Citi and Societe Generale execute first SARON/SOFR swap with LCH SwapAgent

The SARON/SOFR cross-currency basis swap between the two banks took place at LCH SwapAgent and was brokered by Gottex.

Investment banks Citi and Societe Generale have become the first participants to execute a SARON/SOFR cross-currency basis swap with clearinghouse LCH’s SwapAgent.

The cross-currency basis swap trade took place in CHF/USD and was brokered by Gottex on LCH SwapAgent. The first-time trade comes as markets globally approach deadlines set by regulators to cease their use of the Libor benchmark.

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. 

“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,” said Phil Scott, cross currency trading at Citi.

In the UK, the Financial Conduct Authority announced in March earlier this year that the cessation date would be 31 December later this year. However, a report by SDL in March found that the global Covid-19 pandemic had delayed the transition for over half of sell-side firms.

“LCH SwapAgent is committed to partnering with the non-cleared derivatives market to drive a coordinated transition to risk free rates,” added Nathan Ondyak, global head of LCH SwapAgent. 

“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.”