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 basi

To continue reading...

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 indvidual account here: