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
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
7 days in 60 seconds
AI in practice, EU clearing and post-Libor hedging
The week on Risk.net, February 8–14, 2020
Receive this by email