Cross-currency swaps headache looms in Ibor transition

By Ross Lancaster
27 Feb 2020

As clear daylight emerges between jurisdictions making their transitions away from Ibor benchmarks, the cross-currency basis swap market could become a headache.

Although all Ibor-linked markets are working to the same 2021 deadline for moving off the reference rate, some are making quicker progress than others. 

The UK is ahead of the US and Europe, with liquidity much deeper in Sonia, its chosen replacement rate, than the US Sofr or European ...

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