USD Swap Market: Evolution of CCP Basis and Invoice Swap Spread Trading Considerations
The primary objective of this paper is to review the following key developments in the USD swap
clearing market:
- Discuss the origin and evolution of the USD central clearing counterparty (CCP) basis market.
- Analyze the volatility of the CCP basis as compared to outright swaps and invoice swap spreads.
- Demonstrate advantages of clearing invoice swap spreads at CME Group using portfolio margining compared to the cost of clearing swaps and futures on a standalone basis.