The SOFR Discount

Published: 6 December 2024| Version 1 | DOI: 10.17632/zfmkxcw2c9.1
Contributors:
Olav Syrstad,

Description

The replication package contains code and pseudo data to reproduce the analysis in the paper "The SOFR discount". The package contains a readme file describing the code and functions. In this paper, we look at the pricing of floating rate notes (FRNs) with different benchmark rates, Libor and SOFR respectively. After adjusting for the market pricing of the spread between these two benchmarks, we find that FRNs issued with SOFR as benchmark is cheaper for the issuer than issuing notes with Libor as benchmark rate.

Files

Steps to reproduce

Please see the readme file in the replication package

Institutions

Handelshoyskolen BI

Categories

Finance, Asset Pricing

Funding

European Research Council

101040188

Licence