More SOFR products

A floating rate note and a futures, this is what this week brings us on the SOFR front.

Fannie Mae has launched SOFR-indexed notes. The issuance is described in a Risk article: Investors cheer debut Fannie SOFR note launch. Three notes with maturities of 6, 12 and 18 months are issues, with spread of 8, 12 and 16 basis points above compounded SOFR. The accrual periods ends with a four-day lock-out period, similar in some way to the two-day lock-out for the Fed Fund swaps. Once more this means that the debate between forward-looking term rates and compounding backward looking rates is wide open.

In the same week, the Intercontinental Exchange has announced October 1 Launch of ICE One and Three Month SOFR Futures. This extends the ICE overnight offering beyond the SONIA futures for which 100 billions notional have been traded and competes with the similar products at CME.

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