Rate (SOFR) and the Chicago Mercantile Exchange (CME) Term SOFR as new reference rates. Main changes for US$ IRS against … SOFR is a fixing-in-arrears, a loss in the money market term structure, and a change of implicit credit spreads. As only … clients are allowed to use CME Term SOFR, banks face basis risk in hedging in the interbank market. As the SOFR is linked to …

Rate (SOFR) and the Chicago Mercantile Exchange (CME) Term SOFR as new reference rates. Main changes for US$ IRS against … SOFR is a fixing-in-arrears, a loss in the money market term structure, and a change of implicit credit spreads. As only … clients are allowed to use CME Term SOFR, banks face basis risk in hedging in the interbank market. As the SOFR is linked to …

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate … treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross …-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus …

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate … treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross …-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus …

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 …