What We Do

Analytics

Fast modern analytics for Margin calculation, Scenario analysis, Hedging. Pre-trade and Post-trade. Access via easy-to-integrate APIs or consume via easy-to-use GUIs.

Data

Normalised, Enhanced and Aggregated Data on Swap and other Derivatives sourced from Swap Data Repositories, Swap Execution Facilities and Clearing Houses.

Research

Insightful market commentary and analysis on Derivative markets delivered weekly in the Clarus Blog. Volumes, Trends, Insights and What the Data Shows. Be Informed, Take Advantage.

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Latest blog posts

  • Dec, 4

    SOFR Futures and Swaps – November 2019

    Last week we covered SOFR Market Developments covering the comparison of SOFR derivatives volumes vs Libor and FedFunds, which highlighted the massive growth that needs to happen for SOFR to surpass Libor as the primary interest rate reference index. Every firm active in Futures and Swaps should be tracking the uptake of SOFR trading and […]

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    Dec, 4

    G-SIB Scores for US Banks

    We detail the GSIB methodology for US banks, referred to as “Method 2” in the literature. We calculate the GSIB scores for 8 US banks as at December 2018 and September 2019. We find that the Method 2 scores are particularly penal for Morgan Stanley. It will be interesting to see how these scores change […]

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  • Nov, 27

    SOFR Market Developments

    Last month I wrote about SONIA market developments and how trading is progressing ahead of 2022 when Libor is expected to end. In this blog I extend this analysis to the USD markets. Much like SONIA, SOFR has seen some growth over the past year, which is to be expected as USD Libor is also […]

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    Nov, 26

    G-SIB Mechanics and Definitions

    There are 30 Global Systemically Important Banks (G-SIBs) in 2019. A bank must hold at least an extra 1% in Tier One capital as a result of qualifying as a G-SIB. We look at the calculations necessary to work out a bank’s G-SIB score and calculate the exact values for 2019. We estimate that HSBC […]

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Our Technology

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  • Simple APIs, integrate in Days
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  • Full Production in Weeks not Years
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