The Securities Industry and Financial Markets Association Municipal Swap Index is a 7-day high-grade market index comprised of tax-exempt Variable Rate Demand Obligations (VRDOs) with certain characteristics. The Index is calculated and published by Bloomberg. The Index is overseen by SIFMA’s Municipal Swap Index Committee.
The Index was created in response to industry participants’ demand for a short-term index which accurately reflected activity in the VRDO market. In 1991, SIFMA established a Market Index Subcommittee to analyze the need for such an index, and and that Subcommittee developed the SIFMA Municipal Swap Index. In 2014 SIFMA amended the Index criteria such that reset rates that comprise the Index must have been reported to the Municipal Securities Rulemaking Board’s Short-Term Obligation Rate Transparency (SHORT) System.
Key Features and Coverage on RIMES
For this data source, RIMES hosts the SIFMA Municipal Swap Index. Some of the data items available include Series Value and Last Price Date.