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167        <div id="matrix_972385" class="sortable-matrix" data-matrixId="972385"><div class="n module-type-text diyfeLiveArea "> <h1><span style="font-size:20px;">Working Papers</span></h1>
168<p> </p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1>
169<p style="text-align: justify;"> </p> </div><div class="n module-type-text diyfeLiveArea "> <h1> </h1>
170<h1><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6842898" target="_blank"><span style="font-size: 16px;">The On-the-run Discount</span></a></h1>
171<p><span style="font-size:12px;"><em><span style="color:#000000;">With Zhuolu Gao</span></em><span style="color:#000000;"> (This version: May 2026) </span></span></p>
172<p><font color="#000000"><span style="font-size: 12px;">Best paper award in Asset Pricing, NFA 2026</span></font></p>
173<p> </p>
174<p style="text-align: justify;"><span style="font-size:12px;"><strong>Abstract:</strong> <span style="font-family:nexussanswebpro;"><span style="color:#505050;">The on-the-run premium is one of
175the most widely studied phenomena in fixed-income markets. 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&amp;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 issuers’ 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 issuers’ 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 “hidden liquidity
216buffer”.</span></span></p>
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