Currency Swap Curves is calculated and published by CFETS.
1. Curve Type
|
Curve Type |
Tenor |
Payment Frequency |
Underlying Benchmark |
|
Cross Currency Swap Curve(CNY-Fixed, USD-SOFR) |
1Y, 2Y, 3Y, 4Y, 5Y |
CNY-3M Fixed Interest Rate, USD-SOFR |
CNY-Fixed(Act/365), USD-SOFR(Act/360) |
|
Cross Currency Swap Curve(CNY-Shibor3M, USD-SOFR) |
1Y, 2Y, 3Y, 4Y, 5Y |
CNY-3M Shibor, USD-SOFR |
CNY-Shibor(Act/360), USD-SOFR(Act/360) |
2. Contributor Panel
Contributor panel consists of market makers in the USD.CNY FX forward and FX swap market.
3. Quoting Platform
Each contributor submits Bid and Ask quotes of the currency swap market in the FX trading system.
4. Calculation Method
(1) Calculate Bid and Ask curve
CFETS extract effective quotes of every contributor from the trading system before 16:30.
(1.1) Eliminate the quote if Bid>Ask and get the effective quotes data.
(1.2) If the number of Bid (Ask) quotes is larger than or equal to 8, eliminate the highest and lowest 2 quotes and get the remaining quotes samples. If the number of Bid (Ask) quotes is small than 8, remain the original quotes samples. Average the quotes samples of Bid (Ask) quotes and then get the Bid (Ask) curve.
(2) Calculate Mean curve
CFETS gets the average value of Bid and Ask curve as the Mean curve.
5. Publishing Frequency
The daily curve will be published at 17:15 on each working day.