Libor Floors

Floor Plans

“The idea that the loan market could trade the floors that exist today for additional spread is pure fantasy.” – Beth MacLean, bank portfolio manager, PIMCO. It’s March 2008. The Fed has dropped rates precipitously to forestall a liquidity crisis. One-month Libor craters to 2.8% from 5% only three months before. Libor spreads for single-B