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Featured Article

13 SEPT 2021

USD Swap Market: Evolution of CCP Basis and Invoice Swap Spread Trading Considerations

By CME Group

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.

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