The Renminbi Swap Offer Rate Fixing will be launched on December 18, serving as a market-based floating-rate benchmark for Renminbi Non-deliverable Interest Rate Swaps, the Treasury Markets Association says.

The Renminbi Swap Offer Rate Fixing is calculated from Spot US dollar/renminbi exchange rates published by the China Foreign Exchange Trade System, renminbi non-deliverable forwards rates and US dollar interbank rates in Hong Kong.

In conjunction with the launch, the association will launch the US Dollar Interbank Rates Fixing. This additional fixing will be used in calculating the Renminbi Swap Offer Rate Fixing and facilitate the development of products based on the rates.

Market-based benchmark

The association's Market Development Committee Chairwoman Anita Fung said the Renminbi Swap Offer Rate Fixing will provide a much-needed market-based benchmark to facilitate the growth of the Renminbi Non-deliverable Interest Rate Swaps for corporations and financial institutions outside the Mainland, to better manage their renminbi interest-rate exposure.

At present, Renminbi Non-deliverable Interest Rate Swaps are traded using existing Mainland interest-rate benchmarks, including the seven-day repo rate or the one-year deposit rate, as the floating reference rates.

The launch of the Renminbi Swap Offer Rate Fixing will offer an alternative benchmark, covering a full spectrum of tenors from one month to 12 months.

Reuters Limited has been appointed as the calculating agent for the computation and dissemination of the Renminbi Swap Offer Rate Fixing. Two panels of banks have been designated as the contributing banks. The lists are available here. The composition of the contributing banks will be reviewed regularly.