CCP basis driving CME clients to LCH, traders say
LCH sees doubling in client notional, while CME notional halves
Client-cleared notional at LCH.Clearnet has more than doubled since April – probably the result of the higher cost of pay-fixed US dollar interest rate swaps cleared at rival CME Group, traders say.
The price differential, which exploded to as much 2 basis points for a 10-year trade in the first weeks of May before settling down to around 1bp at the end of July, is said to have hurt liquidity in CME-cleared swaps and prompted some clients to switch venues, according to a rates trader at a bank
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