Near risk-free rates: Difference between revisions
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imported>Doug Williamson (Create page. Source: ACT Briefing Note, Transition to Risk Free Rate Benchmarks, October 2018.) |
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Revision as of 18:37, 1 December 2018
Interest rate benchmarks.
(RFR).
In the context of interest rate benchmarks, 'near risk-free rates' include SOFR (the Secured Overnight Financing Rate) and SONIA.
The Financial Stability Board (FSB) recommended in 2014 that stakeholders should identify near risk-free rates that might be used as alternatives to LIBOR.
They are also known more simply as risk-free rates, although strictly they are not entirely risk-free.
Capital asset pricing model
RFRs should not be confused with the theoretically risk free rate of investment return, used in the Capital asset pricing model.
