Taper talk drives wild swings in JSCC-LCH basis

Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week

The Bank of Japan triggered speculation that it would start winding back its monetary stimulus programme

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

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here