CCPView Principles and Data Sources
1. Volumes and Open Interest
We believe that clearing data needs to be presented:
- As “single counted”
- By product type
- By floating rate index
- By tenor or tenor bucket
- By “Activity” (eg Dealer or Client clearing)
- Inclusive of trade counts
There is no standard in reporting of clearing data. As such, many clearing houses do not report in a manner consistent with our Principles.
Clarus does, however, normalize the data to the best of our ability. The most notable being the reporting of volumes and open interest in a single-counted manner.
Example of Single-Counting
If parties A and B transact a swap where party A is a payer of $6 million, and clear that trade, we endeavor to report this as $6 million in Volume, and $6 million in Open Interest. The Trade Count is 1.
If on the same day, party A then transacts a swap with same details, but to receive $2 million (a partial offset) with party C, we endeavor to report total daily Volume as $8 million, and Open interest of $4 million (A is net 4 million payer, B is net 2 million receiver, C is net 2 million receiver). The Trade Count is 2.
CCPView normalizes activity in millions of USD equivalent. We update our foreign exchange rates on the first day of each month. This is particularly of interest to understand, as the OI number (expressed in USD) can change dramatically in the first day of the month for no other reason than currency translation.
We believe it is relevant to distinguish between Client and Dealer clearing activity. Only Eurex and LCH clearly delineate (for Interest Rate Derivatives only) between client and dealer activity in their data reporting. Hence, to arrive at a Client/Dealer distinction, we have made the following assumptions within the data. It is very important to understand this when leveraging our “Activity” filter:
- Asigna / Mexder: We have assigned a “Dealer” activity to all data.
- ASX: We have assigned a “Dealer” activity to all data.
- BME: We have assigned a “Dealer” activity to all data.
- CCIL: We have assigned a “Dealer” activity to all data.
- CME: We have assigned a “Client” activity to all IRD, CRD, and FXD data.
- Eurex: Reports Client and Dealer activity separately.
- HKEX: We have assigned a “Dealer” activity to all IRD and FXD data.
- ICE (Clear Credit and Clear Europe): We have assigned a “Blended” activity to all data.
- JSCC: We have assigned a “Dealer” activity to all data.
- KDPW: We have assigned a “Dealer” activity to all data.
- KRX: Reports Client and Dealer activity separately.
- LCH (IRD): Reports Client and Dealer activity separately.
- LCH (FXD & CRD): We have assigned a “Dealer” activity to all FXD data.
- Nasdaq OMX: We have assigned a “Dealer” activity to all OTC activity and “Blended” to all ETD activity.
- Shanghai Clearing: We have assigned a “Blended” activity to all data.
- SGX: We have assigned a “Dealer” activity to all data.
We acknowledge that some of these assumptions may be aggressive, and would encourage everyone to request the appropriate reporting of activity from the clearing houses.
All data is sourced directly from Clearing Houses:
- Asigna / Mexder
- NASDAQ OMX
- Shanghai Clearing
Our intent is to provide a rich history of clearing data. The amount of history we provide is limited by various factors including the Clearing House’s data practices, our ability to gather the data in a timely fashion, and the Clearing House’s desire to cooperate with providing us with historical data.
Published and Derived Data
Some clearing houses publish infrequently, for example on a monthly basis. Hence if your reporting timeframe ends mid-month, we endeavor to show you the last reported, known activity up through the end date of your query (eg we assume Open Interest is flat). As such, we provide two types of data, “published” and “derived”. Published data is just that – we have pulled it from the clearing house. Derived data is our “filled-in” data in order to provide continuous data for charting throughout any time period. This represents only a small portion of the data, and falls into one of five categories:
- Unreportable. The data for the day is not intended to be reported by the clearing house. For example, the CCPs that report monthly.
- Unreported. The data for the day was not/is not published, even though it was expected. This is very rare and we’ve seen only a couple occasions.
- Holiday. Some CCP’s report data on holidays, some do not.
- Missed. We at Clarus have failed to gather the report in a timely manner, and have been unable to work with the clearing house to retrieve it.
- Pending. To be updated at a later time. Currently utilized for data we publish temporarily with expectations to have official data in coming days. For example monthly reporting CCPs whereby the monthly report is not yet available for the previous month.
Asset Classes and Respective Product Types
Below are the Asset Class and Product Type designations used by CCPView:
- CMD– Commodity Derivatives
- AgFut – Agriculture Futures
- EngFut – Energy Futures
- MetFut – Metals Futures
- CRD – Credit Default Swaps
- CDS – Single Name Credit Default Swap
- CDX – Credit Default Swap Index
- CDXFut – Futures on Credit Default Swap Index
- CDXSwaption – Options on CDS Index
- EQD – Equity Derivatives
- EqIdxFut – Futures on Equity Indices
- FI – Fixed Income
- UST – US Treasuries
- FXD – Foreign Exchange Derivatives
- Forwards – Deliverable Forwards
- FXFut – Futures on FX
- NDF – Non-Deliverable Forward
- Option – FX Option
- Spot – FX Spot
- Swaps – FX Swaps
- IRD – Interest Rate Derivatives
- Basis – Single Currency Basis Swap
- BondFut – Bond Future
- CMSFut – Constant Maturity Swap Futures
- FRA – Forward Rate Agreements
- Inflation – Inflation Swaps
- IRS – Vanilla Fixed Float Interest Rate Swaps
- MMFut – Money Market Futures
- OIS – Overnight Index Swap
- SwapFut – Futures on Interest Rate Swaps
- Swaption – Options on Swaps
- VNS – Variable Notional Swaps
- ZC – Zero Coupon Swaps
2. CPMI-IOSCO Quantitative Disclosures
Clarus also collects and aggregates quantitative disclosures for the following Clearing Houses, many with multiple CCPs. This data is available on a quarterly basis with a quarterly lag with historical data starting on 30 Sep 2015 for the major global CCPs and consists of over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more.
The CPMI-IOSCO on Public quantitative disclosure standards for central counterparties is available here.