1. FX Swap Curve

CFETS FX swap curve consists of representative prices (swap points) of FX swaps for each tenor. The data includes swap points and FX swap all-in rate. CFETS selects the data samples from FX trading system (dealt prices,bilateral RFQ quotations and C-swap order quotations) and money broker’s quotations (indicative quotations and executable quotations). CFETS avoids abnormal prices disturbances with the help of quotations. Owing to the high quality of data, CFETS' data can be used as FX swap market pricing benchmarks for institutions' middle and back offices.

(1) Currencies &Tenors

Currency

Tenors

USD.CNY

ONTNSN1W2W3W1M2M3M4M5M6M9M1Y18M2Y3Y4Y5Y

EUR.CNY

ONTNSN1W2W3W1M2M3M4M5M6M9M1Y18M2Y3Y

JPY.CNY

ONTNSN1W2W3W1M2M3M4M5M6M9M1Y18M2Y3Y

HKD.CNY

ONTNSN1W2W3W1M2M3M4M5M6M9M1Y18M2Y3Y

GBP.CNY

ONTNSN1W2W3W1M2M3M4M5M6M9M1Y18M2Y3Y

 (2) Selection of Curve Sample

 Data samples of USD.CNY FX swap curve include dealt prices, C-Swap order quotations, money brokers’ executable quotations and indicative quotations. And data samples of other currency pairs’swap curve include dealt prices and bilateral RFQ quotations from FX trading system.

The price selection procedure will be listed as follows:

(2.1) Before each publish time point,for USD.CNY FX swap curve,extract the effective dealt prices, the best bilateral C-Swap order quotations, the latest broker indicative quotations and executable quotations for all tenors. For other currency pairs’ FX swap curves, extract the effective dealt prices and bilateral RFQ quotations from FX trading system for all tenors.

(2.2) On the basis of historical volatility variance of CFETS FX swap curve, determine the daily normal fluctuation range of quotations according to a certain confidence level. Quotations outside that range (including bilateral RFQ quotations, C-Swap order quotations, money brokers’ executable quotations and indicative quotations) will be judged to abnormal price.

(2.3) select the latest bid swap points and ask swap points for each tenor before each publish time point. The calculation methodology of USD.CNY FX swap curve is adjusted. Executable representative prices are calculated based on C-Swap order quotations and money brokers’ executable quotations. Bid and ask swap points are preferred to select executable representative prices. Only when executable representative price is inexistent or bid-ask spread is too large, money brokers’ indicative quotations will be used.The calculation methodology of other currency pairs’ FX swap curve is different.Bid and ask swap points are selected from bilateral RFQ quotations from FX trading system. CFETS adjusts the priority of sample selections periodically.

(2.4) at each publish time point, swap points of dealt prices within the quoted range [bid, ask] will be extracted and the dealt price with the latest trade time will be the representative swap points for such tenor, and mark the data source to be Trading Prices; when dealt prices cannot be extracted, the average quotation will be used as the representative swap points for such tenor and mark the data source to be Quotes.

(3) Curve Issuance Frequency

The daily foreign exchange swap curve will be issued at 17:00 on each working day.

2. USD.CNY FX C-Swap Curve

USD.CNY FX C-Swap Curve is a curve which consists of representative prices (swap points) of FX swaps for each tenor in the C-Swap market. The curve samples include C-Swap order book quotations and C-Swap dealt prices from C-Swap trading system.

(1) Tenors

ON, TN, SN, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M and 1Y.

(2) Selection of Curve Sample

The price selection procedure will be listed as follows:

(2.1) extract the effective best order book quotations and the dealt prices for all tenors before each publish time point, prices are denoted as “quote price” and “dealt price” respectively.

(2.2) select the latest bid swap points (bid) and ask swap points (ask) for each tenor from order book, the representative price “quote price” will be the average price of best order book quotations if bid and ask exist and otherwise the latest bid or ask price will be selected.

(2.3) select the latest dealt price as “dealt price”.

(2.4) select the latest price between “quote price” and “dealt price” as the curve data, and mark the data source as Quotes or Trading Prices accordingly.

(3) Curve Issuance Frequency

The daily foreign exchange C-Swap curve will be issued at 17:00 on each working day.