DEAL: Fannie Mae’s Sofr-linked bond

Author: John Crabb | Published: 28 Aug 2018

Three bonds linked to the secured overnight financing rate (Sofr) index have launched over the course of the past month. The first, a $6 billion floating rate note July 26 issuance by the Federal National Mortgage Association, the US government-sponsored mortgage lender commonly known as Fannie Mae, broke ground amid hope that it would encourage a broader acceptance of securities that are indexed to Sofr.

The second transaction came in early August, issued by the World Bank, and on August 20 Credit Suisse became the first investment bank to issue debt tied to the benchmark.

The Fannie Mae bonds pay a quarterly coupon. The coupon calculation is based on a simple average of the daily Sofr rate plus a spread. Specifically, the rates used in the bonds coupon calculation reset daily with a one business day look back: by way of example, on the reset date of July 31, the...



close Register today to read IFLR's global coverage

Get unlimited access to for 7 days*, including the latest regulatory developments in the global financial sector, updated daily.

  • Deal Analysis
  • Expert Opinion
  • Best Practice


*all IFLR's global coverage published in the last 3 months.

Read IFLR's global coverage whenever and wherever you want for 7 days with IFLR mobile app for iPad and iPhone

"The format of the Review has changed over the years; the high quality of its substantive content has not."
Lee C Buchheit, Cleary Gottlieb