In order to further reflect benchmark accuracy of National
Interbank Funding Center’s (hereinafter referred to as CFETS) interest rate swap(IRS)
curves and improve price representativeness, CFETS improves calculation methodologies
of IRS fixing/closing curves and IRS market quotes curves, and publishes IRS curves
which are based on new methodology from April 10, 2017. Compared with original
methodology, main points are as follows,
1. Data samples of IRS fixing/closing
curves are changed from only two-way quotations from quotation institutions to
X-Swap quotations, money brokers’ executable quotations and two-way quotations
from quotation institutions.
2. The calculation methodology
of IRS fixing/closing curves is adjusted. Executable representative prices are
calculated based on X-Swap quotations and money brokers’ executable quotations,
and two-way quotation representative prices are calculated based on IRS two-way
quotations by original methodology. Executable representative prices are preferred
and only when executable representative price is inexistent or bid-ask spread
is too large, two-way quotation representative prices will be used.
3. The release time of IRS
market quotes curves is adjusted to every 30 minutes during 9:30 a.m.-11:30 a.m.
and 12:30 p.m.-16:00 p.m. every workday. Original IRS market quotes curves
published at 12:00 p.m. and 16:30 p.m. will not be released.
4. Data samples of IRS
market quotes curves are changed from only X-Swap quotations and money brokers’
indicative quotations to X-Swap quotations, money brokers’ indicative
quotations and money brokers’ executable quotations.
5. The calculation methodology
of IRS market quotes curves is adjusted. Executable representative prices are
calculated based on X-Swap quotations and money brokers’ executable quotations.
Executable representative prices are preferred. Only when executable
representative price is inexistent, money brokers’ indicative quotations will be
used.
Service Support:4009787878-4
Attachment: Interest Rate
Swap(IRS) Curves Calculation Methodology (Revised)
National Interbank Funding Center
April 10, 2017