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First Ibor versus SOFR cross-currency swap trades

Westpac and Citi strike BBSW/SOFR trade in landmark moment for Australian market

Aus US trade

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

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