LCH-JSCC basis rockets for cleared yen swaps

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

Lukas Becker
Tom Osborn
15 Apr 2016

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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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