Cross currency trades
Goldman Sachs and Morgan Stanley are believed to have transacted the first cross-currency swap to use new risk-free rates for both legs of the trade – a fresh landmark in attempts to cast off the Libor family of reference rates. Of course, the RFR-linked cross-currency swap market is still in its early days. In comparison, November cross-currency basis swap trades reported to the DTCC, where both legs are linked to Libor for the dollar-sterling and dollar-euro pairings, totalled $74 billion and $93 billion in notional value, respectively.