Olav Syrstad

Journal of Financial Economics 164 Doi: https://doi.org/10.1016/j.jfineco.2024.103989

The transition from London Interbank Offered Rate (LIBOR) to Secured Overnight Financing Rate (SOFR) affects the reference rate of floating-rate debt worth trillions of dollars. We provide the first evidence highlighting a benefit of the benchmark transition for debt markets. Focusing on the market for dollar-denominated floating rate notes (FRNs), we compare the yield spreads of FRNs linked to LIBOR and SOFR, issued by the same entity during the same month. After adjusting for the maturity-matched spreads from derivatives markets, we find significantly lower spreads for SOFR-linked FRNs. We link this SOFR discount to the enhanced price stability of SOFR-linked FRNs.

The Review of financial studies Doi: https://doi.org/10.1093/rfs/hhac026

Journal of Financial Economics 146(1) p. 119-142 Doi: https://doi.org/10.1016/j.jfineco.2022.07.004

Journal of Financial Economics 141(2) p. 783-801 Doi: https://doi.org/10.1016/j.jfineco.2021.04.017

Journal of International Money and Finance Doi: https://doi.org/10.1016/j.jimonfin.2019.102123