Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298512 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 7/2023
Publisher: 
Norges Bank, Oslo
Abstract: 
We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e ects. Comparing the spreads of FRNs linked to LIBOR and SOFR, issued by the same entity during the same month, we find a significantly lower yield spread for SOFR-linked debt after adjusting for the maturity-matched spreads from the swap market. In addition, despite identification challenges, we observe a quantitatively similar pattern in the syndicated loan market.
Subjects: 
Benchmark rates
floating rates
financial regulation
LIBOR
SOFR
JEL: 
E43
G12
G18
G29
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-282-9
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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