What are the RFRs/ARRs replacing LIBOR?

Each of the home jurisdictions of the five LIBOR currencies have established national working groups tasked with determining the preferred RFRs for their corresponding local currencies.


The table2 below lists the five currencies and the corresponding alternative RFRs:


£ GBP

united-kingdom

$ USD

united-states

€ Euro

european-union

CHF

switzerland

¥ JPY

japan

Alternative RFR

SONIA Reformed Sterling Overnight Index Average
SOFR Secured Overnight Financing Rate
€STR Euro Short-Term Rate
SARON Swiss Average Rate Overnight
TONAR Tokyo Overnight Average Rate

Administrator

Bank of England
Federal Reserve Bank
European Central Bank
SIX Swiss Exchange
Bank of Japan

Rate type

Unsecured
Secured
Unsecured
Secured
Unsecured

Underlying transactions

Money markets
Repo transactions
Money markets
Repo transactions
Money markets

Short description

Unsecured rate that covers overnight wholesale deposit transactions
Secured rate that covers multiple overnight repo market segments
Unsecured rate that covers overnight wholesale deposit transactionsSecured rate that reflects interest paid on interbank overnight repo
Unsecured rate that captures overnight call market rate

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