announced that ICE Benchmark Administration Limited (IBA) has launched the ICE Term RFR Portal and published a paper on potential term structures for alternative

Risk Free Rates (RFRs).

Together, ICE SOFR and ICE SONIA futures provide a global offering to trade and hedge alternative risk free rates alongside Euribor, Sterling, Euroswiss, Gilt and other interest rate benchmarks.

alternative risk free rates and complements our strategy to provide choice in global interest rate markets.

We consider an economy as in Campbell and Cochrane (1999), with time-varying risk free rates, and monetary asset holdings entering the utility function.

If there exists a risk free asset providing monetary services, its risk free rate obeys:

The definition of a credit crunch is based on the Bernanke and Lown (1991) approach of "a significant leftward shift in the supply for bank loans, holding constant both the safe real interest rate and the quality of the borrower." Following this rationale, we identify credit crunches as significant differences in credit supply across time and countries that are not accounted for by borrower characteristics or '

risk free rates'.

Risk free rates are the rates governments borrow in the market, which other entities use to price from so, the

risk free rate with an extra amount on top to take account of the extra risk investors are taking on.

Estimating

risk free rates. Unpublished manuscript.

This would lead to rising liabilities (mitigated by deterioration in one's own credit standing if that is considered in the fair value model), just as many asset values were being pushed down by spreads and default estimates that overwhelmed the reduction of the

risk free rates. While economically valid, I wonder if that's what insurers expect to report in such instances.

Expected

risk free rates are allowed to vary freely over time, constrained only by the fact that they are equal across (risk-adjusted) assets.

Template language from the Association for Financial Markets in Europe also introduces a possible adjustment to the effective margin paid to noteholders, which Fitch expects will be necessary since

risk free rates (RFRs), which do not include an element of bank risk, should trade at levels below LIBOR.

In the CAPM, asset i's equilibrium expected return is Ki = Rf + iM [RPM], where Rf is

risk free rate of interest, iM is the systematic risk (beta) of the asset I relative to the market portfolio, and RPM is the market risk premium.