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  • BID/ASK (EOD)
EUR/USD 1.1759 / 1.1769 GBP/USD 1.3176 / 1.3178 NZD/USD 0.6956 / 0.6958 SEK/EUR 0.10384 / 0.10396 USD/AUD 1.2802 / 1.2804 USD/CHF 0.9844 / 0.9846 USD/CZK 21.777 / 21.808 USD/DKK 6.3238 / 6.3246 USD/GBP 0.7589 / 0.759 USD/HKD 7.8026 / 7.8031 USD/HUF 261.63 / 261.84 USD/JPY 113.4999 / 113.51 USD/MAD 9.3067 / 9.556 USD/MXN 19.0182 / 19.0202 USD/NOK 7.9952 / 7.9972 USD/NZD 1.4369 / 1.4374 USD/PLN 3.5981 / 3.6002 USD/RSD 100.8899 / 101.89 USD/RUB 57.512 / 57.604 USD/SEK 8.1735 / 8.1752 USD/SGD 1.3613 / 1.3616 USD/TRY 3.6732 / 3.678 USD/ZAR 13.6667 / 13.6768

Indicative Semi-Bond LCH/CME Basis

The Window to Clearing House Costs

This new service depicts the indicative price differential between the two largest clearing houses for Interest Rate Swaps, LCH & CME. It provides an indicator of the differing clearing price levels for the same semi bond Interest Rate Swap tenors.

Contact Us
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 Japan:  +81 (0)3 5549 8107
 Singapore:  +65 6922 1168
 Australia:  +61 2 9276 1908
 EMEA:  +44 (0)20 7200 7666

sales@icapinformation.com

The CME mids are indicative only, and reflect ICAP's judgement based on its consideration of trades and/or pricing activity at ICAP's SEF, as well as interpolation of such information to generate a reasonable curve.  

Demand for LCH-CME Basis Swaps has sharply increased as dealers seek to balance exposure between the clearing houses.

A recording of the Webinar - 'The Emergence of the LCH-CME Basis Swap' as well as a copy of the presentation deck is available here

Or click here for more information. 

Latest News
& Updates
ICAP Information & ICAP
  • 21 September 2017
    ICAP named Interest Rates Broker of the Year in 2017 GlobalCapital Derivatives Awards more
  • 26 May 2017
    ICAP named Interdealer Broker of the Year in the 2017 GlobalCapital Americas Derivatives Awards more