CCP Basis – The Cost of Clearing Fragmentation
Staff Working Paper No. 800 from the Bank of England was published in May 2019. Titled “The Cost of Clearing Fragmentation”, the paper lays out a quantitative process to model the level of CCP basis....
View ArticleCME-LCH Basis narrows to four year low
Our recent blog, CCP Basis – The Cost of Clearing Fragmentation, proved very popular and while this was published on July 30, 2019, it was actually written a few weeks earlier. As is often the case...
View ArticleCME-LCH Basis Spreads Turn Negative
We last looked at CME-LCH Basis in August 2019 in CME-LCH Basis Narrows to Four Year Low and as there has been significant volatility in the last few months, high time we looked at this again....
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...
View ArticleCCP Basis – The Cost of Clearing Fragmentation
Staff Working Paper No. 800 from the Bank of England was published in May 2019. Titled “The Cost of Clearing Fragmentation”, the paper lays out a quantitative process to model the level of CCP basis....
View ArticleCME-LCH Basis narrows to four year low
Our recent blog, CCP Basis – The Cost of Clearing Fragmentation, proved very popular and while this was published on July 30, 2019, it was actually written a few weeks earlier. As is often the case...
View ArticleCME-LCH Basis Spreads Turn Negative
We last looked at CME-LCH Basis in August 2019 in CME-LCH Basis Narrows to Four Year Low and as there has been significant volatility in the last few months, high time we looked at this again....
View Article