Swapstream, the only multilateral electronic trading platform for medium and long term interest rate swaps (IRS), today announced a joint venture with leading information provider Total Derivatives to provide hourly EUR swap fixings from one year to fifty years.
The data, which is derived directly from live, tradable prices and Swapstream's hourly fixings, provides the industry with maximum flexibility, offers market-leading accuracy and surpasses other currently available fixings information.
Levels are computed directly from the best tradable bids and offers across all counterparties on the Swapstream platform. Each hourly fixing is referenced to the mid-market level of the Schatz, Bobl or Bund.
This functionality puts the platform in a unique position to provide regular, accurate, transparent and independent swap fixings, alongside reference futures prices.
Existing swap fixings pages are suboptimal. Fixings are compiled from a series of indicative mid-market prices, and the compiled numbers can diverge significantly from the true mid-market level. Existing fixings are available only once or twice daily, while a liquid market in EUR swaps operates actively throughout the day. By contrast, Swapstream fixings are available on an hourly basis.
"The electronic trading of interest rate swaps is still evolving, and the ability of traders and leading information providers such as Total Derivatives to have ongoing access to reliable fixing data is an immediate differentiator within the rapidly expanding electronic trading sector," said Stephane Rio, CEO of Swapstream. "Swapstream's goal is to stay true to its role as a market leader by offering the most accurate interest rate swap information as quickly as possible. This joint venture supports that goal as we can help provide traders, for the first time, with transparent fixings based on truly tradable prices from multiple independent market participants."
Many parties will benefit from the new Swapstream fixings page. Retail investors are buying swap-linked products in the form of structured notes. Corporate borrowers price new bond issues throughout the trading day. Risk managers at derivatives dealers and their clients require independently verified swap curves. Regulators are closely monitoring the swap market. All require regular, accurate, transparent and independent swap fixings.
"In the space of two years, electronic trading has transformed the swap market. The automated environment has improved transparency, accessibility and speed of execution. An automated swap fixings system is a natural extension of electronic swap trading," said Ronan O'Neill CEO of Total Derivatives. "The new Swapstream fixings page combines maximum accuracy with maximum flexibility for derivatives dealers and their clients. Total Derivatives is pleased to be the publisher of the information via a fully-automated XML feed."