CCPView Principles and Data Sources

Principles

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.

USD Equivalents

CCPView normalizes activity in millions of USD equivalent.  We update our foreign exchange rates periodically, typically every month end.  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.

Activity Classification

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.

Data Sources

All data is sourced directly from Clearing Houses:

History Available

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.

The table below summarizes the amount of history we currently have available in CCPView.

 

ccpview-history-20160921

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:

  • CRD – Credit Default Swaps
    • CDS – Single Name Credit Default Swap
    • CDX – Credit Default Swap Index
    • CDXFut – Futures on Credit Default Swap Index
  • FXD – Foreign Exchange Derivatives
    • NDF – Non-Deliverable Forward
  • IRD – Interest Rate Derivatives
    • Basis – Single Currency Basis Swap
    • BondFut – Bond Future (sub-types available for Eurex, CME T-Notes, and CME T-Bonds)
    • CMSFut – Constant Maturity Swap Futures
    • FRA – Forward Rate Agreements
    • Inflation – Inflation Swaps
    • IRS – Vanilla Fixed Float Interest Rate Swaps
    • MMFut – Money Market Futures (sub-types available for Eurex, and CME Eurodollars, Eurodollar Bundles, EuroYen, and FedFunds)
    • OIS – Overnight Index Swap
    • SwapFut – Futures on Interest Rate Swaps (sub-types available for Eris Flex, Eris Standards, Eurex, and CME Deliverable Swap Futures)
    • VNS – Variable Notional Swaps
    • ZC – Zero Coupon Swaps

CPMI-IOSCO Quantitative Disclosures

Clarus collects and aggregates quarterly disclosures of the following CCPs:

  • ASX
  • BME
  • CCIL
  • CCP Austria
  • CDCC
  • CME
  • CME Europe
  • DTCC
  • EuroCCP
  • EUREX
  • HKEX
  • ICE Clear Credit
  • ICE Clear US
  • ICE Clear Europe
  • JSCC
  • LCH LTD
  • LCH LLC
  • LCH SA
  • LME
  • NCC
  • Nodal
  • OCC
  • SCH
  • SIX
  • SGX

Terms Of Service

All use of CCPView is governed by our Terms of Service which can change from time to time.