Clarus Daily Briefing

Our Clarus Daily Briefing is *FREE*. It provides a summary of price moves, volume trends and central bank expectations. Bringing you information about Swap markets straight to your inbox. Is your firm interested in sponsoring the Daily Briefing? If so, reach out to us. The FREE Clarus Daily Briefing Every morning, Clarus deliver our Daily […]

2017 SEF Market Share Statistics

In this article I look at 2017 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2016 SEF Market Share Statistics. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of market share […]

Nov 2017 Swaps Review in 16 Charts

Continuing with our Swaps review series, let’s look at volumes in November 2017. Summary: SDR USD IRS volumes similar to prior months USD IRS On SEF Compression close to monthly highs USD OIS volume similar to the gross notional of IRS Our new Daily Briefing for USD Swaps is now available EUR, GBP, JPY IRS volumes similar GBP On SEF Compression up from prior […]

Sep 2017 Swaps Review in 16 Charts

Continuing with our Swaps review series, let’s look at volumes in September 2017. Summary: SDR USD IRS volumes similar to prior months USD IRS SEF Compression and Rolls with much higher volumes USD OIS volume subdued and down to similar gross notional to IRS Our new Daily Briefing for USD Swaps is now available EUR IRS and OIS volume up from […]

Swaps Data Review: Basis Swaps Galore

My Monthly Swaps Data Review for Risk Magazine was published last week. This looks at some of the less well traded IRD products: In USD, EUR, GBP, JPY, AUD, CAD Basis Swaps USD FedFunds and Libor 1m v3m Cross Currency Inflation Swaps Caps and Floors Exotics Please click here for free access to the full […]

Introducing Our Daily Briefing, Direct to your inbox

Introducing the new Clarus Daily Briefing. Curated market information direct to your inbox. Swap rates, volumes and Central Bank rate expectations every day. Make sense of daily trading activity in less than 2 minutes. We offer a free two-week trial before your paid subscription starts. Daily Market Commentary We always aim to improve the general […]

Swaps Data Review: Credit Derivative volumes

My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of Credit Derivatives in the 4-month period to July 2017, showing: Global Cleared Volumes CDS Index represents 86% and CDS 14% of volume ICE Clear Credit is the largest CCP with 75% of the volume iTraxx Europe is the […]

Swaps Data Review: CCP and SEF Volumes

My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of G4 Swaps in the first six months of 2017, showing: Strong growth at LCH and JSCC OIS volumes significant in USD, EUR and GBP JSCC volumes in JPY Swaps exceeding LCH in 2017 SEF volumes show D2C continuing […]