LCH-CME Switch Trades and Margin Management
Recently we have started to see stories on large LCH-CME Switch trades (aka Basis Swaps) starting to be traded. See LCH-CME Basis Swaps primed for Growth (trial required) and Trad-X volumes hit record...
View ArticleCME-LCH Basis Spread
Recently I noticed that the view statistics for my June 2014 blog on LCH-CME Switch Trades were running at 5 times their weekly average, which I thought was odd. Then on 15-May, I read the Risk...
View ArticleHedging the CME-LCH Basis
Following on from my article on the CME-LCH Basis Spread, I will now look into the details of hedging this basis with CCP Switch trades. Example Portfolio Lets start by constructing an example...
View ArticleCME-LCH Basis – What does the Term Structure tell us?
We analyse the CME-LCH Basis volumes by tenor and look at what the forward curve implies for prices in the future. There are no signs of normalisation trades in the market, with the basis widening over...
View ArticleLCH Makes Gains vs CME in USD IRS (8-12 Jun 2015)
Following my blog on CME and LCH: What Happened on May 19 and Jun 12, I wanted to re-visit the data now that we have another week of published volumes. Weekly Volumes Using CCPView lets look at...
View ArticlePricing and Arbitraging the CME/LCH Basis
I’ve been pondering the appropriate spread between LCH and CME. It would seem to me that every firm should have their own true cost of putting on a swap at CME or LCH, based upon a multitude of...
View ArticleCME-LCH Basis: Convexity in Eurodollar Futures
Tod wrote about monetizing the CME-LCH basis last week by means of a straight 5 year swap. But is there a simpler way to go about it? We explain convexity trades, look at different pay-offs when...
View ArticleCME-LCH Basis Swaps Volumes Update
Eight weeks and six follow-on blogs later, my CME-LCH Basis Spreads blog continues to be one of our most popular blogs with a high number of daily views. So I thought it was high time I revisited the...
View ArticleWhy Are Bond Issuers Not Taking Advantage of Price Differentials?
Over the past couple months we’ve been documenting the CME-LCH basis trade including: How it’s come about Looked at clearing data for evidence of any movements between venues Looked at SEF data for...
View ArticleCME-LCH Basis Widens Again
The last article in our CME-LCH Basis category is dated July 15, 2015 and while our regular Swaps Review does cover CCP Basis Swap Volumes, it is now nearly 3 months since we looked specifically at the...
View ArticleCME-LCH Basis Spreads Blow Out
Following on from my Nov 3rd blog on CME-LCH Basis Widens Again, I thought I would look to see if anything interesting has happened since. Well it most definitely has, so lets take a look at the data....
View ArticleCCP Basis Spreads: What Next?
Given the recent activity in CME-LCH Basis Spreads (see November review or Spreads Blow Out), we often get asked what further developments we see happening and specifically whether a basis will...
View ArticleIdentifying CCP Basis Trades in the SDR
We run a programme to identify CCP basis trades in SDRView We successfully identify the trades reported by SEFs every day within the SDR data We also find a surprisingly high number of trades...
View ArticleHow to identify the CCP of trades from the SDR data
We use Linear Regression on price time-series to identify discontinuities in price These discontinuities represent jumps in price We use these jumps to identify which USD IRS trades are cleared at CME...
View ArticleCME Compression and CCP Basis
The CME Compression run in March coincided with a peak in daily volumes for 30 year USD Swaps. Amongst falling Average Daily Volumes in USD Swaps over March as a whole, this extra 30 year activity was...
View ArticleLCH-JSCC Basis in JPY Swaps
Last week a number of our readers alerted us to the sudden formation of a Basis in Yen Swaps between LCH and JSCC, which is interesting to say the least. So lets look at what the data shows. Indicative...
View ArticleLCH-JSCC Basis: An Update
My blog last week on LCH-JSCC Basis in JPY Swaps has been massively popular and now that we have another week’s data under our belt, it is worth an update. Indicative CCP Basis Quotes Let start with...
View ArticleLCH-Eurex Basis in EUR IR Swaps
In my Dec 2015 blog, CCP Basis Spreads:What Next, I opined that we would see CCP Basis Spreads becoming significant in non-USD Interest Rate Swaps and I subsequently covered the LCH-JSCC Basis in JPY...
View ArticleCME-LCH Basis For Dummies
We occasionally still get asked about the price differential between CME and LCH swaps. I typically refer folks to our online articles that have explained the phenomenon. Since 2014, we have written...
View ArticleCCP Basis and Volume in Major Currencies
Almost a year has passed since we last looked in detail at CCP Basis, which just goes to show how normal and accepted this has become in the market. Since the shock emergence of the CME-LCH Basis...
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