1. 1
SDRFIX:
Interest
Rate
Swaps
-­‐ USD
Libor
BBA
3M
-­‐ EUR
Euribor
REUTERS
6M
-­‐ GBP
Libor
BBA
6M
Cross
Currency
Basis
Swaps
-­‐ EUR
Euribor
Reuters
3M
Vs.
USD
Libor
BBA
3M
Version
1.5
March
3,
2014
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. 2
I)
Common
features
of
SDRFIX
Overview
Index
Computation
An
index
based
on
actual
trades
Sourced
from
the
DTCC
DDR
Real
Time
public
dissemination
feed
Volume
Weighted
Average
Price
methodology
Index
is
calculated
with
the
formula:
SDRFIXPeriod-­‐T
=
Trade
Exclusion
Contingency
plan
!
!!! !"#$! ×!"#$"!%&!
!
!!! !"#$"!%&!
Where,
-­‐
SDRFIXPeriod-­‐T
is
the
index
on
a
specific
tenor
on
period
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
period
T
Note:
-­‐
A
notional
weighted
average
is
used
to
give
more
weight
in
the
index
to
important
trades
-­‐
Large
notionals
are
capped
according
to
the
CFTC(1)
block
trade
rules
-­‐
These
cap
sizes
are
publicly
available
in
the
daily
DTCC
DDR
capping
numbers
report
Bad
prices
(high
and
low)
are
excluded
using
the
“Median
–
Median
Absolute
Deviation”
Methodology.
Where,
-­‐
(x1,
x2,
…,
xn):
our
set
of
quantitative
data
-­‐
M:
Median
of
{x1,
x2,
…,
xn}
-­‐
MAD:
Median
of
{|xi
–
M
|}
=
Median
of
{|x1-­‐M|,|x2-­‐M|,
…,
|xn
–
M|}
-­‐
K
:
Scale
Factor
calculated
by
back-­‐testing
A
trade
is
excluded
from
the
sample
if
its
price
is
out
of
the
range:
[M
–
K
*
MAD
;
M
+
K
*
MAD]
After
having
looked
at
data
for
a
1-­‐month
period,
5
is
an
efficient
scale
factor.
If
no
trades
are
available
(which
is
quite
rare),
the
previous
index
will
be
published.
If
there
are
still
no
trades,
the
previous
fixing
will
be
published.
And
so
on
until
a
value
is
found
(it
most
of
the
time
stops
at
the
previous
Fixing).
CLARUS
FINANCIAL
TECHNOLOGY
SDRFIX
METHODOLOGY

3. 3
II)
Specific
features
A. IRS
-­‐
USD
Libor
BBA
3M
Tenors
2Y
/
3Y
/
4Y
/
5Y
/
7Y
/
10Y
/
30Y
Publish
Each
New
York
Business
Day
at
11.00
am
EST
and
15.00
pm
EST(2)
Qualification
Window
1st
Fixing
(11.00
am)
:
Trades
executed
between
04.00
am
to
11.00
am
EST(3)
2nd
Fixing
(15.00
pm)
:
Trades
executed
between
11.00
am
and
15.00
pm
EST
Conventions
Minimum
notional
Capped
notional
Trades
with
the
following
conventions:
-­‐ On
Sef,
Cleared
Swaps
-­‐ Vanilla,
fixed-­‐float,
spot
starting
swaps
-­‐ Semi-­‐annual
30/360
Vs.
3M
Libor
USD
1,000,000
Current
CFTC
Cap
Sizes
-­‐ 2Y:
USD
460,000,000
-­‐ 3Y
/
4Y
/
5Y:
USD
240,000,000
-­‐ 7Y
/
10Y:
USD
170,000,000
-­‐ 30Y:
USD
120,000,000
B. IRS
-­‐
EUR
Euribor
REUTERS
6M
Tenors
2Y
/
3Y
/
5Y
/
10Y
/
30Y
Publish
Every
day
at
11.00
am
EST(2)
Qualification
Window
Trades
executed
between
04.00
am
to
11.00
am
EST(3)
Conventions
Trades
with
the
following
conventions:
-­‐ Cleared
Swaps
-­‐ Vanilla,
fixed-­‐float,
spot
starting
swaps
-­‐ Annual
30/360
Vs.
6M
Euribor
Minimum
notional
EUR
1,000,000
Capped
notional
Current
CFTC
Cap
Sizes
-­‐ 2Y:
EUR
340,000,000
-­‐ 3Y
/
5Y:
EUR
180,000,000
-­‐ 10Y:
EUR
130,000,000
-­‐ 30Y:
EUR
89,000,000
C. IRS
-­‐
GBP
Libor
BBA
6M
Tenors
5Y
/
10Y
/
30Y
Publish
Every
London
Business
Day
at
11.00
am
EST(2)
Qualification
Window
Trades
executed
between
04.00
am
to
11.00
am
EST(3)
Conventions
Trades
with
the
following
conventions:
-­‐ Cleared
swaps
-­‐ Vanilla,
fixed-­‐float,
spot
starting
-­‐ Semi-­‐annual
ACT/365
Vs.
6M
Libor
Minimum
notional
GBP
1,000,000
Capped
notional
Current
CFTC
Cap
sizes
-­‐ 5Y:
GBP
150,000,000
-­‐ 10Y:
GBP
110,000,000
-­‐ 30Y:
GBP
75,000,000
(1)
Commodity
Futures
Trading
Commission
(2)
Indexes
will
be
published
at
11.30
am
and
15.30
pm
(3)
04.00
am
EST
represents
09.00
am
London
time
CLARUS
FINANCIAL
TECHNOLOGY
SDRFIX
METHODOLOGY

4. 4
D. CCBS
–
EUR
Euribor
Reuters
3M
vs.
USD
Libor
BBA
3M
Tenors
1Y
/
2Y
/
3Y
/
4Y
/
5Y
/
7Y
/
10Y
/
20Y
/
30Y
Publish
Every
London
Business
Day
at
11.00
am
EST(2)
Qualification
Window
Trades
during
the
4
last
trading
days
up
to
fixing
day
at
11.00
am
EST
Conventions
Trades
with
the
following
conventions:
-­‐ Cleared
/
Uncleared
swaps
-­‐ Float-­‐float,
spot
starting
-­‐ 3M
Euribor
Vs.
3M
Libor
ACT/360
Minimum
notional
EUR
1,000,000
and
USD
1,000,000
Capped
notional
For
USD
capped
sizes,
check
at
IRS
–
USD
Libor
BBA
3M
For
EUR
capped
sizes,
check
at
IRS
–
EUR
Euribor
Reuters
6M
CLARUS
FINANCIAL
TECHNOLOGY
SDRFIX
METHODOLOGY