LCH announced that it is now clearing Swiss Franc (CHF) interest rate swaps referencing SARON, the Swiss average overnight rate. The move comes ahead of the migration of CHF reference interest rates from TOIS to SARON, scheduled for 29 December 2017. Basler Kantonalbank, Credit Suisse and Zürcher
Kantonalbank were among the first market participants to begin clearing using the rate.
SARON is the new rate to be used for CHF overnight indexed swaps (OIS) and has recently been recommended as the alternative to Swiss Franc LIBOR and TOIS. LCH has cleared approximately CHF 30 trillion in Swiss Franc-denominated interest rate derivatives since SwapClear started clearing the currency in June 2002.