Cross-currency swaps set to ditch Libor in ‘RFR first’ drive

A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs

Cross-currency-swaps montage

The cross-currency swap market will make a co-ordinated leap to risk-free rates (RFRs) on September 21, when dealers will stop using Libor in trades between four outgoing currency settings – US dollar, sterling, Swiss franc and Japanese yen.

The ‘RFR first’ initiative, which follows in the footsteps of the ‘Sonia first’ and ‘SOFR first’ drives in the UK and US, could quickly flip affected pairs in the predominantly Libor-based cross-currency swap market to successors such as the secured

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