18 October 2017
Zurich
Reporter: Jenna Lomax

LCH migrates to new Swiss reference rate


LCH is now clearing Swiss franc interest rate swaps with Saron, a new rate that is being used instead of Swiss franc Libor and Tois.

Basler Kantonalbank, Credit Suisse and Zürcher Kantonalbank are due to be among the first financial services to clear using the new rate from December.

The announcement of the change comes a month after LCH released SwapAgent a new version of client account within its SwapClear service.

To date, SwapClear, LCH's global clearing house, has cleared 30 trillion (USD 30.5 trillion) in Swiss franc-denominated interest rate derivatives since the service’s inception in 2002.

Michael Davie, global head of rates at LCH, said: “LCH is delighted to have worked closely with our members, their clients and the regulators to effect a smooth and timely transition from Tois to Saron.”

“As well as clearing over-the-counter derivatives referencing saron, LCH has adopted this new preferred rate for cash flow discounting and investment benchmarking. It’s testament to the support of our clearing community that this has been such a smooth, effective and comprehensive transition.”

Felix Roudier, head of short-term interest rate trading at Credit Suisse, commented: “The migration from Tois to Saron is a significant step for the Swiss and international market as such we are pleased to be among the first participants to be actively clearing swaps referencing Saron at LCH.”

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