I remembered when I worked in corporate finance, we used LIBOR to price swaps. Are they using SOFR for swaps now? I heard they want to stop using LIBOR. The end of LIBOR. Can anyone comment?
SOFR? Why, I hardly know…anyone who has really been materially impacted.
Check this out.
I work at a commercial bank, it’s been a surprisingly quick transition. Almost all our loans are floating off LIBOR plus some credit spread (~100-300bps) but we transitioned to SOFR almost overnight since the FDIC clamped down and said we can’t originate anything LIBOR biased starting 1/1/22.
SOFR swaps have been available for a while now, but think the market is a lot more liquid due to the above factor. I LIBOR swaps may move ITM since LIBOR is going up due to a drier market. After 12/31/23 when LIBOR ceases entirely there’s a LIBOR fallback published by refinitiv in case there are OTC swaps still outstanding. At the end of the day, yes, no more LIBOR swaps are being offered and almost all are going to SOFR, with some in AMERIBOR, BBSY, CRITR, etc.
Swaps will never taste the same. LIBOR sounds so good.
Thanks for sharing.