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Another Step in Transitioning  the Benchmark Rate

US DOLLAR LIBOR

The NY Fed's Alternative Reference Rates Committee (ARRC) announced their formal recommendation today for the CME Group's forward-looking SOFR Term Rates "for business loan activity, where adapting to an overnight rate could be more difficult."

  • In the statement, ARRC "does NOT support the use of SOFR Term Rates for derivatives markets" however, "except for end users to hedge cash products using the SOFR Term Rates."
  • ARRC "continues to recommend using forms of overnight and averages of SOFR where possible."
  • Of note, use of 1W and 2M US$ LIBOR rates will end on December 31, 2021 while the balance of tenors (O/N, 1M, 3M, 6M and 1Y) will end June 30, 2023.
  • Link: ARRC
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