Euro inflation CCP basis expected as Eurex taps buy side

First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds

A new, and potentially sizeable, basis is set to emerge between euro inflation swaps cleared at two rival central counterparties, market participants say.

Eurex’s first buy-side trade referencing the eurozone’s inflation index cleared earlier this month at levels flat to incumbent LCH. Yet dealers expect a basis to appear between swaps at the respective clearing houses as traders lay down Brexit contingency plans and push more of their trades to the Frankfurt central counterparty (CCP).

Eurex