CME Group Introduces New Benchmark for Efficient Overnight Funding Tracking
In a significant advancement for the financial markets, CME Group has unveiled the U.S. dollar RepoFunds Rate (RFR USD), a new benchmark aimed at delivering a reliable measure of overnight funding expenses in the U.S. repo markets. As the preeminent derivatives marketplace, CME's initiative is poised to enhance transparency and market understanding, allowing participants to make more informed funding decisions.
The RFR USD benchmark is grounded in data sourced from centrally cleared overnight U.S. repo transactions executed on BrokerTec’s dealer-to-dealer central limit order book (CLOB) platform. Notably, this platform reached an impressive average daily trading volume of $412 billion in March alone. By leveraging such robust data, the RFR USD enables market participants to access same-day U.S. repo pricing clarity, with the end-of-day benchmark published at 3:00 PM ET. This timing allows traders to glean insights and signals from market activity ahead of the T+1 daily publication of SOFR rates.
Matt Gierke, the Global Head of BrokerTec, emphasized the pivotal role that BrokerTec’s U.S. repo market plays in price discovery for U.S. Treasury repos. He stated, "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." Such transparency is crucial for market participants who rely on accurate and timely information for their trading strategies.
CME Group maintains that their benchmarks are meticulously computed using data from highly liquid markets, thus ensuring the development of transparent, complete, and trustworthy reference rates. The introduction of RFR USD marks the latest addition to a comprehensive suite of RFR products that also encompasses secured one-day funding costs in the euro, sterling, and yen sovereign bond markets. These benchmarks are gaining traction as reference rates in the over-the-counter (OTC) swap market, a testament to their increasing relevance and acceptance.
Administered by CME Group Benchmark Administration, the RFR USD is calculated using a method based on volume-weighted medians, mirroring the standards applied by the New York Federal Reserve in the calculation of SOFR. The rates associated with RFR USD are accessible via CME Datamine and can be utilized by clients on the BrokerTec CLOB platform. Furthermore, these rates are licensed for integration into derived products, including OTC derivatives, structured products, and floating rate notes.
Market participants interested in exploring CME Group’s suite of RepoFunds Rates can find comprehensive information on official CME channels. The launch of RFR USD signals CME Group's commitment to not only providing robust trading platforms but also to fostering markets where transparency and reliable information are readily available for all participants.
CME Group continues to solidify its position as the world’s leading derivatives marketplace, where it enables clients to engage in futures, options, cash, and OTC markets seamlessly. With an extensive offering across various asset classes—including interest rates, equity indexes, foreign exchange, cryptocurrencies, energy, agricultural products, and metals—CME Group empowers market participants around the globe to efficiently manage risk and seize emerging opportunities. The company also spearheads futures and options on futures trading through its CME Globex platform, while facilitating fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. Additionally, CME Group operates one of the leading central counterparty clearing providers, CME Clearing, further ensuring the integrity and efficiency of transactions across the marketplace.
The RFR USD benchmark is grounded in data sourced from centrally cleared overnight U.S. repo transactions executed on BrokerTec’s dealer-to-dealer central limit order book (CLOB) platform. Notably, this platform reached an impressive average daily trading volume of $412 billion in March alone. By leveraging such robust data, the RFR USD enables market participants to access same-day U.S. repo pricing clarity, with the end-of-day benchmark published at 3:00 PM ET. This timing allows traders to glean insights and signals from market activity ahead of the T+1 daily publication of SOFR rates.
Matt Gierke, the Global Head of BrokerTec, emphasized the pivotal role that BrokerTec’s U.S. repo market plays in price discovery for U.S. Treasury repos. He stated, "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." Such transparency is crucial for market participants who rely on accurate and timely information for their trading strategies.
CME Group maintains that their benchmarks are meticulously computed using data from highly liquid markets, thus ensuring the development of transparent, complete, and trustworthy reference rates. The introduction of RFR USD marks the latest addition to a comprehensive suite of RFR products that also encompasses secured one-day funding costs in the euro, sterling, and yen sovereign bond markets. These benchmarks are gaining traction as reference rates in the over-the-counter (OTC) swap market, a testament to their increasing relevance and acceptance.
Administered by CME Group Benchmark Administration, the RFR USD is calculated using a method based on volume-weighted medians, mirroring the standards applied by the New York Federal Reserve in the calculation of SOFR. The rates associated with RFR USD are accessible via CME Datamine and can be utilized by clients on the BrokerTec CLOB platform. Furthermore, these rates are licensed for integration into derived products, including OTC derivatives, structured products, and floating rate notes.
Market participants interested in exploring CME Group’s suite of RepoFunds Rates can find comprehensive information on official CME channels. The launch of RFR USD signals CME Group's commitment to not only providing robust trading platforms but also to fostering markets where transparency and reliable information are readily available for all participants.
CME Group continues to solidify its position as the world’s leading derivatives marketplace, where it enables clients to engage in futures, options, cash, and OTC markets seamlessly. With an extensive offering across various asset classes—including interest rates, equity indexes, foreign exchange, cryptocurrencies, energy, agricultural products, and metals—CME Group empowers market participants around the globe to efficiently manage risk and seize emerging opportunities. The company also spearheads futures and options on futures trading through its CME Globex platform, while facilitating fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. Additionally, CME Group operates one of the leading central counterparty clearing providers, CME Clearing, further ensuring the integrity and efficiency of transactions across the marketplace.
Topics Financial Services & Investing）
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