The Korean Swaps Dealers Association (Kosda) plans to launch a benchmark constant maturity swap (CMS) fixing index in December, according to Seung Won Hwang, head of derivatives marketing at Citibank and co-chairman of Kosda.The index will be calculated using data for one-year through to five-year swap rates from ten market-making banks, said Hwang. Each bank will provide one-year through to five-year swap rates to an information vendor at 11am everyday. The highest one or two rates and the lowest one or two rates will be removed, while the rest will be averaged to establish the swap rate benchmark for that day. Kosda has yet to decide which information vendor will be used to collect the data, and may include Reuters, Bloomerg or local websites such as BondWeb or Edaily.
Contributing banks will include BNP Paribas, Citibank, Deutsche Bank, HSBC, JP Morgan Chase, Industrial Bank of Korea, Korea Development Bank, Kookmin Bank, Koram Bank and Shinhan Bank, said Hwang.
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