Swaps users have got used to the idea of a price difference arising from their choice of clearing house. But what about a clearing house basis for non-cleared derivatives?
This is the situation facing the yen swaptions market, where for the first time a basis has opened up on these non-cleared products depending on where the resulting interest rate swap will be cleared. Some dealers now talk about being long or short volatility at the two competing central counterparties (CCPs), Japan
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