Clarus curate and augment a version of the SDR data that is unique. What does that tell us about the market that an ordinary SDR feed does not? Curve Trades Curve trades have a different price impact to outright trades. This is because they are delta-neutral. It is also common to manage risk across a […]

Today we go to the far reaches of the Swap Data Repositories and explore commodities.  You probably know that SDRView normalizes and enriches the Interest Rate, Credit, and Foreign Exchange asset classes.  We’re quite fluent in that.  Further, we have done some studies on the Equity asset class in the recent past. That leaves us […]

We analyse Liquidity using our Price Dispersion Index We find that liquidity conditions have worsened for 10 year USD swaps The analysis quantifies liquidity using price and volume We conclude that illiquidity begets illiquidity Liquidity often feels ephemeral and fleeting when you’re trying to transact. To counteract this, it is beneficial to quantify liquidity conditions, taking the subjectivity out […]

Our Brexit blogs and June Swaps Review both show that OIS volumes have been very large recently We therefore have greater price transparency for short end interest rates This is particularly interesting when a central bank may be about to change monetary policy The BoE may be about to cut rates in response to the surprise Brexit […]

We were recently asked to find evidence of Risk Participation Agreements (RPA) in the public swap data.  If you are like me, your first question is “what is a risk participation agreement?”  Having now done a bit of research on the topic, I thought it worthwhile to share my findings.  And also answer the question […]