First all-RFR cross-currency swap traded

Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade


Goldman Sachs and Morgan Stanley are believed to have transacted the first cross-currency swap to use new risk-free rates for both legs of the trade – a fresh landmark in attempts to cast off the Libor family of reference rates.

The euro/dollar trade was reported to the Depository Trust & Clearing Corporation’s (DTCC) repository on November 21, but in slightly confusing fashion. Spokespeople for Goldman and Morgan Stanley each confirmed their bank had executed the swap on that date.

The two

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