What are the main differences between LIBOR and RFRs/ARRs?

The main differences between RFRs and IBORs are the following:


LIBOR

RFRs

Calculation Methodology
Forward-looking estimate based on panel bank submissions
Backward-looking calculated mean based on transactions
Publication
All Currency LIBOR in all tenors available around noon Greenwich Mean Time
Published at time of home jurisdictions and all RFRs available on T+1 (except SARON)
Term Structure
Seven tenors from overnight to 12 months
Overnight rates
Term and Credit Premium
Includes both a term and credit premium
As the name suggest, RFRs are risk free with no term nor credit premium embedded
Volumes
Based on narrow range of contributor banks
Based on robust, very liquid underlying markets, reflects actual transactions
Consistency/Timing
Quoted on the same basis and time for all five currencies
Different methodology and publication timelines for each currency
Administrator
Private Sector
Central Banks (except SARON)
Timing of Interest Rates
Known at the start of each interest period
Known only a few days before the end of interest period

Did you find this information helpful?