Appendix 1.9 Discount curves

Table of Contents

1M curve 2

3M curve 3

6M curve 4

OIS curve 5

Loading data 5

Missing data 5

1M curve

Tenor / Agreed proposal
O/N / WIBOR / MID
T/N / WIBOR / ASK
S/N / WIBOR / ASK
SW / WIBOR / ASK
1M / WIBOR / ASK
2M / FRA 1x2 / MID / CCMPC
3M / FRA 2x3 / MID / CCMPC
6M / FRA 3x6 / MID / POLISH, CCMPC
9M / FRA 6x9 / MID / POLISH, CCMPC
1Y / FRA 9x12 / MID / POLISH, CCMPC
15M / FRA 12x15 / MID / POLISH, CCMPC
18M / FRA 15x18 / MID / POLISH, CCMPC
21M / FRA 18x21 / MID / POLISH, CCMPC
2Y / IRS / MID / POLISH, CCMPC
3Y / IRS / MID / CCMPB,TULLET,ICAP
4Y / IRS / MID / CCMPB,TULLET,ICAP
5Y / IRS / MID / CCMPB,TULLET,ICAP
6Y / IRS / MID / CCMPB,TULLET,ICAP
7Y / IRS / MID / CCMPB,TULLET,ICAP
8Y / IRS / MID / CCMPB,TULLET,ICAP
9Y / IRS / MID / CCMPB,TULLET,ICAP
10Y / IRS / MID / CCMPB,TULLET,ICAP
12Y / IRS / MID / CCMPB,TULLET,ICAP
15Y / IRS / MID / CCMPB,TULLET,ICAP
20Y / IRS / MID / CCMPB,TULLET,ICAP

3M curve

Tenor / Agreed proposal
O/N / WIBOR / MID
T/N / WIBOR / ASK
S/N / WIBOR / ASK
SW / WIBOR / ASK
1M / WIBOR / ASK
2M / WIBOR / ASK
3M / WIBOR / ASK
6M / FRA 3x6 / MID / POLISCH,CCMPC
9M / FRA 6x9 / MID / POLISCH,CCMPC
1Y / FRA 9x12 / MID / POLISCH,CCMPC
15M / FRA 12x15 / MID / POLISCH,CCMPC
18M / FRA 15x18 / MID / POLISCH,CCMPC
21M / FRA 18x21 / MID / POLISCH,CCMPC
2Y / FRA 21x24 / MID / POLISCH,CCMPC
3Y / IRS / MID / CCMPB,TULLET,ICAP
4Y / IRS / MID / CCMPB,TULLET,ICAP
5Y / IRS / MID / CCMPB,TULLET,ICAP
6Y / IRS / MID / CCMPB,TULLET,ICAP
7Y / IRS / MID / CCMPB,TULLET,ICAP
8Y / IRS / MID / CCMPB,TULLET,ICAP
9Y / IRS / MID / CCMPB,TULLET,ICAP
10Y / IRS / MID / CCMPB,TULLET,ICAP
12Y / IRS / MID / CCMPB,TULLET,ICAP
15Y / IRS / MID / CCMPB,TULLET,ICAP
20Y / IRS / MID / CCMPB,TULLET,ICAP

6M curve

Tenor / Agreed proposal
O/N / WIBOR / MID
T/N / WIBOR / MID
3M / DF(9M)*(1+FRA3x9* YFC(3M,9M))
6M / WIBOR / MID / POLISCH,CCMPC
9M / 6M and 12M interpolation
1Y / FRA 6x12 / MID / POLISCH,CCMPC
18M / FRA 12x18 / MID / POLISCH,CCMPC
2Y / FRA 18x24 / MID / POLISCH,CCMPC
3Y / IRS / MID / CCMPB,TULLET,ICAP
4Y / IRS / MID / CCMPB,TULLET,ICAP
5Y / IRS / MID / CCMPB,TULLET,ICAP
6Y / IRS / MID / CCMPB,TULLET,ICAP
7Y / IRS / MID / CCMPB,TULLET,ICAP
8Y / IRS / MID / CCMPB,TULLET,ICAP
9Y / IRS / MID / CCMPB,TULLET,ICAP
10Y / IRS / MID / CCMPB,TULLET,ICAP
12Y / IRS / MID / CCMPB,TULLET,ICAP
15Y / IRS / MID / CCMPB,TULLET,ICAP
20Y / IRS / MID / CCMPB,TULLET,ICAP

OIS curve

Tenor / First proposal
O/N / POLONIA (index) / MID
1W / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
2W / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
3W / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
1M / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
2M / Interpolated
3M / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
4M / Interpolated
5M / Interpolated
6M / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
7M / Interpolated
8M / Interpolated
9M / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03
10M / Interpolated
11M / Interpolated
1Y / POLONIA (quotation) / MID / PYPLOIS,HBPOLAND03

Loading data

·  WIBOR – publication time (11:00)

·  POLONIA (index) – publication time (17:00)

·  FRA, IRS, POLONIA quotations – time (15:00)

Missing data

If an ASK quotation or a BID quotation for MID calculation is missing in a node, MID is calculated by an algorithm which adds one-half of the averaged spread to an existing quotation. The algorithm will be defined at a later time.

If both quotations are missing, the node is interpolated from the nearest nodes.