LCH Processes First Sonia/SOFR Cross Currency Basis Swap

LCH SwapAgent, a service for non-cleared cross currency swap markets, says it has registered its first Sonia/SOFR cross-currency basis swap. The GBP/USD basis swap was executed between LCH SwapAgent members Bank of America and Lloyds Bank Corporate Markets.

The trade was completed ahead of the upcoming discounting and price alignment interest transition to USD SOFR at LCH SwapAgent, scheduled for 16 October 2020.

“This latest milestone for LCH SwapAgent demonstrates the service’s capability to facilitate a coordinated transition to risk free rates for non-cleared OTC derivatives,” says Nathan Ondyak, global head of LCH SwapAgent. “This neatly complements our existing offering which is delivering operational and funding efficiencies to a growing community of members.”

Richard Pattison, head of CCY and CSA, Lloyds Bank Corporate Markets, adds, “As a major participant in the sterling rates market, it is important for us to see liquidity develop in the new risk free benchmark rates. We are happy to contribute to that developing liquidity and welcome the efficiencies SwapAgent brings to the uncleared OTC derivatives market.”

Colin Lambert

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