Clarus Financial Technology provides content, data and analytics for the derivatives.
Amir Khwaja, Chief Executive of Clarus Financial Technology, said: “The best way to improve data quality in Europe is to maximise the number of people using the data.” Clarus showed the difference in quality between the public data available in the US and Europe. ESMA currently only requires trade repositories to publish weekly reports showing aggregated data. Khwaja said: “The scope and frequency of data available publicly in Europe means it has little value in terms of analysis. It would be very straightforward for trade repositories to offer more frequent disclosure as most already provide this in the US.”
Clarus analysed the reports that are publicly available from the European trade repositories and found they only provide high-level aggregated totals that are not broken down into actionable data and they do not compare similar products – for example, OTC and exchanged-traded derivatives are added together. In addition, users cannot aggregate data across trade due to the the possible double counting of the same positions. “Using data published daily by swap data repositories for the US market, we can currently provide a host of price data for US and European-focused asset classes,” added Clarus. “Trades are publicly disseminated within a few minutes of execution, allowing their price and size to be observed.”
For example, in the US Clarus can use trade prices and sizes to build a chart showing price and volume by maturity for US dollar interest rate swaps. “This data is used by traders, investors, business managers and analysts to inspect, understand and demystify formerly opaque OTC markets,” added Clarus. “It is used to check that liquidity providers are providing at-market quotations, and that valuations and collateral calls on existing OTC contracts are accurate and fair.” In addition, using US data Clarus can show 2015 volumes per interest rate product for a number of major European currencies, which is not currently possible in Europe.
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