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 and see the index data.

However transparent is a much used word in our industry and often open to wide interpretation.

What do we mean by transparent?

Well, the new version of our SDRFix data screen shows exactly what we mean.

While the old screen, just showed the fixing values for the previous 5 business days, we now provide much more transparency.

Firstly a bar graph that shows the change in basis points from the prior day fixing.

SDRFix - Basis Pt Change

From which we can quickly see that on the 23 Oct, IRSUSD Rates have

  • fallen 6 bps at the long end of the curve,
  • fallen 4-5 bps at the medium end,
  • and fallen less than 2bps at the short end.

Even more importantly we provide a results details table of trades used in the index determination.

SDRFix Details

From which can observe that for the IRSUSD 5Y index on 22 Oct 2013:

  • we included 99 trades with a gross notional of $11.5 billion for our VWAP algorithm
  • we excluded 16 trades with a gross notional of $1.7 billion
  • either because they fell outside our time window (4AM-11AM EST)
  • or because they were excluded as high or low outliers
  • and equivalent statistics for all other tenors

In the next version, we plan to provide a drill-down from any of the numbers in this table to the list of underlying trades.

You cannot get more transparent than that.

A User Interface that can show

  • Index values for any date range
  • Differences between any date in graphical form
  • Summary details of the trades used for any index determination
  • Drill-down to the trades (next version).

That is what we mean by transparent.

Quite different to what one gets from other Index or providers.

If you need and value transparency.

  1. I encourage you to learn about SDRFix.
  2. I encourage you to use SDRFix.


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