Euro/dollar crosses embrace RFRs, while other currencies lag

€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates

euro-cross-currency-swaps-adopt-ESTR montage

The cross-currency swap market is rapidly ditching legacy interest rate benchmarks in favour of overnight risk-free rates (RFRs), with some currencies making the switch even when there is no regulatory obligation to do so.

Since the start of the year, interdealer trades in euro/dollar cross-currency swaps have almost exclusively referenced the secured overnight financing rate (SOFR) and the euro short-term rate (€STR). While there is a regulatory ban on new US dollar Libor issuance, the market

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here