Global Overnight Reference Rates, Explained

The basics

Each major currency has its own overnight benchmark interest rate - the post-LIBOR replacements.

When LIBOR was retired, every major currency needed a new benchmark. You can't run trillions of dollars of loans, mortgages, and swaps without one. In each currency area, a working group of market participants convened by regulators and the central bank selected a replacement that, instead of relying on banks' self-reported estimates, is calculated from actual overnight transactions in that currency.

The U.S. dollar's replacement is SOFR - Secured Overnight Financing Rate - calculated by the Federal Reserve Bank of New York from actual repo transactions in Treasury securities. The British pound's replacement is SONIA, the Sterling Overnight Index Average, run by the Bank of England. The euro uses €STR (the euro short-term rate), published by the European Central Bank. Japan uses TONA (the Tokyo Overnight Average rate, run by the Bank of Japan). Switzerland uses SARON (the Swiss Average Rate Overnight). Canada uses CORRA (the Canadian Overnight Repo Rate Average).

They are collectively called "risk-free rates" or RFRs because the underlying transactions are either secured by high-quality collateral or are wholesale lending to near-risk-free counterparties. None of them have the credit-risk component LIBOR used to capture, which is one of the few legitimate complaints about the LIBOR-to-RFR transition - these new rates don't automatically rise when banks are in trouble the way LIBOR did.

In practical terms, if you have a U.S. mortgage, business loan, or interest-rate swap signed after 2021, the floating-rate reference is almost certainly SOFR. If you have a UK mortgage, it's SONIA. If you have a euro-denominated swap, it's €STR. The naming and mechanics are different across currencies, but the role they play in their respective economies is the same - they are the anchor everything else floats against.

Going deeper

Transaction-based 'risk-free rates' (RFRs); some secured (SOFR, SARON), some unsecured (SONIA, €STR, TONA).

All of the post-LIBOR replacements share one defining feature: they are based on actual transactions in deep markets, not on banks' self-reported estimates. That single design choice is what makes them robust - you can't fake your way to a number that's the volume-weighted median of hundreds of billions of dollars (or pounds, or euros) of real trades.

The RFRs differ in one important dimension: secured vs unsecured. Secured rates are computed from collateralized lending - typically overnight repurchase agreements where the borrower posts government bonds as collateral. SOFR (USD), SARON (CHF), and CORRA (CAD) are secured rates. Unsecured rates are computed from wholesale unsecured deposits or call-money transactions, where lenders take direct counterparty credit risk. SONIA (GBP), €STR (EUR), and TONA (JPY) are unsecured. The distinction matters in stress periods: secured rates can dislocate up when collateral is scarce; unsecured rates can dislocate up when bank-credit concerns flare.

Volume depth varies. SOFR is the deepest by a wide margin - typically $2.5–3 trillion in eligible repo volume daily as of 2025–26. SONIA runs roughly £40–60 billion in eligible unsecured wholesale deposits per day. €STR has run roughly €60–75 billion in eligible euro-area bank borrowing per day in recent years. TONA is meaningfully shallower - a few trillion yen on most days, less than the others in dollar-equivalent terms. SARON and CORRA are smaller still, reflecting the relative size of Swiss and Canadian repo markets.

The rates were selected by regulator-convened national working groups (the ARRC for SOFR, the Sterling RFR Working Group for SONIA, and their counterparts elsewhere), and administration sits mostly with central banks. The NY Fed publishes SOFR. The Bank of England publishes SONIA. The European Central Bank publishes €STR. The Bank of Japan publishes TONA. SIX Swiss Exchange, a private benchmark administrator, publishes SARON in cooperation with the SNB. The Bank of Canada publishes CORRA (transferred from Refinitiv in June 2020). Official-sector administration is the institutional fix for the BBA-era LIBOR governance gap - central banks and regulated benchmark administrators rather than an industry association now control the benchmark infrastructure.

Publication timing differs by jurisdiction. SOFR is published next-business-day morning around 8:00 AM ET. SONIA is published next-business-day at 9:00 AM London. €STR is published next-business-day at 8:00 AM Frankfurt (CET). TONA is published next-business-day morning in Tokyo. Next-day publication is the convention for SOFR, SONIA, and €STR because the underlying transaction data needs to be collected and processed after the market close. It is not universal, though: SARON is published same-day, with a closing fixing at 6:00 PM CET, and TONA has a same-day provisional print with the final figure confirmed the next morning.

The replacement timeline varied by jurisdiction: GBP, CHF, JPY, EUR LIBOR ceased end-2021. USD LIBOR major tenors ceased June 30, 2023. CDOR (Canadian Dollar Offered Rate, the LIBOR-equivalent for CAD) ceased June 28, 2024. The Canadian transition is the most recent major one, and it was relatively orderly because CORRA was already well-established as the overnight benchmark before CDOR cessation.

Advanced detail

USD: SOFR (repo); GBP: SONIA (unsecured); EUR: €STR (unsecured); JPY: TONA; CHF: SARON (repo); CAD: CORRA (repo).

USD - SOFR: secured Treasury repo, NY Fed admin, started April 2018 with retrospective data back to 2014. Underlying: tri-party Treasury repo + GCF repo + bilateral Treasury repo cleared via FICC DVP. Volume-weighted median. Excludes specials. Published next-business-day ~8:00 AM ET.

GBP - SONIA: unsecured wholesale GBP deposit transactions, Bank of England admin since 2016 (taken over from Wholesale Markets Brokers' Association). Methodology overhaul April 2018 broadened the input data from brokered deposits only to include bilaterally negotiated wholesale unsecured sterling deposits - this materially deepened the underlying volume. Counterparties include non-bank financial institutions (MMFs, mutual funds), a broad wholesale scope SONIA shares with €STR, which also captures borrowing from non-bank financials. Published next-business-day at 9:00 AM London.

EUR - €STR (euro short-term rate): unsecured wholesale euro borrowing by euro-area banks from financial counterparties. ECB admin since October 2019. Replaced EONIA (Euro OverNight Index Average), which was discontinued January 3, 2022. EONIA-to-€STR transition handled via fixed +8.5 bps spread (the historical EONIA-€STR median). €STR excludes secured transactions to preserve unsecured-credit signal. Counterparties drawn from MMSR (Money Market Statistical Reporting) reporting agents.

JPY - TONA (Tokyo Overnight Average rate): unsecured overnight call money market transactions reported by BOJ-designated brokers. BOJ admin. The call-money market has been thin in absolute terms during BOJ ultra-loose policy periods (which was the persistent regime through 2024), raising questions about TONA's depth in some daily windows. TORF (Tokyo Term Risk Free Rate) is the JPY term-rate analog, published by QUICK Benchmarks.

CHF - SARON (Swiss Average Rate Overnight): secured CHF repo. SIX Swiss Exchange admin under SNB collaboration. Compounded SARON is the standard for CHF mortgages and corporate loans post-CHF-LIBOR cessation (end-2021). The Swiss CHF mortgage market shifted from CHF-LIBOR-tracking to SARON-compounded in 2021–22, an unusually clean replacement because CHF LIBOR had relatively narrow product footprint.

CAD - CORRA (Canadian Overnight Repo Rate Average): secured Government of Canada repo. Bank of Canada admin (taken over from Refinitiv, formerly Thomson Reuters, on June 15, 2020). The transition included a methodology refinement that produced a small one-time level shift, well-documented in the Bank of Canada notices. CDOR (Canadian Dollar Offered Rate - the LIBOR-equivalent for CAD) had its final fixing June 28, 2024; CORRA is now the dominant CAD benchmark for both cash and derivative products.

Cross-currency basis: post-LIBOR, cross-currency basis swaps reference RFR-vs-RFR (e.g., SOFR vs SONIA, SOFR vs €STR, SOFR vs TONA) rather than the legacy LIBOR-vs-LIBOR. The basis spreads reflect cross-border USD funding demand, the dollar's dominant role in cross-border finance, and the dynamics of each currency's offshore funding markets. Stress events like March 2020 produced large negative SOFR-vs-foreign-RFR basis (foreign borrowers paying steep premium for USD), which the Fed's central-bank USD swap lines were designed to address.

Term-rate offerings vary by currency. CME Term SOFR (1M/3M/6M/12M), under license. ICE Term SONIA (1M/3M/6M/12M), with a narrower recommended use-case scope than Term SOFR - the UK working group limited Term SONIA to niche cash products such as trade and working-capital finance, whereas the ARRC endorsed Term SOFR for general business-loan activity. For €STR, forward-looking term rates do exist - FTSE (formerly Refinitiv) Term €STR and EMMI's Efterm, both EU BMR-authorized - but they are positioned mainly as EURIBOR fallbacks; EURIBOR survived benchmark reform and remains the dominant euro cash-product benchmark, with compounded €STR the standard in derivatives. TONA has the TORF term-rate. SARON has compounded SARON for cash products; no formal term-SARON.

Operational note for ISDA cross-currency swap documentation: the 2021 ISDA Interest Rate Derivatives Definitions - via the main book plus the Floating Rate Matrix and Compounding/Averaging Matrix - set out the standard RFR conventions, including spread adjustments, compounding methods, payment-delay vs lookback conventions, and observation period conventions. The 2021 Definitions superseded the 2006 Definitions for new trades; older trades may still reference the 2006 conventions or specific protocol amendments.

For data integration, FRED has SOFR (SOFR), SONIA via the Bank of England feed (FRED IUDSOIA - Bank of England SONIA), and various other RFR proxies. ECB Data Portal is the canonical €STR source. BOJ time-series search has TONA. SIX has SARON. Bank of Canada Valet API has CORRA (series group CORRA, headline series AVG.INTWO - e.g., /valet/observations/group/CORRA).

Expert notes

BIS RFR working group output; cross-currency basis swaps now reference RFR-vs-RFR not LIBOR-vs-LIBOR.

The post-LIBOR rate-selection process was coordinated through BIS and FSB working groups in the early-to-mid-2010s. Each jurisdiction's domestic RFR working group made the final selection, but the BIS Financial Stability Board's Official Sector Steering Group (OSSG) and the Market Participants Group (MPG) provided the cross-border framework. The 2014 FSB report (Reforming Major Interest Rate Benchmarks) is the foundational document. ISDA's 2018 consultation results (ISDA Consultation on Term Fixings and Spread Adjustment Methodologies for Fallbacks in Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, etc.) are the technical source for the spread-adjustment design.

SONIA's 2018 methodology reform: BoE expanded the data inputs from the original brokered-call-money definition to include all wholesale unsecured sterling deposits with non-bank financial counterparties (in addition to banks). The expansion roughly tripled daily eligible volume, from around £15 billion of brokered deposits to roughly £50 billion of wholesale deposits, materially improving depth. The reform also moved SONIA publication from same-day to next-day, aligning with the global RFR convention. The pre-reform SONIA ("legacy SONIA") has continuity with the post-reform series via published reconciliations.

SONIA is not alone in capturing non-bank counterparties - €STR also covers bank borrowing from money market funds, pension funds, insurers, and other non-bank financial institutions. The sharper contrast is scope: SONIA takes deposits from all wholesale counterparties, €STR excludes non-financial corporates, and TONA is drawn from the call-money market. The inclusion of MMFs, mutual funds, and other non-bank wholesale lenders deepens the underlying volume but introduces sensitivity to non-bank flow shocks (e.g., MMF redemption cycles, end-quarter MMF balance management).

€STR vs EONIA legacy: EONIA's discontinuation on January 3, 2022 was preceded by a transition arrangement where EONIA was published as €STR + 8.5 bps (the historical median spread). That fixed-spread relationship eased the transition for legacy EONIA contracts. €STR's methodology - unsecured-only, bank-only, large euro-area panel - preserves a clean unsecured-credit signal for euro-area bank funding stress.

SARON's secured nature makes it sensitive to Swiss repo market structure. The Swiss repo market is small (CHF 5–10 billion daily eligible volume is typical), and a small number of counterparties dominate. Stress events in the Swiss repo market can produce SARON dislocations that are sharper than analogous SOFR dislocations because the depth is much shallower. SARON was launched in 2009 (with history back to 1999), superseding the SNB's repo overnight index; the SNB and the Swiss national working group drove the CHF-LIBOR-to-SARON product transition during 2017–2021.

CORRA's June 2020 administration transition (Refinitiv → Bank of Canada) was the operational handover that preceded the CDOR cessation. The Bank of Canada published a methodology paper documenting the changes and the resulting small one-time level shift. CDOR cessation on June 28, 2024 was the most recent major LIBOR-family retirement in a G-7 currency. CORRA is now the dominant CAD benchmark; Term CORRA (1M, 3M) is published by CanDeal Benchmark Administration.

JPY's post-LIBOR situation is somewhat different. TONA has been the official RFR, but JPY LIBOR cessation included an unusual transition because BOJ's persistent ultra-loose policy kept the call-money market thin for many years. TORF (Tokyo Term Risk Free Rate, published by QUICK Benchmarks) provides a forward-looking term-rate alternative, with adoption concentrated in loans and other cash products where advance rate-setting is needed. The BOJ's 2024–25 policy normalization is gradually thickening the underlying TONA volume.

Cross-currency basis post-LIBOR: SOFR-vs-SONIA, SOFR-vs-€STR, SOFR-vs-TONA, SOFR-vs-CORRA all have liquid swap markets. The dynamics are largely set by the U.S. dollar's dominant role in cross-border lending - foreign borrowers' demand for USD funding shows up as a structurally negative SOFR-minus-foreign-RFR basis. The Fed's central-bank USD swap lines, made standing in 2013 with the BOE, ECB, BOJ, SNB, and BOC, address acute stress periods.

Operational data ingestion for benchmark tracking: ECB publishes €STR daily on the ECB website and via Data Portal; central-bank feeds are authoritative. SONIA is available via BoE statistical interactive database. TONA via BOJ. SARON via SIX. CORRA via Bank of Canada Valet API. FRED carries SOFR, SOFR averages and index, plus IUDSOIA (SONIA via BoE feed). Other commercial vendors (Bloomberg, Refinitiv) add timestamps and tenor-derived series.

Known structural mismatches in cross-currency derivative pricing: secured vs unsecured RFRs introduce a basis that didn't exist when LIBOR vs LIBOR was the global convention. SOFR (secured) vs SONIA (unsecured) basis embeds a secured-vs-unsecured premium component on top of the cross-currency funding signal, complicating decomposition.

For practitioners, the ISDA 2021 Interest Rate Derivatives Definitions are the authoritative reference for RFR mechanics across currencies. The BIS Quarterly Reviews periodically publish RFR-tracking pieces. The FSB Annual Progress Report on Reforming Major Interest Rate Benchmarks is the standing global-coordination publication. Each central bank's RFR-specific page (NY Fed for SOFR, BoE for SONIA, ECB for €STR, BOJ for TONA, SIX for SARON, Bank of Canada for CORRA) is the canonical primary source for methodology and current data.