The Financial Stability Board has published a user's guide to overnight risk free rates, providing an overview of such rates and how they can be calculated, as well as proposals for how they can be used in cash products. The user's guide falls in line with the development of RFRs as alternative benchmarks.
The guide identifies key features of RFRs used in financial products, which include:
The guide's proposals for how to use RFRs in cash products set out the different options for employing RFRs depending on whether the rate is to be calculated in arrears, in advance or using a hybrid method.
View the FSB User's Guide.
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