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

  • Jul, 26

    SOFR First – LIVE Blog

    Good morning, happy Monday and welcome to SOFR First day! SOFR activity accounted for 18% of the market (18:30pm London time). Today, Monday July 26th, is when a global initiative coined “SOFR First” comes into play for interbank markets. As per the CFTC MRAC announcement two weeks ago: SOFR First represents a prioritization of trading […]

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    Jul, 21

    Clearing Mandates and new Trading Obligations – regulatory change is happening.

    The UK and Europe are currently consulting on both the Derivatives Clearing and Trading Obligations. Clarus are worried that the UK consultations risks a significant loss of transparency to markets. Particularly for USD. There appears to have been silence out of the CFTC on these important subjects. Europe has proposed covering some RFRs in the […]

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  • Jul, 14

    What’s new in CCP Quant Disclosures – 1Q21

    Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS is now down from record highs of Mar 2020 Initial margin for CDS similarly down Initial margin for ETD up QoQ and down YoY Cash Deposited at Central banks continues to increase (ASC, CME, OCC, …) Commensurate drops in marketable collateral convertible to cash LCH Clearnet percentage income from […]

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    Jul, 14

    Is RFR Trading Now Ready for Lift-Off?

    We are 12 days from SOFR First. 12 days from the point that interdealer markets plan to switch to trading SOFR instead of LIBOR as the market standard. The CFTC yesterday officially adopted the SOFR First recommendations at the Market Risk Advisory Committee meeting. We are 12 days away from interdealer swaps “prioritising” SOFR first […]

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