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5 months ago
Shanghai bourse to improve repo rate calculation methods to reduce volatility
March 31, 2017 / 3:58 AM / 5 months ago

Shanghai bourse to improve repo rate calculation methods to reduce volatility

SHANGHAI, March 31 (Reuters) - The Shanghai Stock Exchange (SSE) said on Friday it will improve the way bond repurchase agreements (repos) rates are calculated to reduce volatility, after short-term borrowing costs surged to as much as 32 percent the previous day.

Starting in May, calculation of repo rates will take into account the actual number of days money is borrowed, instead of nominal number of days, the exchange said.

Thursday's surge in the exchange's one-day repo rate was caused by both higher demand for liquidity, and the fact that the money was borrowed for a total of five days due to the Tomb-Sweeping Festival, the exchange said. (Reporting by Samuel Shen and John Ruwtich; Editing by Eric Meijer)

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