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

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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

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