Sofr caps pick up, as Fannie and Freddie force liquidity

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By Ross Lancaster
24 Sep 2020

Fannie Mae’s and Freddie Mac’s drive to buy floating rate loans that reference the secured overnight financing rate is charging up a nascent market in interest rate caps that reference the Libor replacement.

Two weeks ago, Chatham Financial executed a Sofr interest rate cap on a $25m Sofr-linked Freddie Mac loan for a commercial real estate client. Since then, CRE borrowers have closed at least six more Sofr caps.

In February, Fannie and Freddie announced they would stop buying Libor linked ...

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