Fed meetings and OIS Volumes

Volumes in FOMC dated OIS swaps surged past $1.3 trillion last month Only 57% of this volume was cleared at a CCP, which is surprising We interpret the price action via the Clarus Fed Pulse Index Paying FOMC dated OIS structures now looks attractive Amir last week highlighted the surge in USD OIS Volumes we […]

Why Is There No Mainstream Swap Index?

All firms benchmark their performance.  It’s relatively straightforward to compare your investment returns to the S&P 500, Dow Jones, Investment-Grade credit, or simply government bonds. All of these are simple because they have clear indices.  As such, you can look at the level of the S&P 500 on Day X and Day Y, and come up […]

Fed Pulse – A New OIS Index

We use SDR USD OIS Volume and Price data to derive a new Fed Pulse Index The index construction takes all FOMC meeting-dated OIS that are traded across the yield curve This allows us to make maximum use of all price and volume data embedded within OIS trades Allowing us to “take the pulse” of the FOMC […]

Fed Surprises in the USD OIS Data

We provide an update to our USD OIS Volumes blog from earlier last year. Highlighting that OIS structures that run from one FOMC meeting date to the next are the most common trades. This gives us a unique insight into market consensus pricing for the exact FOMC dates, unlike the 30-day Fed Fund futures contracts. We can therefore […]

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, 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 […]