(updated on April 26, 2018) – There were three major happenings on the LIBOR/SOFR front this week. First, on April 24th, overnight SOFR and overnight LIBOR converged (at 1.7%) for the first time since SOFR began being published (see chart). Second, it was a fitting date for convergence as “SOFR preparedness” was one of the themes at the LSTA Operations Conference. Third, on April 25th, IBA published its “ICE LIBOR Evolution” paper. The paper discusses efforts to shore up LIBOR to encourage its continuance past the end of 2021, when regulators will no longer compel banks to make LIBOR submissions. We tackle these issues below.
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