SDRFix, a new index for a post-reform world | Clarus Financial Technology
London, September 11, 2013 – Clarus Financial Technology today announces SDRFIX, a new index for a post-reform world. The SDRFIX index is based on actual transactions data sourced from the US Swaps Data Repository (SDR), DTCC DDR. This new index complies with the recommended practices specified in the IOSCO paper “Principles for Financial Benchmarks “, July 2013. In particular the key principles of Benchmark Design, Data Sufficiency and Transparency of Benchmark Determinants, as detailed by the following points extracted from the IOSCO paper:
- Take into account, … the size and liquidity of the relevant market
- Be anchored by observable transactions entered into at arm’s length between buyers and sellers in the market
- Ability to understand how the determination was developed, including at a minimum, the size and liquidity (meaning the number and volume of transactions submitted)
Amir Khwaja, CEO of Clarus Financial Technology explains,
“The financial industry has invested a lot of time and effort in complying with the Dodd-Frank Act and EMIR requirements to report OTC derivative transactions to a Swap Data Repository (SDR). We believe the value of this investment should not be solely for the benefit of regulators”. “By releasing, SDRFIX, which we believe is the first index determined only from transactions reported to an SDR, we are showing the additional value that can be extracted from the reporting requirements”. “In our benchmark design and construction work, we have considered how to make the index as transparent and free of conflicts as possible. We have also benchmarked how SDRFIX performs over a period of time against a comparable index such as ISDAFIX”. “We believe that SDRFIX is a relevant, useful and transparent index, that has the potential to be widely used in the Derivatives industry."
SDRFIX is publicly available at www.clarusft/sdrfix/ where details on the methodology and published data can be found. The press release can be read at SDRFix, a new index for a post-reform world | Clarus Financial Technology.