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