Clarus Data Products

CCPView

Global Cleared Derivatives volumes, currency and product level.

SEFView

SEF-executed activity, instrument level.
(CFTC Part 16 data)

SDRView

Trade level, US persons activity. (CFTC Part 43 data)
.

ViewProducts
Swap Data normalized and enriched by Clarus in our View products. (Scale for USD IRS)

 

Latest Posts

  • Jul, 9

    How Much Data Do We Have?

    We saw record cleared volumes in vanilla IRS in June 2018. We take a look at the data behind these records. SDR data covers 60% of cleared volumes in USD swaps. SDR data also covers non-USD swaps and we quantify exactly what proportion of the market it covers. Introduction With MIFID data soon to be […]

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    Apr, 9

    Cross Currency Swaps and Libor-OIS

    USD can be funded domestically or in international funding markets. These two funding markets create natural links between Libor-OIS spreads and Cross Currency Basis. We saw record volumes in USD Libor-OIS trading over the past three months. We also saw record notional volumes traded in Cross Currency Basis during Q1 2018. However, when we look […]

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  • Feb, 27

    All time record volumes in Cross Currency Swaps

    January 2018 saw all time notional volume records in Cross Currency Swaps. Some of this volume was in short-dated USDJPY products. BGC captured a large portion of the uptick in volumes, seeing a 40% market share for on-SEF products. We need to be able to see European volumes to improve our understanding of this important […]

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    Feb, 14

    Entity Netted Notionals – Turning $179 trillion into $15 trillion

    The Office of the Chief Economist at the CFTC, recently published the research paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets“, which I found very interesting. This paper argues that gross notional , a common measure of the size of swap markets, does not accurately represent the amount of risk […]

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  • Oct, 30

    Cross Currency Swap Volumes

    EUR/USD, GBP/USD and JPY/USD are the big three in Cross Currency Basis swaps. The maturity profiles of the three markets are very different to each other. We can confidently state that JPY/USD is a short-end market, EUR/USD a medium term one and GBP/USD long-end. ICAP are dominant in the SEF market, with BGC increasing market […]

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    Oct, 11

    Summary Of Treasury’s Capital Markets Report to Trump

    Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]

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  • Sep, 6

    FX NDF Package Transactions

    Today, I looked at packages of FX NDF trades on the SDR, expecting to be able to find some basic packages, or even just logical groupings of trades such as: FX NDF Swaps.  These would have a near & far leg, and the price differs by some forward points. Par Forwards.  These are a structure […]

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    Aug, 22

    Curve Trading in USD Swaps

    Curve trades account for around 10% of volumes reported to US SDRs. We identify these package trades by matching timestamps and risk equivalence of the two legs. Benchmark curve switches trade every single day in decent size. We look at the USD Curve Trade market during 2017. Curve Trading Call them Curve Trades, Spreads or […]

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