Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2022 erstellt
Description:
As financial markets transition from the London Interbank Offered Rate (Libor) to alternative benchmark rates, lenders in floating rate debt lose the hedging benefits provided by Libor because the alternative reference rates are credit-insensitive overnight rates. Comparing the yield spreads of dollar-denominated floating rate notes (FRNs) with different benchmark rates, we find that, after adjusting for risk-neutral spread expectations from the swap market, issuing debt benchmarked against the alternative reference rate is marginally cheaper compared to using Libor as benchmark rate. This benchmark transition spread is largest for FRNs not held by yield-sensitive investors, like money market mutual funds. It is also present in sterling denominated FRNs and the U.S loan market