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

  • Nov, 24

    Anonymous Trading on SEFs

    The 1st November 2020 heralded a fundamental change in swaps markets. SEFs executing trades in specific products were no longer permitted to disclose the identities of the counterparties (to each other) after the trade: At the moment, this rule only applies to MAT swaps – i.e. those products subjected to the execution mandate and required […]

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    Nov, 18

    SOFR Swaps on SEFs

    Last week I looked at Swap Volumes in October 2020 and focused primarily on SOFR Swaps and Futures at Clearing Houses, so this week I am going to look at Swap Execution Facilities (SEFs). D2D SEFs Let’s start by using SEFView to look at D2D SEFs, where the main product is SOFR v FedFunds Basis […]

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  • Nov, 11

    ISDA-Clarus RFR Indicator: SOFR, So Good

    The ISDA-Clarus RFR Adoption Indicator has been published for October 2020. The headlines are: The RFR Adoption Indicator hit 11.6%, a new all time high. This was up from 10.5% the prior month. 9.7% of all USD risk was traded in SOFR vs 5.8% last month, reflecting the increase in SOFR activity as a result of the CCP discounting change. […]

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    Nov, 10

    Swap Volumes in October 2020

    In the transition from LIBOR to SOFR, the recent change by Clearing Houses to discount swaps using a SOFR curve instead of a FedFunds curve has long been trailed as a key milestone for higher volumes in SOFR derivatives. In today’s blog I look at how SOFR Swap volumes did in October 2020. I also […]

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