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, 8

    Clearing House Margin calls in Q1 2020

    Clearing Houses have recently published data on the magnitude of margin calls they made in Q1 2020 and these are interesting to say the least. Given the massive price volatility we observed in March across all asset classes, we knew these were going to be big numbers, so let’s dive into the detail. Variation Margin […]

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    Jul, 8

    Swaps Data: Initial Margin Soars in Q1 2020

    My monthly Swaps Review looks at Initial Margin requirements as disclosed in the recently published 1Q 2020 CPMI-IOSCO Quantitative Disclosures for CCPs, showing: The extent of the IM increases in Q1 2020 The wide variance by product class 23%, 46%, 66% for IRS, CDS, F&O respectively The wide variance between CCPs in the same product […]

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  • Jul, 7

    SONIA Q2 2020 Update

    43% of GBP risk transacted in Q2 2020 was in SONIA. And only 24% of GBP notional was in LIBOR. Now that volatility has died down somewhat there is less short-dated trading activity. Can we consider the market standard as SONIA yet? The first Monday in March 2020 will likely be remembered for many reasons. […]

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    Jul, 1

    SOFR Futures and Swaps – June 2020

    An update to SOFR Futures and Swaps – May 2020 Volume and Open Interest in SOFR Futures is down Swaps Volume also down, but OI is up US persons data shows activity recovering in June SEF volume remains much lower than Off SEF Clarus Data Products provide more insights Volumes and Open Interest In CCPView we can view both […]

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Our Technology

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