LCH-JSCC basis rockets for cleared yen swaps
Cost of receive-fixed swaps at JSCC jumps fivefold in a week
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
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