Fed Surprise Indicators
We use price and volume data to measure the “surprise factor” of the Fed’s rate hike last week OIS volumes were impressive, near to the highest day all year… …with evidence of a preference towards cash-settling derivative trades We suggest different ways of using the volume data to measure the degree of surprise in the […]
SDRFix, An Update: On SEF & Cross Currency Swaps
My last article on SDRFix was on Oct 28, 2013 and the prior one on Sep 25, 2013, so I thought it was time I provided an update. What is New? Today we released a new version with the following: USD IRS fixing to only use On SEF Cleared trades A new fixing for […]
SDRFix, what do we mean when we say transparent?
Following on from my article on SDRFix, a Progress Report Two weeks after launch, I wanted to explain what we mean when we say that SDRFix is publicly available and transparent. The publicly available, requires no deep explanation. Anyone can go to sdrfix.com and see the index data. However transparent is a much used word […]
SDRFIX, a progress report two weeks after launch
On Sep 11, we went public with SDRFix and started publishing this daily on our website at SDRFix Data. In this article I am going to summarise our progress, lessons learned and our plans going forward. Press Coverage To start with the announcement generated excellent press coverage with Risk, Bloomberg, FIA Smartbrief & Euromoney all picking […]
SDRFIX, a new index for a post-reform world
Today we put out a press release announcing a new product, see SDRFIX, a new index for a post-reform world. The announcement is also covered today on Risk.net (subs access), see ISDAFIX faces rival based on swap repository data. The latter has the tag-line “New end-of-day benchmark is “much harder to manipulate” than industry standard IsdaFix”. Not […]
ISDAFIX, Looking for Evidence of Price-manipulation
There has been much recent press on the investigations into ISDAFIX and whether this will turn-out to be similar to the LIBOR rigging scandal. See CFTC’s Path in Rate-Swaps Probe or US Regulators ‘find evidence’ of banks fixing derivative rates. While there is much speculation that millions of emails will have to be sifted through to […]