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Quantitative Finance · Glossaire

Qu'est-ce que « CCP basis » ?

Definition 10.5 Markets II: Rates, FX and Credit · Chapitre 10 — Swap Clearing and the Clearing-House Basis

The CCP basis is the difference between the par rates of economically identical swaps cleared at two different clearing houses.

The running spread that pays for one one-way margined position, by maturity and funding spread, in the stylised model. A dealer with one-way positions at two houses needs twice as much. The basis grows with maturity, because margin is held for longer, but less than in proportion, because the margin runs off with the swap and later years are discounted. Data: the chapter’s tutorial.
Figure 10.4. The running spread that pays for one one-way margined position, by maturity and funding spread, in the stylised model. A dealer with one-way positions at two houses needs twice as much. The basis grows with maturity, because margin is held for longer, but less than in proportion, because the margin runs off with the swap and later years are discounted. Data: the chapter’s tutorial.
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