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

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