Notice of Adjusting Calculation Methodology to CFETS FX Swap Curves

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Publishing date: 2018-12-10 09:00:00

In order to further reflect benchmark accuracy and improve price representativeness of China Foreign Exchange Trade System’s (hereinafter referred to as CFETS)FX Swap curves, CFETS improves calculation methodologies of FX Swap curves and publishes FX Swap curves which are based on new methodology from December 10, 2018. Compared with original methodology, main points of adjustment are as follows.

1. Data samples of USD.CNY FX Swap curve are changed from dealt prices, bilateral RFQ quotations from CFETS, C-Swap order quotations and money brokers’ indicative quotations to dealt prices, C-Swap order quotations, money brokers’ indicative quotations and executable quotations. Bilateral RFQ quotations from CFETS have no longer included in the calculation samples of USD.CNY FX swap curve.

2. 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.

3. The mechanism of filtering abnormal quotations is also adopted.On the basis of historical volatility variance of CFETS FX swap curve, CFETS determine the daily normal fluctuation range of quotations according to a certain confidence level. Quotations outside that range will be judged to abnormal prices.

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Attachment: CFETS FX Swap Curves Calculation Methodology

 

China Foreign Exchange Trade System

December 10, 2018

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