CME-LCH basis collapses amid rates downturn

Brexit and recent LCH initial margin raise could also be factors

cme

The recent US interest rate cut is said to be behind a dramatic collapse of the basis between interest rate swap rates at two rival clearing houses in the past month. The rate is hovering near zero, and even briefly went negative, following a surge of receive-fixed swap trading at CME from the buy side.

Traditionally, it has been more expensive for interest rate swap users to enter into pay-fixed positions at the CME compared to LCH. At the start of the year, the difference in fixed rates on a

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