I wonder if there is an agreed market convention on a discount margin formula for the new style frn's with overnight-compounded rates paid in arrears i.e. sofr/sonia/estr/etc frn's? This question is not about the specific details regarding lockback/lockout/pmt-lags etc. but about the simplified (i.e. no curve from which to calculate implied fwd rates) discount-margin formula, similar to the "curveless" discount margin formula used for ibor/libor frn's (where unknown forward rates were not from a curve but set to an assumed rate, ex. Bloomberg). I suppose it can be a similar formula except for the current coupon period which can be partly fixed.

  • $\begingroup$ May I ask if someone could provide a bbg print of the pricing page for a sofr frn? Thanks. $\endgroup$
    – Magnyz
    Commented Mar 5, 2022 at 15:39


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