First SOFR versus CORRA cross-currency swap hits market

JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market

USD-CAD-cross currency

In a first for the family of Libor replacement rates, JP Morgan and the National Bank of Canada have traded what they say is the first cross-currency basis swap referencing the US secured overnight financing rate (SOFR) and the Canadian dollar equivalent rate.

The two-year, C$5 million ($3.8 million) swap traded on January 10 and became effective on January 14, two trading days after execution. Both rates – SOFR and the Canadian overnight repo rate average (CORRA) – are daily compounding.

The

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