Near risk-free rates: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
(Update.) |
(Update for cessation of LIBOR.) |
||
| Line 7: | Line 7: | ||
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 LIBOR. | ||
This work was completed by 2024, with LIBOR ending in September 2024. | |||
Revision as of 03:03, 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 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.
