Broker quoting gap keeps Eurex-LCH basis alive
Lack of differentiated prices helps retain CCP basis
The pricing difference between euro interest rate swaps cleared at Eurex and LCH could be shrunk if interdealer brokers routinely quoted the German clearing house’s prices separately, according to some market participants.
Active hedge fund trading has compressed the basis to near zero at the short end, where two-way flows are sufficient to balance payer and receiver positions. But the
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