LCH SwapAgent registers its first SARON/SOFR cross-currency basis swap

LCH SwapAgent, a service for the non-cleared derivatives market, 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.”

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