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Klingler, Sven & Syrstad, Olav (2024)

The SOFR discount

Journal of Financial Economics, 164 Doi:

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.

Syrstad, Olav & Viswanath-Natraj, Ganesh (2022)

Price-setting in the foreign exchange swap market: Evidence from order flow

Journal of Financial Economics, 146(1), s. 119- 142. Doi:

Rime, Dagfinn; Schrimpf, Andreas & Syrstad, Olav (2022)

Covered Interest Parity Arbitrage

The Review of financial studies Doi:

Klingler, Sven & Syrstad, Olav (2021)

Life After Libor

Journal of Financial Economics, 141(2), s. 783- 801. Doi:

Natvik, Gisle James; Rime, Dagfinn & Syrstad, Olav (2020)

Does publication of interest rate paths provide guidance?

Journal of International Money and Finance Doi:

Sizova, Elizaveta; Syrstad, Olav & Sævareid, Ingebjørg Hansen (2024)

Rebalancing of Currency Hedging and the Impact on Exchange Rates

[Academic lecture]. IFABS 2024 Shanghai Conference.