Broker hid yen swaptions basis after trader backlash

Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books

Yen swaptions are thought to be the first to show a CCP basis

Following pressure from dealers, Japanese broker Totan took down screens showing a split in the pricing of yen swaptions last month, can reveal. The protests may have been an attempt by traders to avoid losses that would result if they revalued their books using the new prices.

Prior to Totan’s screens appearing on March 7, the swaptions basis – driven by the choice of clearing house for the underlying swap – had only been quoted over the phone. Some banks claim to have adjusted their

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