Difference between revisions of "Overnight Risk-Free Rate"

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[[Category:Interest Rate Risk]]

Latest revision as of 11:47, 11 June 2019

Definition

Overnight Risk-Free Rate denotes any of a set of (nearly) risk-free references interest rates (RFR), which can be used as alternative benchmarks for the existing key interbank offered rates (IBORs) in the unsecured lending markets[1]

RFRs have been identified because these rates are robust and are anchored in active, liquid underlying markets. This contrasts with the scarcity of underlying transactions in the term interbank and wholesale unsecured funding markets from which some interbank offered rates (IBORs) are constructed

List of RFR

Currency Name / Symbol Description Publication Timing
US Dollar Secured Overnight Financing Rate (SOFR) Secured Treasury repo rate Published around 8 am the next business day
Sterling Sterling Overnight Index Average (SONIA) Unsecured wholesale rate Published at 9 am the next business day
Japanese Yen Tokyo Overnight Average Rate (TONA) Unsecured wholesale rate Published at 10 am the next business day
Euro Euro Short-Term Rate (€STR) Unsecured wholesale rate Will be published by 9 am the next business day
Swiss Franc Swiss Average Rate Overnight (SARON) Secured general collateral repo rate Published at 6 pm the same business day


References

  1. FSB, Overnight Risk-Free Rates: A User’s Guide, June 2019

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