Vol virus: how a CCP basis leapt from swaps to swaptions

A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product

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