Download SDRFIX – Interest Rate Swaps USD Libor BBA 3 Months EUR

1 SDRFIX – Interest Rate Swaps USD Libor BBA 3 Months EUR Euribor REUTERS 6 Months GBP Libor BBA 6 Months Version 1.1 September 19, 2013 The aim of this document is to introduce a new set of indexes based on actual swap transactions. It has been made possible as the Dodd-­‐Frank Act, requires OTC derivatives trades to be reported in real-­‐time to a Swaps Data Repository (SDR) and for real-­‐time public dissemination of the price data. CLARUS FINANCIAL TECHNOLOGY SDRFIX METHODOLOGY 2 I)
Common features of SDRFIX Overview Publish An index based on actual trades Sourced from the DTCC DDR Real Time public dissemination feed Trades executed between 9.00 am LON and 11.00 am NYC Volume Weighted Average Price methodology Each New York Business Day at 11.00 am EST(1) Qualification Window Trades executed between 04.00 am to 11.00 am EST(2) Index Computation Index is calculated with the formula: SDRFIXDay-­‐T = !
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Where, -­‐ SDRFIXDay-­‐T is the index on a specific tenor on day T -­‐ ratei is the fix rate of trade i -­‐ notionali is the notional of trade i -­‐ N the total number of trade on a specific tenor on day T Note: -­‐ A notional weighted average is used to give more weight in the index to to these trades. -­‐ Large notionals are capped according to the CFTC(3) block trade rules -­‐ These cap sizes are shown in the daily DTCC DDR Capping Numbers report Trade Exclusion Where, n = the number of trades s = the difference between the highest and lowest rate h = number of highest rates l = number of lowest rates If n <= 3, do not exclude any trades Else if n > 3, calculate the spread s: If s <= limit(tenor), do not remove any trades Else if s > limit(tenor), remove the h(tenor) highest and l(tenor) lowest rates Number of high rates and low rates to remove are provided for each Currency in the tables that follow. Limits on the difference s are provided below: Tenor limit l 2Y/3Y/4Y 0.1 5Y 0.12 7Y 0.12 10Y 0.15 30Y 0.15 Contingency plan If during the time slot on a specific tenor no trades are avialable, the index from the previous day will be published. If no trades are carried out for two consecutive days, “No trades” will be specified. (1)
The index will be published at 11.30 am (2)
04.00 am EST represents 09.00 am London time (3)
Commodity Futures Trading Commission CLARUS FINANCIAL TECHNOLOGY SDRFIX METHODOLOGY 3 II)
Specific features A. USD Libor BBA 3 Months Tenors 2 years / 3 years / 4 years / 5 years / 7 years / 10 years / 30 years Conventions Trades with the following conventions: -­‐ Cleared Swaps -­‐ Vanilla, fixed-­‐float, spot starting swaps -­‐ Semi-­‐annual 30/360 Vs. 3 month Libor USD 1,000,000 Current CFTC Cap Sizes (due to be revised upwards on Sep 20th) -­‐ 2Y: USD 250,000,000 -­‐ 3Y / 4Y / 5Y / 7Y / 10Y: USD 100,000,000 -­‐ 30Y: USD 75,000,000 Minimum notional Capped notional Outliers exclude Number of trades with highest rates and lowest rates to remove are below: Tenors Highest rates Lowest rates 2Y / 3Y / 4Y 1 1 5Y 3 3 7Y 1 1 10Y 3 3 30Y 1 1 B. EUR Euribor REUTERS 6 Months Tenors 2 years/ 3 years / 5 years / 10 years / 30 years Conventions Minimum notional Capped notional Outliers exclude Trades with the following conventions: -­‐ Cleared Swaps -­‐ Vanilla, fixed-­‐float, spot starting swaps -­‐ Annual 30/360 Vs. 6 month Euribor EUR 1,000,000 Current CFTC Cap Sizes (due to be revised upwards on Sep 20th) -­‐ 2Y: EUR 190,000,000 -­‐ 3Y / 5Y / 10Y: EUR 75,000,000 -­‐ 30Y: EUR 56,000,000 Number of trades with highest rates and lowest rates to remove are below: Tenors Highest rates Lowest rates 2Y / 3Y 1 1 5Y 2 2 10Y 2 2 30Y 1 1 CLARUS FINANCIAL TECHNOLOGY SDRFIX METHODOLOGY 4 C. GBP Libor BBA 6 Months Tenors 5 years / 10 years / 30 years Conventions Trades with the following conventions: Ø Cleared swaps Ø Vanilla, fixed-­‐float, spot starting Ø Semi-­‐annual ACT/365 Vs. 6 month Libor Minimum notional GBP 1,000,000 Capped notional Current CFTC Cap sizes (due to be revised upwards on Sep 20th) -­‐ 5Y / 10Y: GBP 63,000,000 -­‐ 30Y: GBP 47,000,000 Outliers exclude Number of trades with highest rates and lowest rates to remove are below Tenors Highest rates Lowest rates 5Y / 10Y 1 2 30Y 1 1 CLARUS FINANCIAL TECHNOLOGY SDRFIX METHODOLOGY