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- The U.S. Dollar RepoFunds Rate provides a one-day, risk-free rate based on centrally cleared U.S. repo trades transacted on BrokerTec
CME Group, the world's leading derivatives marketplace, today announced it has launched the U.S. dollar RepoFunds Rate (RFR USD) to provide a robust measure of overnight funding costs in U.S. repo markets.
The new benchmark uses data from centrally cleared overnight U.S. repo trades executed on BrokerTec's dealer-to-dealer central limit order book (CLOB) platform, which saw average daily trading volumes of $412 billion in March. RFR USD provides the market with same-day U.S. repo price transparency, with the end-of-day benchmark published at 3:00 p.m. ET, providing an early indicator of market activity, ahead of the T+1 daily publication of SOFR rates.
"BrokerTec's U.S. repo market is a definitive source of price discovery for U.S. Treasury repo," said Matt Gierke, Global Head of BrokerTec. "This new RFR USD benchmark provides enhanced transparency, enabling precise mark-to-market insights for dealers and improved access to valuation data for the broader marketplace."
"Our benchmarks are calculated using data from highly liquid markets to provide transparent, robust and reliable reference rates," says Max Ruscher, Head of Benchmark Services, CME Group. "RFR USD is the latest expansion to the existing suite of RFR products which measure the cost of secured one day funding in the euro, sterling and yen sovereign bond markets and are increasingly used as reference rates in the OTC swap market."
Administered by CME Group Benchmark Administration, RFR USD uses a volume-weighted median methodology—the same standard used by the New York Federal Reserve in the calculation of SOFR. It is available via CME Datamine and can be accessed by BrokerTec CLOB clients. The rates are also licensed for use in derived products such as OTC derivatives, structured products and floating rate notes.
For more information on CME Group's suite of RepoFunds Rates, visit: https://www.cmegroup.com/market-data/cme-group-benchmark-administration/repofunds-rates.
As the world's leading derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, cryptocurrencies, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and E-mini are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. BrokerTec is a trademark of BrokerTec Americas LLC and EBS is a trademark of EBS Group LTD. The S&P 500 Index is a product of S&P Dow Jones Indices LLC ("S&P DJI"). "S&P®", "S&P 500®", "SPY®", "SPX®", US 500 and The 500 are trademarks of Standard & Poor's Financial Services LLC; Dow Jones®, DJIA® and Dow Jones Industrial Average are service and/or trademarks of Dow Jones Trademark Holdings LLC. These trademarks have been licensed for use by Chicago Mercantile Exchange Inc. Futures contracts based on the S&P 500 Index are not sponsored, endorsed, marketed, or promoted by S&P DJI, and S&P DJI makes no representation regarding the advisability of investing in such products. All other trademarks are the property of their respective owners.
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View original content:https://www.prnewswire.com/news-releases/cme-group-launches-new-benchmark-to-track-overnight-funding-costs-302764084.html
SOURCE CME Group
