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LCH SwapAgent, a service for the non-cleared derivatives market, today announces that following the ‘RFR First’ initiative go-live date of Tuesday 21 September 2021, it has seen a marked uplift in the proportion of risk-free rates (RFRs) cross-currency trades processed by its service.
Comparing new trade activity in the six business day period from the ‘RFR First’ go-live on 21 September (21/09 – 28/09) with the preceding four weeks, SwapAgent saw a sharp increase in the proportion of RFR trades processed on its service. During this latest period, representing a combined $31bn of notional:
- 100% of USD/GBP cross-currency swaps were SONIA vs. SOFR trades (vs 32% prior to 21/9)
- 100% of USD/CHF cross-currency swaps were SARON vs. SOFR trades (vs 0% prior to 21/9)
- 25% of USD/EUR cross-currency swaps were EuroSTR vs. SOFR trades (vs 7% prior to 21/9)
Nathan Ondyak, Head of SwapAgent, LCH said:
“SwapAgent fully supports the RFR First initiative, and has worked with market participants and regulators to help the industry be ready for a LIBOR-free future in the bilateral OTC derivative market. We are very pleased that the switch to risk-free rates (RFRs) at SwapAgent went so smoothly and that our users could reap the benefits of SwapAgent for RFR vs. RFR cross currency swaps from day one. This validates SwapAgent’s market-led focus on the future of the cross-currency markets, and we are looking forward to continuing to support the industry in the changes ahead.”
