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Refinement of Renminbi Liquidity Facility

The Hong Kong Monetary Authority (HKMA) announces today (26 February) adjustments to the calculations of the interest rates on the renminbi (RMB) intraday and overnight funds provided under the RMB Liquidity Facility to Authorized Institutions participating in RMB business (Participating AIs) in Hong Kong. 

Instead of referencing the CNH HIBOR fixing on a single day, the new calculations would be based on 3-day moving averages of the fixing.  The objective is to reduce the volatility of the applicable repo rates.  The opportunity is also taken to finetune the charging arrangement for intraday repo converted into overnight repo.  Specifically, the following refinements will be implemented with effect from 2 March 2015:

1. The repo rates to be applied on the overnight repo will be changed to the average of the most recent 3 TMA overnight CNH HIBOR fixings (inclusive of the fixing on the same day) plus 50 basis points.

2. The repo rates to be applied on the intraday repo will be changed to the average of the most recent 3 TMA overnight CNH HIBOR fixings (inclusive of the fixing on the same day).   

3. Any intraday repo not repaid before 11:30pm each day will be automatically converted into an overnight repo.  The overnight repo would be subject to a full overnight interest charge, based on the formula for overnight repo above, while interest charge on the relevant intraday repo will be waived.

The revised terms and conditions for the overnight and intraday funds provided under the RMB Liquidity Facility are set out in Annex 1 and 2

Participating AIs are welcome to use the facility to meet their liquidity needs.  Nonetheless, they are advised to plan their funding ahead of time and avoid over-dependence on the RMB Liquidity Facility.  The HKMA will review the terms and conditions of the facility in the light of actual operating experience.

 

Hong Kong Monetary Authority
26 February 2015

Last revision date: 26 February 2015
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