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-Libor3M)

1Y, 2Y, 3Y, 4Y, 5Y

CNY-3M Fixed Interest Rate, USD-3M Libor

CNY-Fixed(Act/365), USD-Libor(Act/360)

Cross Currency Swap Curve(CNY-Shibor3M, USD-Libor3M)

1Y, 2Y, 3Y, 4Y, 5Y

CNY-3M Shibor, USD-3M Libor

CNY-Shibor(Act/360), USD-Libor(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.