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| Notice by the National Interbank Funding Center of the Trial Operation of the Interest Rate Option Business | | 全國銀行間同業拆借中心關于利率期權業務試運行上線的通知 |
| (No. 51 [2020] of the National Interbank Funding Center) | | （中彙交發〔2020〕51號） |
| Members of the interbank local currency market: | | 銀行間本幣市場成員： |
| 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: | | 為更好發揮銀行間利率衍生品市場對實體經濟支持作用，滿足市場成員利率風險管理需求，完善利率風險定價機制，經中國人民銀行批複同意，全國銀行間同業拆借中心（以下簡稱交易中心）將于2020年3月23日起試運行利率期權交易及相關服務，現將有關事項通知如下： |
| 1. The interest rate option trading instruments for trial operation are interest rate swap options and collar options linked with LPR1Y/LPR5Y. | | 1. 試運行利率期權交易品種為掛鉤LPR1Y/LPR5Y的利率互換期權、利率上/下限期權。 |
| 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.為規範利率期權市場運行，交易中心制定了《銀行間市場利率期權交易規則（試行）》，現向市場發布，請遵照執行。 |
| 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.為鼓勵市場發展，業務運行前兩年暫免利率期權的交易手續費。特此通知。 |
| Annex: Rules for Trading in Interest Rate Options on the Interbank Market (for Trial Implementation) | | 附件：銀行間市場利率期權交易規則（試行） |
| National Interbank Funding Center | | 全國銀行間同業拆借中心 |
| 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) | | 銀行間市場利率期權交易規則（試行） |
| Chapter I General Provisions | | 第一章 總則 |
| 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”). | | 第一條 為推進利率衍生產品市場發展，規範利率期權交易行為，全國銀行間同業拆借中心（以下簡稱交易中心）根據中國人民銀行相關規定，制定本規則。 |
| 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. | | 第二條 本規則所稱利率期權包括但不限于利率互換期權、利率上/下限期權等產品。 |
| 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. | | 利率互換期權是指期權交易雙方有權在約定日期以約定條件買賣約定利率互換的期權合約。期權買方以支付期權費的方式獲得權利；期權賣方收取期權費，並在買方選擇行權時履行義務。 |
| 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/下限期權是指期權買方在約定期限內有權要求期權賣方支付由于參考利率超過/低于約定的利率水平而產生的差額利息的期權合約。期權買方向賣方支付期權費，期權賣方在參考利率高于/低于約定利率水平時向買方支付差額部分的利息。 |
| 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. | | 第三條 交易中心提供利率期權交易及交易相關服務平台，組織市場參與者開展利率期權報價和交易，履行市場日常監測和統計職責，接受中國人民銀行監管。 |
| 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. | | 第四條 市場參與者進行利率期權交易應當遵循公平、誠信、自律、風險自擔的原則。金融機構參與者應出于自身需求開展利率期權交易，非金融機構參與者應以風險對沖為目的進行利率期權交易。 |
| Chapter II Definition | | 第二章 定義 |
| Article 5 Trading elements | | 第五條 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. | | 利率互換期權的交易要素包括：期權類型、期權標的、期權期限、名義本金、執行利率、期權價格、期權費、隱含波動率、期權費支付日、行權日、交割方式、清算方式、營業日准則、合約代碼、計算機構、雙邊保證金制度等。 |
| 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/下限期權的交易要素包括：期權類型、期權標的、期權期限、名義本金、執行利率、期權價格、期權費、隱含波動率、期權費支付日、首次利率確定日、起始日、到期日、重置頻率、支付日、支付周期、計息期、計息基准、期權收益支付額、計息天數調整、交割方式、清算方式、營業日准則、合約代碼、計算機構、雙邊保證金制度等。 |
| Article 6 Option type | | 第六條 期權類型 |
| 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. | | 利率互換期權分為固定利率支付方利率互換期權和固定利率收取方利率互換期權。固定利率支付方利率互換期權為看漲期權，指期權買方有權在約定時間按照執行利率進入一個本方支付固定利率、收取浮動利率的利率互換合約；固定利率收取方利率互換期權為看跌期權，指期權買方有權在約定時間按照執行利率進入一個本方支付浮動利率、收取固定利率的利率互換合約。 |
| 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/下限期權分為利率上限期權和利率下限期權。在利率上限期權中，在約定期限內，如果參考利率在約定條件下高于執行利率，則利率上限期權賣方向買方支付超出部分的利息；在利率下限期權中，如果參考利率在約定條件下低于執行利率，則利率下限期權賣方向買方支付不足部分的利息。 |
| Article 7 Subject matter of options | | 第七條 期權標的 |
| The subject matter of interest rate swap options shall be interest rate swap products. | | 利率互換期權的標的為利率互換產品。 |
| 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/下限期權的標的為交易雙方約定的用以確定期權收益支付額的參考利率。參考利率包括但不限于中國人民銀行認可的公開發布的市場利率。 |
| Article 8 Option period | | 第八條 期權期限 |
| 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. | | 利率互換期權交易日與行權日之間的期限；利率上/下限期權起始日與到期日之間的期限。 |
| Article 9 Strike rate | | 第九條 執行利率 |
| The level of subject matter of an option agreed upon by both parties to the transaction. | | 交易雙方約定的期權標的水平。 |
| Article 10 Option price | | 第十條 期權價格 |
| 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). | | 期權買方為獲得單位名義本金上的權利所需支付的成本，單位為基點（bp）。 |
| Article 11 Option premium | | 第十一條 期權費 |
| The option price multiplied by the notional principal, and the unit is yuan. | | 期權價格乘以名義本金，單位為元。 |
| Article 12 Implied volatility | | 第十二條 隱含波動率 |
| The volatility of the subject matter of option inferred based on the option price. | | 根據期權價格反推的期權標的波動率。 |
| Article 13 Payment date of option premium | | 第十三條 期權費支付日 |
| The date when the option buyer pays the option premium to the seller. | | 期權買方向賣方支付期權費用的日期。 |
| Article 14 Exercise date | | 第十四條 行權日 |
| The date agreed upon by both parties to the interest rate swap option transaction when the option buyer may exercise the option. | | 利率互換期權交易雙方約定的期權買方可以行權的日期。 |
| Article 15 First interest rate determination date | | 第十五條 首次利率確定日 |
| The date when the reference interest rate of the first reset date is determined. | | 確定首個重置日參考利率水平的日期。 |
| Article 16 Start date | | 第十六條 起始日 |
| ．．．．．． | | ．．．．．． |
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