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Developed in response to market demand, RFR USD is a daily, secured index designed to measure the effective cost of funding US Government issued collateral through the repo market. RFR USD is calculated in line with the FEDNY SOFR methodology and is published twice daily, at 10 a.m. ET and 3 p.m. ET.

RFR USD is included in the CME Overnight Repo Backed Benchmark family and is registered as a Benchmark under BMR. CME Group Benchmark Administration is the benchmark administrator.





Dates Available


By File






Sample Files


DatasetSample File (.JSON)Sample File (.CSV)
RFR USD10/1/202010/1/2020




FAQ

What format is the file delivered in?

Data is provided in .CSV format.

Are files compressed?

No, the files are not compressed into zip files.

How many files are available per day?

You will receive 1 file at 10am EST and 2 files at 3pm EST.

How far back do you maintain these records?

There will not be a historical data available when RFR USD is available on DataMine

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

Will CVOL Indexes be available for licensing?

Please contact CMEDatas

When are these files delivered?

There are two delivery times. RFR USD Level 1 is published twice daily.

File

File Delivery Time

RFR USD Level 1 

10am EST

RFR USD Level 13pm EST
RFR USD Level 23pm EST

If I purchase daily updates of these datasets, will I get historical data as well?


What does the data represent?

RFR USD is included in the CME Overnight Repo Backed Benchmark family. The data reflects the overall cost of funding based upon overnight repo trades transacted on the BrokerTec trading platform, with US Treasury bonds, bills and otes as collateral


How is the data computed?

RFR USD is calculated in line with the FEDNY SOFR methodology (need link) . Inputs include both general collateral (GC) and specific collateral (SC) repo trades and a filtering algorithm allows for outliers to be excluded from the calculation.

How large are these files?


How is the data structured?


RFR USD Level 1

ColumnField NameSample ValueDescription
ADate2/23/2021
BDescriptionRFR USD - 10:00am
CIndex Value0.02
DIndex Volume155151
EInitial Volume200850


RFR USD Level 2

ColumnField NameSample ValueDescription
ADate2/23/2021
BDescriptionRFR USD - 03:00pm
CIndex Value0.02
DIndex Volume167058
EInitial Volume218227
FMaximum0.06
GMinimum-0.03
HTradeCount1953






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