Pledged repo is a short-term financing business in which both parties pledge their rights with bonds. In the pledged repo transaction, when the money lender (the repo party) (marked as "financing" in the transaction system * pledges the bonds to the money lender (the reverse repo party) (marked as "securities lending" in the transaction system *) and finances the bonds, both parties agree that the repo party will return the principal and the interest calculated at the agreed repo rate to the reverse repo party at a future date, and the reverse repo party will return the original pledged bonds to the reverse repo party. In pledged repo, the ownership will not be transferred during the transaction, and the coupon will generally be frozen and held by a third-party custodian and unfrozen at maturity.
Pledged repo 1 rule list. The existing Shanghai securities account can trade new pledged repo. However, the securities account that has been registered for repurchase cannot participate in the new pledged repurchase transaction before the repurchase registration is revoked. That is, securities accounts that have not registered for repurchase can participate in new pledged repo transactions. Shenzhen is an existing Shenzhen securities account.
2. Since May 8, 2006, the trading system of Shanghai Stock Exchange no longer accepts the declaration of repurchase registration of securities accounts, but accepts the declaration of repurchase cancellation.
3. All listed bonds of SSE (including newly listed bonds, excluding corporate bonds) can be used as pledge bonds after warehousing declaration, and the pledge bonds will be converted into standard bonds for new pledged repo transactions (code 204XXX).
In addition to pledged bond repurchase ("R-XXX"), Shenzhen also supports corporate bond repurchase transactions ("RC-XXX").
4. Shanghai Clearing Company accounts for the total amount of repurchase financing of investors in securities accounts, and the standard coupons between different accounts cannot be used in series. There is no one-to-one correspondence between pledged bonds and every financing repurchase transaction.
Shenzhen Clearing Company accounts for the total amount of investors' repurchase financing by securities companies, and standard coupons can be used in series between different accounts.
5. Warehouse declaration is not supported in call auction time.
6. The bonds bought by Shanghai on T day can be declared and submitted as pledge bonds on T day, and can be used for repurchase financing (i.e. repurchase) on T day.
Treasury bonds bought in Shenzhen on the T day can be declared and submitted as pledge bonds on the T day, and can be used for repurchase financing (i.e. repurchase) on the T day (see the Detailed Rules for the Implementation of Bond Trading in Shenzhen Stock Exchange (revised on 20 16) for details).
7. The pledge certificate of Shanghai pledge warehouse can be replaced in real time on the same day; Excess pledged bonds can be declared and transferred back to the original securities account in real time, and the current bonds can be traded.
Shenzhen pledged bonds can be declared and transferred back to the original securities account, but the transferred bonds cannot be traded on the same day.
8. On the maturity date of repurchase, the financier can carry out new financing repurchase within the financing quota to realize rolling financing; On the maturity date of Shanghai repurchase, the financier can declare to transfer the relevant pledged bonds back to the original securities account, and can sell them on the same day, and the funds sold can be used to repay the repurchase funds due.
9. The number of repurchase transactions declared in Shanghai must be an integer multiple of 100 lots (100 million funds), and the number of single hands shall not exceed10,000 lots (100 million funds); The repurchase price is the annual rate of return of funds due per 100 yuan, and the minimum change unit is 0.005 yuan.
The declared number of repurchase transactions in Shenzhen must be an integer multiple of 1 lot (1000 yuan); The repurchase price is the annual rate of return of funds due per 100 yuan, and the minimum change unit is 0.00 1 yuan.
* where 1 hand = 10 bond = 100 yuan. In the reverse repurchase operation, the "selling" channel of securities trading is used to declare the quantity unit "Zhang".
* Calculation method of annual rate of return of funds due per 100 yuan: current price = interest rate, declared price of reverse repurchase = self-determined interest rate.
Amortization of annualized rate of return:
Income = (annualized rate of return per 100 yuan of funds due ÷360 days) × days of reverse repurchase of government bonds.
(Note: The annualized interest-bearing days of pledged repo in Shenzhen are 365 days, while the annualized interest-bearing days of pledged repo in Shanghai are still 360 days. )
10. Interest-bearing method for reverse repurchase: for the bond repurchase conducted on the T day, the bond repurchase interest will be recorded on the T day and calculated on the natural day.
(Hereinafter, demand interest is called "interest" and bond repurchase yield is called "bond interest")
For example, if you buy 7-day treasury bonds on T and buy back 204007, the funds will be returned to your account after 7 natural days, that is, T+7 days.
Debt interest was recorded on T -T+6. A total of 7 natural days. (In the case of long holidays, only 7 natural days of debt interest will be recorded *)
* As this business easily involves the current interest on the balance of the fund account, the interest is calculated as follows:
Case 1: If the funds purchased on T day 204007 are "desirable funds", that is, the funds that can be transferred to the bank on that day, there will be interest on T day.
The funds that arrive on T+7 are "available funds", that is, the funds that cannot be transferred to the bank on that day, so there is no interest.
On the other hand, if the funds bought in 204007 on T day are "available funds", that is, the funds obtained through other securities transactions cannot be transferred to the bank on the same day but can continue to participate in the transactions, then interest will not be calculated on T day.
The funds received on T+7 are "available funds" and still have no interest.
Situation 2: In case of long holidays or holidays. Because the example product is a 7-day national debt repurchase, take a long vacation as an example.
For the purchase of 204007 on T day, the interest rates of "available" and "available" funds on T day are the same as those in case ①, and they are not repeated.
T+7 trading was suspended due to the 9-day long holiday. If the funds can't arrive on time, no interest will be charged during the long holiday.
On the first trading day after the long holiday, the interest rate of funds received as "available funds" is the same as that of case ①, and it is not repeated.
Scenario 3: Premise: There is no long holiday on the normal trading day, and the funds for repurchasing government bonds on Thursday are "desirable funds".
Take 20400 1( 1 day bond repurchase) as an example:
Buy 20400 1 on Thursday, because the day is "desirable funds", then interest will be recorded. As a diary, national debt pays interest.
Friday T+ 1, if the funds arrive as "available funds", no interest will be charged. At the same time, since T+ 1 day is the available fund after the securities transaction is cleared, that is, next Monday (here, T-day is Friday's fund arrival date), there is no interest on Saturday and Sunday.
Similarly, on Friday, T+ 1 (here, T day is Thursday trading day), buy 20400 1 again, and do not charge interest on Saturday and Sunday.
Scenario 4: Premise: There is no long holiday on the normal trading day, and the funds for repurchasing government bonds on Friday are "desirable funds".
Take 20400 1( 1 day bond repurchase) as an example:
Buy 20400 1 on Friday, because the day is "desirable funds", then interest will be recorded. As a diary, national debt pays interest. Because the settlement date of the transaction is T+ 1 (next Monday), you can enjoy interest on Saturday and Sunday.
On Monday (T+ 1), if the funds are received as "available funds", no interest will be accrued.
1 1. Shanghai investors who have submitted pledge bonds shall not change the designated transactions.
12. The settlement system will process the entry and exit instructions declared by investors through the trading system at the end of T-day. That is to say, whether the warehousing/warehousing application successfully returned by the trading system on the same day can be successfully transferred out or transferred into the pledge warehouse will be determined after the settlement system at the end of the day. If the stock-in and stock-out is successful, the settlement system may not be successful.
13. The transfer-out quantity is RMB, but it must be an integer multiple of 1000. The extra part will be truncated. If calculated according to the balance of standard coupons, 1900 yuan can be transferred out, because the mantissa can only be transferred out of 1000 yuan. The result of outbound declaration may be partial success and partial failure.
14. Redemption interest during the pledge period of national debt is paid directly to investors. During the pledge period, on the day of processing, the system first checks whether there are debts involved in the payment of national debt in the pledged securities account. If there is no debt to the national debt, the number of redeemable national debt is calculated according to the balance of standard bonds and the conversion rate of standard bonds, and the redeemable national debt is paid and redeemed. The redeemed national debt of redeemable national debt takes precedence over the non-redeemable national debt. If there is any debt owed to the state treasury, it will not be paid in full for the time being. The system will keep the redemption of treasury bonds in the securities account in the pledge library in the form of redemption right, and calculate the standard bonds according to the conversion rate applicable to the last treasury bonds until the redemption right of treasury bonds is redeemed.
* Note: The nature of business is completely different and should not be confused.