CCP basis driving CME clients to LCH, traders say

LCH sees doubling in client notional, while CME notional halves

cme
CME Group: cleared swap volume drops 50%

Client-cleared notional at LCH.Clearnet has more than doubled since April – probably the result of the higher cost of pay-fixed US dollar interest rate swaps cleared at rival CME Group, traders say.

The price differential, which exploded to as much 2 basis points for a 10-year trade in the first weeks of May before settling down to around 1bp at the end of July, is said to have hurt liquidity in CME-cleared swaps and prompted some clients to switch venues, according to a rates trader at a bank

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here