Press Release Launch of Renminbi Swap Offer Rate Fixing The Treasury Markets Association (TMA) announced today that it would launch the Renminbi Swap Offer Rate (CNY SOR) Fixing in Hong Kong on 18 December 2006. The CNY SOR Fixing has been developed by the TMA to serve as a market-based floating rate benchmark for Renminbi Non-deliverable Interest Rate Swaps (CNY NDIRS). The CNY NDIRS involve counterparties swapping fixed-interest payments for floating-rate payments based on the same underlying notional principal, on fixed dates over the life of the contract, with the net cashflows settled in US dollars. The CNY SOR Fixing is calculated from (a) Spot US dollar/renminbi exchange rates published by the China Foreign Exchange Trade System; (b) renminbi non-deliverable forwards rates; and (c) US dollar interbank rates in Hong Kong. (See Annex A for the Fixing Methodology.) In conjunction with the launch of CNY SOR Fixing, the TMA will also launch the USD HIBOR Fixing. This additional fixing will be used in the calculation of the CNY SOR Fixing and facilitate the development of products based on the rates. Ms Anita Fung, Chairman of the TMA Market Development Committee, which developed the CNY SOR Fixing, said, The launch of the CNY SOR Fixing is consistent with the TMA s mandate to help develop treasury products and services in Hong Kong to meet new market demands. We believe that the Fixing will provide a much-needed market-based benchmark to facilitate the growth of the CNY NDIRS for corporations and financial institutions outside of the Mainland to better manage their renminbi interest rate exposure, added Ms Fung. At present, CNY NDIRS are traded using existing Mainland interest rate benchmarks, including the seven-day repo rate or the one-year deposit rate, as the floating reference rates. The launch of the CNY SOR will provide an alternative benchmark, covering a full spectrum of tenors from one month to 12 months. Corporations and financial institutions which currently do not have access to the Mainland financial market can use the CNY NDIRS to manage their interest rate exposures. With the introduction of the CNY SOR as an alternative benchmark, users of the CNY NDIRS can choose the benchmark that best match their specific risk profiles. Reuters Limited has been appointed by the TMA as the Calculating Agent for the computation and dissemination of the CNY SOR Fixing. Two panels of
banks, one each for the CNY NDF and the USD HIBOR, have been designated by the TMA as the contributing banks. The composition of the contributing banks will be reviewed by the TMA regularly. (See Annex B for the names of contributing banks.) The CNY SOR and USD HIBOR fixings will be published on both Reuters RICs <CNYSORFIX=>, <USDHIBOR=> and Reuters pages <CNYSORFIX>, <USDHIBOR> at 11:30 a.m. Hong Kong time from Monday to Friday, except public holidays or if Typhoon Signal No. 8 and above or the Black Rainstorm warning is hoisted. For enquiries, please contact the Treasury Markets Association at 2878 8046 or 2878 1577. Treasury Markets Association 14 December 2006
Annex A: Reference Guide for CNY SOR Fixing Fixing Ownership Calculating Agent Contributing Banks Data Contribution SOR Fixing Tenors Calculation Specifications Treasury Markets Association (TMA) Reuters Limited (Reuters) 20 Contributing Banks for the CNY NDF and 20 Contributing Banks for USD HIBOR to be appointed by TMA. The contributed rates are CNY NDF and USD HIBOR rates quoted at 11:00 a.m. of each business day. The data must be provided to Reuters between 10:45 a.m. to 11:29 a.m. Hong Kong time. 1, 2, 3, 6, 9, 12 months 1. CNY NDF Fixing: CNY NDF rates for 1, 2, 3, 6, 9, 12 months will be provided by Contributor Banks. Contributed rates are offer rates quoted at 11:00 a.m. Hong Kong time. The 3 highest and the 3 lowest rates will be excluded from the calculation and a minimum of 10 rates will be required. The Fixing is calculated by arithmetically averaging the contributed rates. 2. Spot USD/CNY: The Spot USD/CNY rates that are quoted on the Reuters Ric <CNY=CFXS> at 11:00 a.m. Hong Kong time. 3. USD HIBOR: USD interest rates in the Hong Kong interbank market in the tenors of overnight, 1 week, 2 weeks, and 1-12 months will be provided by the Contributor Banks. Contributed rates are offer rates quoted at 11:00 a.m. Hong Kong time. The 3 highest and the 3 lowest rates will be excluded from the Fixing and a minimum of 10 rates will be required. The Fixing is calculated by arithmetically averaging the contributed rates. 4. Swap Offer Rate: The implied SOR will be derived from CNY NDF Fixing, Spot USD/CNY, and USD HIBOR Fixing. SOR = (CNY NDF /spot USD/CNY x (1 + Interpolated USD HIBOR x d/360) 1) x 365 / d, where d is the no. of calendar days.
No. of Decimal Points Fixing Date Publication of Fixing Rate Special Fixing Arrangement Rounded up to 5 decimal places. Every Hong Kong business day from Monday to Friday except Hong Kong public holidays. The computed CNY SOR, CNY NDF and USD HIBOR Fixings shall be published on both Reuters RICs <CNYSORFIX=>, <USDHIBOR=> and Reuters pages <CNYSORFIX>, <USDHIBOR> at 11:30 a.m. Hong Kong time. The Fixing shall not be computed nor published if Typhoon Signal No. 8 and above or Black Rainstorm warning is hoisted for the whole day or un-hoisted after 12 noon that day. However, if the Typhoon Signal No. 8 and above or Black Rainstorm warning is un-hoisted before 12 noon, the Fixing shall be computed and published at 14:30 p.m. on that day. And the input data for the CNY NDF, the USD HIBOR, and the Spot USD/CNY will be the rates quoted at 14:00 p.m. of that day. Contact Details Reuters Helpdesk: (852) 3009-5616
Annex B. Contributing Banks CNY NDF: Agricultural Bank of China Bank of China (Hong Kong) Ltd. BNP Paribas China Construction Bank Corporation Chinatrust Commercial Bank Ltd Citibank, N.A. DBS Bank (Hong Kong) Limited Deutsche Bank AG Fortis Bank Hang Seng Bank Ltd. Industrial and Commercial Bank of China (Asia) Limited JP Morgan Chase Bank, N.A. Merrill Lynch International Bank Morgan Stanley Dean Witter Asia Limited Royal Bank of Scotland Plc Standard Chartered Bank (Hong Kong) Ltd. The Bank of Tokyo-Mitsubishi UFJ, Ltd. The Bank of East Asia, Ltd. The Hongkong and Shanghai Banking Corp. Ltd. UBS AG USD HIBOR: ABN Amro Bank N.V. Agricultural Bank of China Bank of China (Hong Kong) Ltd. Bank of Communications Co., Ltd. BNP Paribas China Construction Bank Corporation Citibank, N.A. DBS Bank (Hong Kong) Limited Hang Seng Bank Ltd. Industrial and Commercial Bank of China (Asia) Limited JP Morgan Chase Bank, N.A. Mizuho Corporate Bank, Ltd. National Australia Bank Ltd. Shanghai Commercial Bank Sumitomo Mitsui Banking Corporation Societe Generale Standard Chartered Bank (Hong Kong) Ltd. The Bank of East Asia, Ltd. The Bank of Tokyo-Mitsubishi UFJ, Ltd. The Hongkong and Shanghai Banking Corp. Ltd.