rate options under the principles of fairness, good faith, self-discipline and self-assumption of risks. Financial institution participants shall trade in interest rate options based on their own needs while non-financial institution participants shall trade in interest rate options for the purpose of risk hedging. | | 第四条 市场参与者进行利率期权交易应当遵循公平、诚信、自律、风险自担的原则。金融机构参与者应出于自身需求开展利率期权交易，非金融机构参与者应以风险对冲为目的进行利率期权交易。 |
| Chapter II Definition | | 第二章 定义 |
| Article 5 Trading elements | | 第五条 交易要素 |
| The trading elements of an interest rate swap option include: option type, subject matter of option, option period, notional principal, strike rate, option price, option premium, implied volatility, payment date of option premium, exercise date, delivery method, clearing method, business day conventions, contract code, calculation institution, and bilateral margin rules, among others. | | 利率互换期权的交易要素包括：期权类型、期权标的、期权期限、名义本金、执行利率、期权价格、期权费、隐含波动率、期权费支付日、行权日、交割方式、清算方式、营业日准则、合约代码、计算机构、双边保证金制度等。 |
| The trading elements of a collar option include: option type, subject matter of option, option period, notional principal, strike rate, option price, option premium, implied volatility, payment date of option premium, first interest rate determination date, start date, expiration date, reset frequency, payment date, payment period, interest accrual period, interest rate index, payment amount of option premium, adjustment to interest accrual days, delivery method, clearing method, business day conventions, contract code, calculation institution, and bilateral margin rules, among others. | | 利率上/下限期权的交易要素包括：期权类型、期权标的、期权期限、名义本金、执行利率、期权价格、期权费、隐含波动率、期权费支付日、首次利率确定日、起始日、到期日、重置频率、支付日、支付周期、计息期、计息基准、期权收益支付额、计息天数调整、交割方式、清算方式、营业日准则、合约代码、计算机构、双边保证金制度等。 |
| Article 6 Option type | | 第六条 期权类型 |
| Interest rate swap options are divided into interest rate swap options of the fixed-rate payer and interest rate swap options of the fixed-rate receiver. An interest rate swap option of the fixed-rate payer is a call option, meaning that the option buyer has the right to enter into an interest rate swap contract at the strike rate on agreed time wherein the buyer pays the fixed rate and receives the floating rate. An interest rate swap option of the fixed-rate receiver is a put option, meaning that the option buyer has the right to enter into an interest rate swap contract at the strike rate wherein the buyer pays the floating rate and receives the fixed rate. | | 利率互换期权分为固定利率支付方利率互换期权和固定利率收取方利率互换期权。固定利率支付方利率互换期权为看涨期权，指期权买方有权在约定时间按照执行利率进入一个本方支付固定利率、收取浮动利率的利率互换合约；固定利率收取方利率互换期权为看跌期权，指期权买方有权在约定时间按照执行利率进入一个本方支付浮动利率、收取固定利率的利率互换合约。 |
| Collar options are divided into cap options and floor options. In a cap option, if the reference interest rate is higher than the strike rate under agreed terms within the agreed period, the cap option seller shall pay to the buyer the interest on the excess; in a floor option, if the reference interest rate is lower than the strike rate under agreed terms, the floor option seller shall pay to the buyer the interest on the insufficient part. | | 利率上/下限期权分为利率上限期权和利率下限期权。在利率上限期权中，在约定期限内，如果参考利率在约定条件下高于执行利率，则利率上限期权卖方向买方支付超出部分的利息；在利率下限期权中，如果参考利率在约定条件下低于执行利率，则利率下限期权卖方向买方支付不足部分的利息。 |
| Article 7 Subject matter of options | | 第七条 期权标的 |
| The subject matter of interest rate swap options shall be interest rate swap products. | | 利率互换期权的标的为利率互换产品。 |
| The subject matter of a collar option shall be the reference interest rate agreed upon by both parties to the transaction for determining the payment amount of option premium. The reference interest rates shall include but not be limited to the market interest rates published with the approval of the PBC. | | 利率上/下限期权的标的为交易双方约定的用以确定期权收益支付额的参考利率。参考利率包括但不限于中国人民银行认可的公开发布的市场利率。 |
| Article 8 Option period | | 第八条 期权期限 |
| It means the term between the trading date and exercise date with respect to an interest rate swap option; or the term between the start date and expiration date with respect to a collar option. | | 利率互换期权交易日与行权日之间的期限；利率上/下限期权起始日与到期日之间的期限。 |
| Article 9 Strike rate | | 第九条 执行利率 |
| The level of subject matter of an option agreed upon by both parties to the transaction. | | 交易双方约定的期权标的水平。 |
| Article 10 Option price | | 第十条 期权价格 |
| The cost to be paid by the option buyer for obtaining rights on the notional principal per unit, and the unit is base point (bp). | | 期权买方为获得单位名义本金上的权利所需支付的成本，单位为基点（bp）。 |
| Article 11 Option premium | | 第十一条 期权费 |
| The option price multiplied by the notional principal, and the unit is yuan. | | 期权价格乘以名义本金，单位为元。 |
| Article 12 Implied volatility | | 第十二条 隐含波动率 |
| The volatility of the subject matter of option inferred based on the option price. | | 根据期权价格反推的期权标的波动率。 |
| Article 13 Payment date of option premium | | 第十三条 期权费支付日 |
| The date when the option buyer pays the option premium to the seller. | | 期权买方向卖方支付期权费用的日期。 |
| Article 14 Exercise date | | 第十四条 行权日 |
| The date agreed upon by both parties to the interest rate swap option transaction when the option buyer may exercise the option. | | 利率互换期权交易双方约定的期权买方可以行权的日期。 |
| Article 15 First interest rate determination date | | 第十五条 首次利率确定日 |
| The date when the reference interest rate of the first reset date is determined. | | 确定首个重置日参考利率水平的日期。 |
| Article 16 Start date | | 第十六条 起始日 |
| The date when the specific terms of the interest rate option transaction commence to be enforced. | | 利率期权交易的具体条款开始执行的日期。 |
| Article 17 Expiration date | | 第十七条 到期日 |
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