LCH SwapAgent Completes First SARON/SOFR Cross-Currency Basis Swap

LCH, a group of leading multi-asset clearing houses, announced that LCH SwapAgent has processed its first SARON/SOFR cross-currency basis swap. The cross-currency basis swap trade took place in CHF/USD and was executed between Citi and Societe Generale, brokered by Gottex.

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SwapAgent is LCH's non-cleared derivatives service that has now processed trades in alternative reference rates in five currencies that Libor is calculated in, including CHF, EUR, GBP, JPY, and USD.

The service has been catering to the Libor transition over the last year after processing the first SONIA/SOFR cross currency basis swap between Bank of America and Lloyds Bank Corporate Markets in September.

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, commented: “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.”

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 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.