IRS Quotes Curves Methodology

IRS market quotes curves types and terms

Data samples of IRS market quotes curves include X-Swap quotations, money brokers’ executable quotations and money brokers’ indicative quotations. IRS market quotes curves are released every 30 minutes during9:30 a.m.- 11:30 a.m. and12:30 p.m.-16:00 p.m. Sampling period of every curve is the half hour before release time.

Computation Rules

(1)Calculate Executable Representative Prices

Executable representative prices are calculated based on X-Swap quotations and money brokers’ executable quotations. At every release time point, sampling points are selected once a minute during the quotation time window(sampling points of curve at 10:00 a.m. are 9:31,9:32,…,10:00), and at every sampling point, X-Swap quotations are preferred to money brokers’executable quotations. Bid rate, ask rate and average rate at every sampling point are calculated.Bid rate, ask rate and weighted average rate by regarding reciprocal of residual quotations spread as weight are calculated after sorting 30 sampling points by average rate and removing top 25% and bottom 25% rates.

(2)Select Money Brokers’ Indicative Quotations

Latest indicative quotations of all types from money brokers are obtained till release time points.

(3)IRS Market Quotes Curves Rates

In terms of selecting order, executable quotations are preferred. If executable representative prices exist, then bid rate, ask rate and average rate of executable quotations are used as that of IRS in this type. Otherwise, money brokers’ indicative quotations would be used. If there is neither executable representative prices nor money brokers’ indicative quotations of some type, IRS market quotes curves rates of this type show null.