2021, New York

LCH SwapAgent processes its first SONIA/SOFR cross-currency basis swap

September 28, 2020

LCH SwapAgent processes its first SONIA/SOFR cross-currency basis swap
  • Highlights LCH SwapAgent’s commitment to supporting industry efforts to reform reference rates
  • Bank of America and Lloyds Bank Corporate Markets acted as counterparties to the swap
  • LCH SwapAgent offers standardised infrastructure and efficiencies to the non-cleared derivatives market

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

Nathan Ondyak, Global Head of LCH SwapAgent, said: “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. 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 said: “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.”

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.

Launched in 2017, LCH SwapAgent aims to provide processing, margining and settlement capabilities to the non-cleared derivatives space. With a particular focus on cross-currency basis swaps, it has seen continued growth in volumes for its offering, with US$1.12 trillion registered during H1 2020. SwapAgent now has 18 members using the service.


About LCH
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 new 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 (LSE.L), an international markets infrastructure business that sits at the heart of the world's financial community.
Further information on LCH can be found at www.lch.com 

Source: LCH