LCH-CME basis swaps primed for sharp growth

SEF
By Beth Shah
26 Jun 2014

LCH-CME basis swaps, where one counterparty pays a fixed rate on a swap cleared on LCH.Clearnet’s SwapClear versus receiving a fixed rate on a swap cleared by CME Clearing, and vice versa, are to grow in frequency as dealers seek to balance exposure between one or more central counterparties, writes Beth Shah.

Over the last two weeks, two executed LCH-CME basis swaps reached a combined notional size of near-$20bn, and will represent the new market norm as dealers look to exchange CCP positions in a bid to net down their margin exposure.

Two trades executed over the last week were an ...

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