BGC’s Eurex swap curve: basis killer?

Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say

Euro swaps basis montage

Interdealer broker BGC has begun publishing a pricing curve for euro swaps cleared at Eurex, part of an effort to end a practice that sees many fixed income dealers quote Frankfurt-bound instruments as a spread over swaps cleared at London rival LCH.

The broker hopes the move will bolster transparency for Eurex execution, and ultimately help eradicate a stubborn price gap between the two sets of contracts.

“If the curve takes off, it could make an active basis with LCH trade around flat, in

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