Identifying 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 transacted at the same time but at different prices – which are not CCP Basis trades. This suggests that price discovery […]
CCP 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 manifest between non-USD currencies and between other Clearing Houses. This article will look at both of these questions. Indicative CCP Basis Quotes Lets start with a […]
CME-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. Starting with a screenshot of Tradition’s pricing page on BBG from Nov 17th. Wow! 30Y is showing 3.7 bps! An […]
CME-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 CME-LCH Basis. So time to see what has been happening. Daily Price History Lets start with a time […]
Why 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 which SEFs are seeing these flows The implied forward rates in the basis Downstream impacts to the CME convexity trade. Many newcomers […]
CME-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 SEF volumes to see what the data shows for CME-LCH Switch trades. First a note to make […]
CME-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 funding costs are applied and then find evidence in the SDR data of convexity plays being put on with CME cleared […]
Pricing 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 factors not limited to how they are currently positioned. I thought it worthy to explore what these […]
LCH 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 weekly volumes of gross notional for just USD IRS for the past 6 weeks and compare CME IRS Volumes with LCH […]
CME-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 the past week. We suggest some thoughts as to how this may play out for other Currencies and other […]