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Contrary to this phenomenon, we document that Treasury bills trade at an on-the-run discount. This discount arises because Treasury bills 176become more attractive to traders as they age. The age and available supply of a Treasury bill are two key drivers of both its borrowing cost in the repo market and its yield. Price-sensitive 177investors respond to the discount, but their investments are insufficient to correct it. The Treasury could have saved up to $25.6 billion in issuance costs if it were able to finance itself at 178off-the-run yields. </span></span></span></p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1> 179<h1><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5330761" target="_blank"><span style="font-size: 16px;">Benchmark Interest Rates in the SOFR Era</span></a></h1> 180<p><span style="font-size:12px;"><em><span style="color:#000000;">With Matthias Fleckenstein and Olav Syrstad</span></em><span style="color:#000000;"> (This version: June 1812025) </span></span></p> 182<p> </p> 183<p style="text-align: justify;"><span style="font-size:12px;"><strong>Abstract:</strong> <span style="font-family:nexussanswebpro;"><span style="color:#505050;">The adoption of the Secured 184Overnight Financing Rate (SOFR) as the predominant floating rate for interest rate swaps introduces a new class of benchmark interest rates. Using no-arbitrage arguments, we establish three novel 185facts about the relationship between SOFR swap rates and other key benchmarks. First, the basis between swaps referencing the Effective Federal Funds Rate (FFR) and SOFR provides a new measure of the 186cost of funding Treasury positions. Second, SOFR swap spreads are less volatile and less sensitive to Treasury convenience premiums than FFR swap spreads. Third, SOFR swap spreads are positively 187correlated with the FFR-SOFR basis and directly reflect arbitrageurs' financing costs.</span></span></span></p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1> 188<h1><span style="font-size:16px;"><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4344497" target="_blank"><strong>CLO trading of brown loans</strong></a></span></h1> 189<p><span style="font-size:12px;"><em><span style="color:#000000;">With Kathrin Hackenberg, Viktoria Klaus, and Talina Sondershaus</span></em><span style="color:#000000;"> (This version: January 1902024) R&R</span></span></p> 191<p> </p> 192<p style="text-align: justify;"><span style="font-size:12px;"><strong>Abstract:</strong> <span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">Collateralized Loan Obligations (CLOs) are the main investors in leveraged loans, and we show </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">in this paper that they take advantage of heightened media attention to climate change. Utilizing </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">transaction data on leveraged loans, we find loans of firms in carbon-intensive industries trade at 193a </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">discount when media attention to climate change is 194elevated. CLOs take advantage of these price </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">discounts by 195tilting their portfolios toward carbon-intensive industries. This portfolio tilting is still </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">present for CLO managers who signed the principles of responsible investing (PRI) and thereby </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">committed to considering environmental factors in their investments. Hence, CLOs are one 196investor </span></span></span><span style="background-color:#ffffff;"><span style="font-family:nexussanswebpro;"><span style="color:#505050;">class purchasing from institutional investors who 197divest from brown industries.</span></span></span></span></p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1> 198<h1><span style="font-size: 16px;">Issuer Certification in Money Markets</span></h1> 199<p><span style="font-size:12px;"><em><span style="color:#000000;">With Olav Syrstad and Aleksandra Rzeznik -</span></em> <span style="color:#000000;">New version coming soon</span></span></p> 200<p> </p> 201<p style="text-align: justify;"><span style="font-size:12px;"><strong>Abstract:</strong> Using comprehensive issuance-level information for dollar-denominated short-term debt, we show that 202investments by money market mutual funds (MMFs) significantly reduce issuersâ funding frictions. Issuers without MMF funding pay approximately 10 basis points more for placing their 203short-term debt, even when comparing issuers with small MMF investments to issuers without MMF investments. Funding costs increased for issuers who lost their MMF investors because of an 204exogenous regulatory shock to the MMF industry in 2016. Issuers who lose their MMF investors reduce their outstanding<br/>
205short-term debt by more than 50% and issue debt with shorter durations, suggesting that MMF investments reduce an issuersâ funding fragility.</span></p> 206<p style="text-align:justify;"> </p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1> 207<h1><span style="font-size:16px;"><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3824651" target="_blank"><strong>Disclosing the Undisclosed: Commercial Paper as Hidden Liquidity 208Buffers</strong></a></span></h1> 209<p><span style="font-size:12px;"><em><span style="color:#000000;">With Olav Syrstad -</span></em> <span style="color:#000000;">New version (December 20, 2022)</span></span></p> 210<p><span style="font-size:12px;">This paper subsumes our old working paper "Cash is Not King: Evidence from the Commercial Paper Market"</span></p> 211<p> </p> 212<p style="text-align: justify;"><span style="font-size:12px;"><strong>Abstract:</strong> <span style="font-family:lucida sans unicode,sans-serif;">Using new transaction-level data for 213non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on CP lending 214supply cannot explain this pattern. Instead, companies optimize their disclosed liquidity buffers and strategically repay CP debt if doing so strengthens common accounting ratios, such as the current 215ratio. Unlike other CP issuers, firms that repay their CP debt neither hold lower cash buffers nor use CP as bridge financing, suggesting an alternative role of CP debt as âhidden liquidity 216bufferâ.</span></span></p> 217<p style="text-align:justify;"> </p> </div></div> 218 219 220 </div> 221</div> 222</div> 223<div class="diywebSecondary diyfeCA diyfeCA3"> 224<div class="diywebGutter"> 225 226</div> 227 228</div> 229</div> 230</div> 231 232 233<div class="diywebGutter"> 234<div class="diywebFooter diyfeCA diyfeCA4"> 235<div class="diywebGutter"> 236<div id="contentfooter"> 237 <div class="leftrow"> 238 <a rel="nofollow" href="javascript:window.print();"> 239 <img class="inline" height="14" width="18" src="//cdn.website-start.de/s/img/cc/printer.gif" alt=""/> 240 Druckversion </a> <span class="footer-separator">|</span> 241 <a href="https://www.svenklingler.com/sitemap/">Sitemap</a> 242 <br/> © Sven Klingler 243 </div> 244
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