LCH-Eurex basis falls 80% as insurers head to Frankfurt

Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months

frankfurt-sunset

The price difference between euro interest rate swaps cleared in London and Frankfurt has been slashed as derivatives end-users take advantage of better rates for receive-fixed swaps at Eurex Clearing and lay contingency plans for a disorderly Brexit.

The basis between 10-year euro swaps cleared through London’s LCH SwapClear and the same instruments cleared at Frankfurt’s Eurex Clearing had collapsed to 0.25 basis points on August 3 from 1.35bp on May 21, according to Icap pricing. A wide

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