First USD/CNY cross-currency swap using SOFR trades

Crédit Agricole and Bank of China’s $10m trade marks a new milestone for risk-free rate


Crédit Agricole and Bank of China have transacted the first onshore Chinese renminbi versus US dollar cross-currency swap using the secured overnight financing rate (SOFR), breaking new ground in the acceptance of alternative reference rates in Asia.

The $10 million, one-year swap, struck on April 21, sees Bank of China receive compounded SOFR on the floating USD leg and pay a fixed rate of 0.48% on the CNY leg.

The trade was confirmed on the China Foreign Exchange Trade System platform.


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