LIBOR transition—legacy loan and swap RFR conventions comparison table

The following Banking & Finance practice note provides comprehensive and up to date legal information covering:

  • LIBOR transition—legacy loan and swap RFR conventions comparison table
  • Loan and swap RFR conventions for legacy transactions—comparison table

LIBOR transition—legacy loan and swap RFR conventions comparison table

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)
SONIA
Working 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 Fallbacks
IBOR Fallback Rate Adjustments Rule Book
Interest methodologyCompound in arrears
While 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 choice is left to individual market participants. To the extent compounding the rate is selected, the method for calculating the cumulative compounded rate should be based on ISDA's formula for Compound RFR.
Given the need for the calculation of daily interest accruals to support distribution of interest impacted by intra-period activity such as prepayments and secondary trading, daily non-cumulative compounded rate (NCCR) derived from the cumulative compounded rate may be an

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