Cross-currency swaps will use RFRs on both legs, says JPM exec
Despite slow start, all-RFR swaps will become the market standard within a year, according to Tom Prickett
Cross-currency swap markets have yet to embrace alternative risk-free rates (RFRs), such as the US secured overnight financing rate (SOFR), but these overnight benchmarks will become the standard on both legs of a trade by the end of next year, according to a senior JP Morgan rates trader.
Months after the first RFR-linked cross-currency swaps were stuck across various currency pairs, reported volumes remain sparse, with the majority of volume still transacted using Libor rates on both legs of
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 customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe
You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.
You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@fx-markets.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@fx-markets.com
More on Trading
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
Europe’s FXPBs take advantage of margin rule carve-out
Some large FX options users have switched to dealers capitalising on regulatory mismatch
FXSpotStream looks to growth products beyond spot
New chief exec Jeff Ward highlights NDFs and FX swaps as next boom area for the venue
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Emerging market liquidity faces capital charge crossroads
Hedge funds and market-makers need a more capital-efficient way to trade EM currencies, argues SGX exec
Banks and market-makers back BGC’s FMX
Group including BofA, Citi and Goldman buy 26% stake in spot FX, UST and futures trading business
BestX founder Jerome joins Deutsche Bank
Oliver Jerome joins the German bank as head of European FX product
Most read
- Are market-makers better at dealing with central bank intervention?
- Banks face tough choices over single-dealer platforms
- Asia FX Awards 2024: The winners