LIBOR transition—legacy loan and swap RFR conventions comparison table [Archived]

Copyright © 2025 LexisNexis
Published by a LexisNexis Banking & Finance expert
Practice notes

LIBOR transition—legacy loan and swap RFR conventions comparison table [Archived]

Copyright © 2025 LexisNexis

Published by a LexisNexis Banking & Finance expert

Practice notes
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ARCHIVED: This Practice Note has been archived and is not maintained.

This Practice Note compares the conventions used in the loan and swap markets for sterling, US dollar, Euro and Swiss franc interest rate benchmarks referencing Risk-free rates (RFRs) and is intended to help Hedging lawyers identify potential mismatches and sources of basis risk.

Loan and swap RFR conventions for Legacy transactions—comparison table

Currency and RFRConventions recommended for existing loan facilities and sourcesConventions used in applicable ISDA Fallback Rate and sourcesAdditional information
Pounds sterling (GBP)SONIAWorking Group on Sterling Risk-Free Rates (RFRWG)Working Group on Sterling Risk-Free Rates Detailed Loans Conventions (updated March 2021)Best Practice Guide for GBP Loans (updated March 2021)Fallback Rate (SONIA)Fact Sheet IBOR FallbacksIBOR Fallback Rate Adjustments Rule BookRFR Conventions and IBOR Fallbacks—Product Table
Interest methodologyCompound in arrearsWhile the market has shown a preference for compounding the rate rather than compounding the balance, several methods exist to calculate SONIA compounded in arrears and implementation
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Jurisdiction(s):
United Kingdom
Key definition:
LIBOR definition
What does LIBOR mean?

The London Interbank Offered Rate (LIBOR) is the daily reference rate based on the interest rates at which banks borrow unsecured funds from other banks in the London wholesale money market (or interbank lending market).

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