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.) |
(Update for cessation of LIBOR.) |
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In the context of interest rate benchmarks, 'near risk-free rates' include SOFR (the Secured Overnight Financing Rate) and SONIA. | 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. | The Financial Stability Board (FSB) recommended in 2014 that stakeholders should identify near risk-free rates that might be used as alternatives to the former LIBOR. | ||
This work was completed by 2024, with LIBOR ending in September 2024. | |||
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==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. | RFRs should not be confused with the theoretically risk free rate of investment return, used in the Capital asset pricing model. | ||
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* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
* [[Risk asset]] | |||
* [[Risk-free asset]] | |||
* [[Risk-free rate of return]] | * [[Risk-free rate of return]] | ||
* [[Risk-off]] | |||
* [[Risk-off asset]] | |||
* [[Risk-on]] | |||
* [[SOFR]] | * [[SOFR]] | ||
* [[SONIA]] | * [[SONIA]] | ||
[[Category:Financial_products_and_markets]] | [[Category:Financial_products_and_markets]] | ||
Latest revision as of 08:13, 5 October 2024
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 the former LIBOR.
This work was completed by 2024, with LIBOR ending in September 2024.
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.
