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Is this the new point of stress in the global financial system?

The 30-year, yen basis swap, after rising gradually away from zero since the beginning of the year, has suddenly spiked - and it seems likely that macro funds will be hurting.

A basis swap transposes the floating rate in one currency for the floating rate in the other, such as yen libor for dollar libor. So a fund invested in Japanese government bonds might opt to swap the fixed JGB rate for a floating yen rate, before swapping that again to the dollar rate. In this instance, the investor would usually received libor minus the swap spread.

Such a deal is sometimes described as getting the same credit in another currency. But within the trade there remains an element of counterparty risk.

The last time the swap moved in this fashion was back in the 1990s, when concerns about the Japanese banks prompted the so-called “Japan premium.”

Now the situation appears reversed. Counterparty concerns about the US banks may have prompted funds to start unwinding their trades. Now it’s starting to look like a stampede to get out, with no bid on the swap.

What potential for damage does the emergence of an “America premium” have? Significant we’re told.

According to those with skin in this particular financial game, the recent dramatic move suggests significant potential losses. Anecdotally, one fund is said to have kissed goodbye to about a year’s profit getting out of this trade.

And as the macro funds get squeezed, their banks will start upping margin requirements. That we’re already familiar with.