Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
The price gap between euro interest rate swaps cleared in London and Frankfurt hit new highs in recent weeks, suggesting a growing imbalance in flows amid soaring interest rate volatility and uncertainty over how much activity will be transferred to Eurex Clearing under recent proposals from the European Commission.
The basis between 10-year euro swaps cleared through London’s LCH SwapClear and identical instruments cleared at Eurex exceeded 4 basis points earlier this month, while the
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