Market dispels fears over USD Libor cross-currency swap shift

Traders confident market convention will shift to RFRs on both legs of deals

USD-cross-currency-rate

Market participants have dismissed concerns about the impact of US dollar Libor’s extended life on the cross-currency swap market – and say it could spur a move to use risk-free rates on both legs of a transaction.

“Cross-currency has been seen as a big problem for a long time. But when you speak to cross-currency traders, they say it’s just an extra basis to trade,” says Phil Lloyd, head of market structure and regulatory customer engagement at NatWest Markets.

The broader industry concerns

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