World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
The World Bank has become the first borrower to hedge a bond issuance with an interest rate swap linked to the Secured Overnight Financing Rate (SOFR).
The international lender sold a $1 billion, two-year floating rate note (FRN) benchmarked to SOFR on August 14 and entered into a float-to-float trade to swap its SOFR exposure back to three-month Libor.
Andrea Dore, head of the capital markets team at the World Bank, says the organisation was able to hedge the issuance despite thin liquidity
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