I'm trying to use publicly-available OIS/IRS clearing data from CME (ftp://ftp.cmegroup.com/../../irs/) and LCH (http://www.lch.com/en/asset-classes/otc-interest-rate-derivatives/volumes/settlement-prices-swapclear-global#usd) to bootstrap discount and LIBOR curves. The data between the two (for 9/27/17) only seems to line up for a few of quotes; otherwise CME seems to be way off.

CURVE_NAME                      TENOR       CME         LCH     
USD-LIBOR-BBA 1M                2 Years     0.085503    1.62863
USD-LIBOR-BBA 1M                3 Years     0.087091    1.7314
USD-LIBOR-BBA 1M                5 Years     0.086834    1.88156
USD-LIBOR-BBA 1M                10 Years    0.076219    2.16906
USD-LIBOR-BBA 1M                30 Years    0.083729    2.42323
*USD-LIBOR-BBA 3M               2 Years     1.735708    1.71488*
*USD-LIBOR-BBA 3M               3 Years     1.841474    1.8189*
*USD-LIBOR-BBA 3M               5 Years     2.001625    1.96906*
*USD-LIBOR-BBA 3M               10 Years    2.292491    2.24531*
*USD-LIBOR-BBA 3M               30 Years    2.566058    2.50698*
USD-LIBOR-BBA 6M                2 Years     0.095259    1.81238
USD-LIBOR-BBA 6M                3 Years     0.105594    1.9214
USD-LIBOR-BBA 6M                5 Years     0.113404    2.07906
USD-LIBOR-BBA 6M                10 Years    0.127893    2.37479
USD-LIBOR-BBA 6M                30 Years    0.136217    2.64458
*USD LIBOR-OIS DISCOUNT CURVE   2 Years     1.507455    1.50574*
USD LIBOR-OIS DISCOUNT CURVE    3 Years     0.225845    1.5926
USD LIBOR-OIS DISCOUNT CURVE    5 Years     0.251034    1.71656
USD LIBOR-OIS DISCOUNT CURVE    10 Years    0.296045    1.94901
USD LIBOR-OIS DISCOUNT CURVE    30 Years    0.351283    2.15568

How should I interpret this disconnect for the purposes of bootstrapping curves?


The section that refers to USD-LIBOR-BBA 3M looks correct. This shows that CME IRS are marginally higher than LCH IRS. This means that when you bootstrap the curve, the corresponding forward rates will be higher also.

The sections USD-LIBOR-BBA 1M and USD-LIBOR-BBA 6M appear to show the level of 3M-1M and 6M-1M basis swaps respectively. These may help in bootstrapping the forwards for 1M libor and 6M libor. The section USD-LIBOR-OIS appears to show the fed funds -3M libor basis swap , which you also need when bootstrapping, since the fed funds rates are needed to present value the cash flows.

  • $\begingroup$ That all makes sense. The only outlier is 2Y OIS, which seams to be the OIS, not a basis swap. $\endgroup$
    – MikeRand
    Sep 29 '17 at 11:54

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