The basis between fixed rates available on yen interest rate swaps at LCH relative to the Japan Securities Clearing Corporation (JSCC) was hit by an unprecedented bout of volatility last week amid talk of a potential change to Japanese monetary policy. At one point, the rate for a 20-year pay-fixed swap was nearly 16 basis points higher at LCH than at the Japanese clearer, before falling 30% the following day.
“It almost tripled the all-time high from before, and then collapsed 4bp in less than
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