Implied  Foreign Currencies Interest Rate Curves are calculated according to the interest rate parity theory, which is derived by CNY interest rate and FX swap prices on each tenor.

1. Parameters Combination of Implied Foreign Currencies Interest Rate Curve

(1) Parameters Combination

The underlying parameters of the implied Foreign Currencies interest rate curve include CNY interest rate, FX swap Pips and FX spot price. Based on various parameters combinations, CFETS publishes 6 types of curves as follows.

CNY Interest Rate

FX Forward/Swap Pips

FX Spot Price

Shibor

FX Swap Pips

CNY Central Parity Rate

Shibor

FX Swap Pips

Mean Quote Rate of OTC FX Spot Market

Shibor3M IRS

FX Swap Pips

CNY Central Parity Rate

Shibor3M IRS

FX Swap Pips

Mean Quote Rate of OTC FX Spot Market

FR007 IRS

FX Swap Pips

CNY Central Parity Rate

FR007 IRS

FX Swap Pips

Mean Quote Rate of OTC FX Spot Market

(2) CNY Interest Rate

Shibor refers to Shibor for tenors below 1Y (1Y included), and refers to Shibor3M IRS Closing curve for tenors above 1Y.

Shibor3M IRS refers to Shibor for tenors below 3M (3M included), and refers to Shibor3M IRS Closing curve for tenors above 3M.

FR007 IRS refers to FR001, FR007, FR014 for tenors 1D, 1W, 2W, and refers to FR007 IRS Closing curve for tenors above 2W.

All the interest rates above are continuously compounded.

(3) FX Forward/Swap Pips

FX forward/swap Pips refers to FX swap curves.

(4) FX Spot Prices

Mean Quote Rate of OTC FX Spot Market refers to the mean rate of the best OTC market-maker bid/ask quote in the FX spot market from the FX trade system.

CNY Central Parity Rate refers to the benchmark FX spot exchange rate published by CFETS daily.

2. Calculation Methods

The calculation method of implied Foreign Currencies interest rate curve (Shibor3M IRS, FX Swap Points, Mean Quote Rate of OTC FX Spot Market) for tenor below 3M (3M included) is as follows, and other calculation methods for different parameters combination and tenors are adjusted accordingly.



3. Publishing Frequency

The daily curve will be published at 16:50 on each working day.