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On May 6, 2021, the Alternative Reference Rates Committee (“ARRC”) published a set of “market indicators” that it will consider in recommending a forward-looking Secured Overnight Financing (“SOFR”) term rate. The ARRC’s publication of these market indicators follows from its March 23, 2021 update (in which it announced that it is not yet in a position to recommend a SOFR term rate), its ongoing discussions regarding the term rate and its April 20, 2021 publication of key principles for a forward-looking SOFR term rate.

The market indicators are (1) continued growth in overnight SOFR-linked derivatives volumes; (2) visible progress to deepen SOFR derivatives liquidity consistent with ARRC best practices (including progress in market-making and execution in SOFR swaps and spreads, changing market convention quoting USD derivatives to SOFR and market-making in SOFR-linked interest rate volatility products); and (3) visible growth in offerings of cash products, including loans, linked to averages of SOFR, either in advance or in arrears.

Key Publication

ARRC Identifies Market Indicators to Support a Recommendation of a Forward-Looking SOFR Term Rate