More SOFR products (II)

More and more SOFR-linked products appear. This time it is the World Bank which issued a SOFR-linked floating rate note (ISIN: US459058GK33), with a two-year maturity and a coupon of SOFR+22bps paid quarterly with a 4 days lockout. The notional issued was 1 billion notional. This is the longest maturity I have seen so far for a SOFR-linked instrument. Once more a lockout period which transforms a compounded setting in arrears into a partially setting in advance rate. The press release can be found here.

It appears that on the same date very large SOFR v LIBOR swaps were traded. The total notional of the swaps was USD 920 millions. More details are provided in the Risk article World Bank completes first SOFR bond hedge.

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