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

  • Apr, 14

    What happened to reduce RFR trading?

    March 2021 saw 8.8% of all derivatives risk traded versus an RFR. This reduced from the previous levels around 10%. The pre-cessation announcements last month do not appear to have accelerated RFR Adoption. There was an increase in the amount of IBOR-related activity last month. Overall for Q1 2021, the total amount of RFR activity […]

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    Apr, 14

    What’s new in CCP Quant Disclosures – 4Q20?

    Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS remains close to record highs Initial margin for CDS down 12% from the high Initial margin for ETD down 15% from the high OCC and Eurex OTC IRS the only CCPs with IM QoQ up > 10% ASXCL, ICE Clear NL and ICE Clear SG are new additions to CCPView DTCC […]

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  • Apr, 12

    Potential challenges of a synthetic LIBOR

    Most active market participants were looking forward to the LIBOR cessation or pre-cessation announcement to provide certainty for the end of LIBOR. This was provided by FCA on 5th March 2021 as a pre-cessation or ‘loss of representativeness’ announcement which triggered many contracts to move to the fallbacks at a future date. However, another component […]

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    Apr, 6

    LIBOR LIVE – Is GBP LIBOR now dead in derivatives?

    Will today be Day One of the LIBOR end game? It should be, according to the latest “Dear CEO” letter from David Bailey, Sarah Breeden and the FCA: ‘Transition from LIBOR to Risk Free Rates’. The end of Q1 2021 is meant to have signaled the last day for business as usual linear GBP derivatives […]

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