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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