In the space of five trading days at the start of May, swaps users were catapulted into a messier, more complicated market. For the first time, dealers were quoting prices for US dollar interest rate swaps that depended on the clearing house a client wanted to use – CME Group or LCH.Clearnet – and everyone was scrambling to keep up.
Dealers that had previously been quoting the same price across the two venues were suddenly staring at losses that might have amounted to as much as $20 million per
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