First Ibor versus SOFR cross-currency swap trades

Ben St. Clair
20 Dec 2019

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Westpac and Citi have struck what is believed to be the first cross-currency swap referencing an unsecured Ibor and the US secured overnight financing rate, in a trade that also breaks ground in an important market for Australian financial institutions.

The $325 million one-year swap was struck on December 10 New York time and references SOFR on the US dollar leg and Australia’s bank bill swap rate, or BBSW, on the Australian dollar leg. The transaction was designed to swap a SOFR note issuance

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