Clarus SEFView data is a cleansed, normalized, and enriched set of SEF data.
The underlying data is gross position data as disseminated under CFTC part 16 which SEFView then normalizes into the following:
Clarus reference | Clarus Description |
Reporting Date | Date of Activity |
SEF | SEF Name |
SEF Type | Classification of SEF as Dealer-to-Customer (D2C), Dealer-to-Dealer (D2D), or DCM |
Asset Class | CRD (Credit Derivatives), FXD (FX Derivatives), or IRD (Interest Rate Derivatives) |
Product Type | Instrument / Product. For example, IRD: Vanilla Swap, IRD: FRA, etc |
Tenor | Maturity Tenor. Either normalized tenor or maturity date in some FX cases |
CCY Pair | FX Currency Pair, applicable for FX and XCCY IR swaps |
Security | For CRD, the index name. For listed derivatives, the Contract name |
Amount | Notional amount in original ccy |
CCY | Currency of the notional |
Open | Opening price, as reported by some SEF’s for that instrument |
Close | Closing price, as reported by some SEF’s for that instrument |
High | High price, as reported by some SEF’s for that instrument |
Low | Low price, as reported by some SEF’s for that instrument |
Block Notional | Amount of notional reported that is block |
Block USD Equiv MM | Equivalent of Block Notional, in millions of USD* |
Non-Block USD Equiv MM | Equivalent of Non-Block Notional, in millions of USD* |
Markup 1 | Portion of Raw data as reported by SEF under CFTC Part 16. |
Markup 2 | Portion of Raw data as reported by SEF under CFTC Part 16. |
Markup 3 | Portion of Raw data as reported by SEF under CFTC Part 16. |
Markup 4 | Portion of Raw data as reported by SEF under CFTC Part 16. |
USD Equiv MM | Equivalent of Notional, in millions of USD* |
USD 5Y IRD Equiv MM | 5-year swap equivalent of IRD notional, in millions of USD*. Only applicable for certain IRD products. |
USD DV01 | DV01 of IRD notional. Only applicable for certain IRD products. |
Subtype | Product Subtype. Available for IR Vanilla Swaps (MAC or Other) and IR Swap Futures (MAC or Other) |
Term | Forward starting term, if available |
DCO | Clearing House, if available or inferred. Either directly inferred from Part 16 report, or assumed to be LCH for IDBs, unless explicitly reported as CME. |
Venue Type | Classification of the Venue. SEF(US) for CFTC registered SEF, ETP(JP) for Japanese JFSA registered ETP, DCM(US) for CFTC registered DCM. |
*USD equivalents are converted from foreign currency to USD using the FX rates as of the beginning of the calendar month.