LCH SwapAgent processes its first SARON/SOFR cross-currency basis swap
- Citi and Societe Generale acted as counterparties to the swap
- LCH SwapAgent has processed trades in alternative reference rates across CHF, EUR, GBP, JPY and USD
- Underlines LCH Group’s efforts supporting reference rate reform
LCH SwapAgent, a service for the non-cleared derivatives market, today announced that it has registered its first SARON/SOFR cross-currency basis swap. The CHF/USD basis swap was executed between Citi and Societe Generale, brokered by Gottex.
LCH SwapAgent has now processed trades in alternative reference rates in the five currencies that LIBOR is calculated in (CHF, EUR, GBP, JPY and USD). This milestone comes ahead of LIBOR’s cessation on 31 December 2021 for CHF, EUR, GBP and JPY, and 30 June 2023 for USD.
Nathan Ondyak, Global Head of LCH SwapAgent, said: “LCH SwapAgent is committed to partnering with the non-cleared derivatives market to drive a coordinated transition to risk free rates. The completion of this swap is a significant milestone in that transition. We continue to see volumes build at SwapAgent, as our members continue to benefit from the standardisation and efficiencies the service offers.”
Phil Stott, Cross Currency Trading, Citi, said: “As an active participant in the rates market, it is encouraging for us to see liquidity develop in these alternative reference rates. We are delighted to have participated in this trade which is an important first for the non cleared market.”
Pierre-Jean Benazech, Head of G10 Cross-Currency and FX Swaps, Societe Generale, said: “The transition to risk free rates is a truly global effort. Participating in this trade is important to us, as it demonstrates our continued support of reference rate reform across the world.”
Tim Nicholson, Managing Director, Gottex Brokers, said: “As LIBOR’s cessation approaches, demand for services to support the transition is increasing and we are delighted to have brokered this trade. We’re pleased to be able to offer SwapAgent’s standardised service to our customers, to assist this process.”
For further information
Christopher Loscher / Rhiannon Davies
Tel: +44 (0)20 7797 1222
LCH is a group of leading multi-asset clearing houses that provides proven risk management capabilities across a range of asset classes. As demand for robust clearing services continues to grow, LCH is committed to maintaining the highest standards of risk management across all our services.
As the markets’ partner, LCH operates an open access model, offering a choice of execution venues, delivering unprecedented choice and efficiencies to the marketplace.
LCH operates clearing houses around the world, with clearing houses incorporated in the UK and France and with offices in the United States and the Asia Pacific region. It offers clearing services across asset classes including OTC and listed rates; CDS and FX; fixed income; commodities; cash equities and equity derivatives. LCH also serves the non-cleared derivatives market through LCH SwapAgent, a service which extends the efficiencies and infrastructure of clearing to the market, without acting as a central counterparty.
LCH is majority owned by London Stock Exchange Group (LSEG.L).
Further information on LCH can be found at www.lch.com