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OPTIMISING FLOATING EXPOSURE: EFFICIENT FRONTIER ANALYSIS FOR US SOFR

Post Date: 07 December 2023

Borrowers tend to have both fixed and floating rate debt. Floating rate debt averages at a lower cost over time. But its more volatile than fixed rate debt (including mark-to-market). Fixed rate debt is more certain. But adding floating rate debt to the mix gets to a better risk/return outcome, and a lower cost. But how much floating is optimal?


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