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Near-Risk Free Rates

Near-Risk Free Rates (RFRs) are overnight benchmark rates based on real transactions and linked to the money market. RFRs are also often related to as simply “risk free rates”.

The daily publication of Interbank Offered Rates (IBORs), which are most commonly used as benchmarks to date, relies on financial institution’s estimation, which makes IBORs dependent on an expert judgment and, hence, highly subjective. Since such uncertainty represents a serious systemic vulnerability, there is a demand for alternative benchmark rates. The main reason for implementing RFRs into global financial markets system is providing better governance and oversight around major interest rate benchmarks.

Some jurisdictions suggest unsecured funding (UK, EU, Japan) rather than secured funding alternatives (US, Switzerland). Yet, the credit risk of parties involved is negligible for overnight terms.

The selected alternative RFRs are reformed: Euro Short Term Rate (€STR) for euro, Sterling Overnight Index Average (SONIA) for sterling, Swiss Average Rate Overnight (SARON) for Swiss franc, Secured Overnight Financing Rate (SOFR) for US dollar and JPY Overnight Unsecured Rate (TONA) for yen.

Most of experts believe the worldwide transition from IBORs to RFRs can not be completed earlier than 2021.


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