Further stress emerged in the long-term US interest rate derivative market on Monday, with the latest episode of pain coming from impaired exotic trades based on the Japanese yen.

The 30-year swap spread traded around minus 20 basis points, the most extreme level yet seen since the market became dislocated in the wake of Lehman Brothers' collapse in September. The swap spread should normally trade in positive territory as it reflects the risk premium of trading with a private counterparty above a US Treasury yield.