CCP basis market takes off – but will buy-side join in?

Over the past three months, it has been more expensive to trade a pay-fixed US dollar swap that will clear at CME than at rival LCH.Clearnet, resulting in a surge in volumes and volatility for so-called basis trades. Now, banks are trying to get buy-side firms involved

risk-0815-lead-story-illo-coady-app
Breaking the template: CME's move to use its own swap curve was estimated to have cost dealers at least $20m each

In the space of five trading days at the start of May, swaps users were catapulted into a messier, more complicated market. For the first time, dealers were quoting prices for US dollar interest rate swaps that depended on the clearing house a client wanted to use – CME Group or LCH.Clearnet – and everyone was scrambling to keep up.

Dealers that had previously been quoting the same price across the two venues were suddenly staring at losses that might have amounted to as much as $20 million per

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here