Libor/SOFR basis like ‘free money’ for early movers – GS trader

Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates


Derivatives users have been reluctant to take advantage of a sharp narrowing in Libor versus SOFR basis swaps, which have fallen below the credit spread adjustment baked into derivatives fallbacks, to make an early transition to the secured overnight financing rate – leaving some traders perplexed.

On the benchmark’s June 2023 demise, fallbacks devised by the International Swaps and Derivatives Association will re-hitch Libor contracts to SOFR with an additional spread of 26.16 basis points for

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here