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.
