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

  • Sep, 16

    SOFR Swap Nuances

    This week, we take a look at the world of SOFR swaps and some of the intricacies associated with trading these OIS products. Nuance 1: Reset Lag and Payment Lag (courtesy of the Clarus blog) Overnight Index Swaps have a peculiarity concerning the fixing date (or publication date) of the underlying overnight rates. The fixing […]

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    Sep, 10

    RFR Data: Where is the €STR risk?

    The ISDA-Clarus RFR Adoption Indicator has been published for August 2020. The headlines are: The RFR Adoption Indicator was at 6.4% in August 2020. This was pretty unchanged from 6.8% the prior month, and short of the highs hit in January 2020. 3.6% of all USD risk was traded in SOFR vs 3.8% last month, so no great change there. […]

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  • Sep, 7

    SGD Rates: SORA and the Fallback Rate (SOR)

    A new Fallback Rate (SOR) will be used on SOR-referencing contracts in the event of a cessation of USD LIBOR. This rate should not be used in any new derivatives, and is only expected to be published for a period of about three years. As Clarus highlighted during the original ISDA consultation, the Fallback Rate […]

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    Sep, 1

    40% of the GBP Market Trades Versus SONIA

    The ISDA-Clarus RFR Adoption Indicator includes currency specific measures on how much RFR risk is trading. These values are available as interactive charts on rfr.clarusft.com. Notable adoption of RFRs has occurred in both GBP markets (40%) and CHF (8%). We look at each of the six currencies covered by the indicator in this blog. Data […]

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