Spreadovers account for roughly 35% of all USD risk traded on-SEF. In D2D USD swap markets, Spreadovers account for about 70% of volumes. This makes them by far the most important packages traded in USD. Almost all Spreadovers are transacted on a SEF. We look at D2D SEF market share in USD swaps. History We […]

Fannie Mae recently issued its first ever securities linked to SOFR (see here for details). The issuance was $6 billion in size, settled on 30 July with 6m, 12m and 18m tranches. So I wanted to update our recent SOFR Swaps Are Trading blog and see if this bond issue has led to any more […]

Clarus Microservices make it easy to get Swaps data Swap volumes can be retrieved from SDRs using simple Python This data can be displayed in Tables and Charts Our Sandbox allows you to try quickly in your Browser Introduction Under the Dodd-Frank Act, all swaps, whether cleared or uncleared, that are executed by US persons, […]

We summarise the portion of risk that is traded as OIS across seven major markets. Benchmark reforms around the globe are helping transition trading away from Libor into Risk Free Rates. We monitor the progression of these reforms by looking at how much risk is trading in OIS products. How popular are OIS? Clarus use our data products, […]