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Overview
Clarus Financial Technology. Unlock your enterprise and begin the journey. MORE >> What We Do Analytics Fast modern analytics for Margin calculation, Scenario analysis, Hedging. Pre-trade and Post-trade. Access via easy-to-integrate APIs or consume via easy-to-use GUIs.
News
ISDA SIMM v25a the first off-cycle release
Version 2.5a ISDA has publishedISDA SIMM v2.5awith a re-calibration of interest rate risk weights only. This is an off-cycle release, due to the higher interest rates volatility observed in 4Q 2022, compared to that in 2019-2021 and the stress period of S
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What's New in Term SOFR?
In April, Amir gave a timely update on Term SOFR. In case you missed it: And the calls from the industry to make Term SOFR a more widely traded derivative have only become louder since, with the latest Risk.net article particularly worth a read: It's a gr
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Most Active Names in Credit and Equity Derivatives - Oct22
Earlier this summer we looked at the SEC Securities Based SDRs (SBSDRs) for the Most Active Equity Total Return Swaps and Most Active CDS Single-names. Today I will use SBSDRView to look at which names have been most active in October 2022. CDS on Soverei
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How Kwasi Kwarteng Has Increased Your Initial Margin
Initial Margin for GBP swaps has increased by up to 65% due to the mini-budget. 5 of the 6 largest ever moves in GBP rates have occurred during September 2022, since the mini-budget. We look at Initial Margin models and how IM has changed over time. It is
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CDS Volumes now $6.6Trn higher than last year
Credit Derivative volumes have been huge in 2022. YTD volume data shows that 2022 will likely see all-time record volumes. Volumes are already $6.6Trn larger than at the same point in 2021. We analyse the Cleared market in Index and Single Name CDS. SBSDR
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