The SOFR Discount

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.