- Rules and Poilcy
- Overall Scheme
- Trading, Clearing and Settlement
- Onboarding
- Trading & Clearing
- Trading & Clearing Mechanism
- Swap Connect Dealers
- OTCC Clearing Members
Swap Connect overview
Swap Connect refers to an arrangement which will enable investors to participate in the financial derivatives markets in the Mainland and Hong Kong through a connection between Infrastructure Institutions in both places.
At the initial stage, Northbound Trading will commence first, allowing investors from Hong Kong and other countries and regions (Overseas Investors) to participate in the Mainland interbank financial derivatives market through mutual access between Hong Kong and Mainland Infrastructure Institutions in respect of trading, clearing and settlement. Southbound Trading, which allows Mainland investors to access the Hong Kong financial derivatives market through mutual access between Infrastructure Institutions in both places, will be explored in due course.
At the initial stage, Northbound Trading will commence first, allowing investors from Hong Kong and other countries and regions (Overseas Investors) to participate in the Mainland interbank financial derivatives market through mutual access between Hong Kong and Mainland Infrastructure Institutions in respect of trading, clearing and settlement. Southbound Trading, which allows Mainland investors to access the Hong Kong financial derivatives market through mutual access between Infrastructure Institutions in both places, will be explored in due course.
Investors eligibility
International investors who are participants in the China Interbank Bond Market (CIBM) Direct or Bond Connect.
Product types
CNY IRS
Fixed-to-floating interest rate benchmarks option*:
Fixed-to-floating interest rate benchmarks option*:
- 7-day Repo (FR007)
- SHIBOR 3-Month (Shibor3M)
- SHIBOR Overnight (ShiborO/N)
Trading & Clearing
Trading & Clearing hours
Trading hours: 09:00 – 12:00; 13:30 – 17:00 (China Standard Time)
Clearing hours: 09:00 – 12:00; 13:00 – 17:30 (China Standard Time)
(Standard CFETS trading time)
Swap Connect trading calendar will follow the onshore interbank operating calendar, including special working weekends in China. Please refer to: Trading Calendar
Clearing hours: 09:00 – 12:00; 13:00 – 17:30 (China Standard Time)
(Standard CFETS trading time)
Swap Connect trading calendar will follow the onshore interbank operating calendar, including special working weekends in China. Please refer to: Trading Calendar
Three New Enhancements of Swap Connect (2024.5.13)
1. "Northbound Swap Connect" contract compression function
The "Northbound Swap Connect" contract compression function is provided jointly by CFETS, SHCH and OTCC to onshore dealers and overseas investors.
Currently solo compression is supported under Northbound Swap Connect, which refers to compressing the transactions that are in opposite directions and meet the matching criteria within an institution. Before submitting a solo compression application, the onshore or overseas institution must have opposite transactions that meet the compression conditions, which means that the transactions must be in opposite directions, and other elements such as notional amount, interest commencement date, tenor, maturity date, price, and payment cycle must meet the matching criteria. If not, investors can conduct a backdated transaction with notional amount equal to the target contract but in the opposite direction through CFETS. The upfront fee for this new transaction will be reflected in the transaction elements. Once the upfront fee is settled, the onshore or overseas institution can submit a contract compression application.
2. IMM contracts
IMM Contracts refer to interest rate swap contracts that use the International Monetary Market (IMM) dates for their payment cycles. This means that trade elements such as the interest commencement date, payment date, payment cycle, and maturity date are calculated based on IMM dates. Interests are calculated from (initial interest commencement date) and paid on the third Wednesday of March, June, September, and December each year.
3. Backdated contracts
Backdated contracts refer to contracts where both the interest commencement date and the payment date between the interest commencement date and the current trade date are all historical dates. These contracts may include upfront fees.
Backdated contracts are primarily designed to facilitate contract compression. The price difference between the backdated contract and its current market value is reflected in the upfront fee.
For more information, please refer to “Product Manual of Swap Connect”.
2. IMM contracts
IMM Contracts refer to interest rate swap contracts that use the International Monetary Market (IMM) dates for their payment cycles. This means that trade elements such as the interest commencement date, payment date, payment cycle, and maturity date are calculated based on IMM dates. Interests are calculated from (initial interest commencement date) and paid on the third Wednesday of March, June, September, and December each year.
3. Backdated contracts
Backdated contracts refer to contracts where both the interest commencement date and the payment date between the interest commencement date and the current trade date are all historical dates. These contracts may include upfront fees.
Backdated contracts are primarily designed to facilitate contract compression. The price difference between the backdated contract and its current market value is reflected in the upfront fee.
For more information, please refer to “Product Manual of Swap Connect”.