LCH-JSCC basis rockets for cleared yen swaps

Cost of receive-fixed swaps at JSCC jumps fivefold in a week

Twenty-year yen swaps gapped to 6.375bp at one stage

The relative cost of clearing yen interest rate swaps at the Japan Securities Clearing Corporation (JSCC) compared with LCH blew out significantly this week, with the price of a 10-year receive-fixed swap at the Japanese clearing house jumping nearly fivefold.

The blowout is thought to have been caused by an oversupply of receive-fixed swaps from Japanese banks at the JSCC, which has left clearing banks having to hedge at LCH, and requiring two initial margin funding requirements.

"Dealers are