Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Brexit uncertainty and falling European swap rates helped push the LCH-Eurex basis into negative territory in June as more investors – especially pension funds – sought to receive fixed rates at Eurex, causing unbalanced flows.
Although the basis between the UK and European clearing houses for 10-year euro interest rate swaps has been narrowing, it remained positive moving into 2019 – sitting at around +0.7 basis points on January 2. In June, it dipped below zero for the first time, before
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