Swapsinfo Methodology

Interest Rate Derivatives

Pricing: The fixed-floating IRS, OIS and FRA price lines reflect the volume-weighted average price reported on a given day. In order to correctly calculate this figure several adjustments were applied as needed:

  1. Only new trades are included in our database. We exclude all novations, terminations or back-filled reported trades. Thus, reported trade dates begin no earlier than Jan 1, 2013.
  2. Pricing convention adjustment – all prices are represented as X.XXX. Figures of varying magnitudes are adjusted to this convention, as reporting conventions may vary.
  3. Pricing dispersion adjustment – to account for incorrectly reported prices we benchmark our interest rate tenors to Bloomberg reported rates. Rate caps are allowed to be 50% higher than the reported benchmark rate while rate floors are permitted to range 50% lower. Incorrect prices are replaced with the previously traded day’s volume-weighted average price.
  4. Trade Day adjustment – trading of IRS may occur over various hours given the global nature of liquidity centers. To account for trades conducted and reported overnight or on weekends a trade day adjustment is made. All trades executed after 4pm (EST) are pushed to the following business day. After that adjustment, trades reported on Saturday are grouped with Friday’s trades; while, trades reported on Sunday are grouped with Monday’s trades.
  5. Notional conversion – Reported notional amounts are converted in two ways. Any amounts that are reported with a “+” indicating a block trade are reported as the minimum amount. For example, 1,000,000+ would be reported as 1,000,000. Once this change has been applied, all notionals are denominated in US dollars.
  6. Term adjustment – In some cases rates derivatives may be spot-starting or forward-starting. In the cases where they are forward-starting we group terms according to the length of time between the reported date and the effective date. All trades where the time between the two dates is one year or less are grouped with like-tenor trades. (For example, a 2-year swap with a 6-month forward starting date would be grouped with spot-starting 2-year swaps.) NOTE: the term is defined as the amount of time between the effective date and the end date.

Credit Default Swaps

Pricing: The credit index price lines reflect the volume-weighted average price, reported on a given day, for a given series. In order to correctly calculate this figure several adjustments were applied as needed:

  1. Only new trades are included in our database. We exclude all novations, terminations or back-filled reported trades. Thus, reported trade dates begin no earlier than Jan 1, 2013.
  2. Pricing convention adjustment – all prices are represented as X.XXX. Figures of varying magnitudes are adjusted to this convention as reporting conventions may vary.
  3. Pricing dispersion adjustment – to account for incorrectly reported prices we compare reported index prices to the respective series historical average price. Anything within 20% of this average is included.
  4. Trade Day adjustment – trading of credit indices may occur over various hours given the global nature of liquidity centers. To account for trades conducted and reported overnight or on weekends a trade day adjustment is made. All trades executed after 4pm (EST) are pushed to the following business day. After that adjustment, trades reported on Saturday are grouped with Friday’s trades; while, trades reported on Sunday are grouped with Monday’s trades.
  5. Notional conversion – Reported notional amounts are converted in two ways. Any amounts that are reported with a “+” indicating a block trade are reported as the minimum amount. For example, 1,000,000+ would be reported as 1,000,000. Once this change has been applied, all notionals are denominated in US dollars.

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