CME Group Benchmark Administration
CME Group Benchmark Administration capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indices and benchmarks.
CME Group Benchmark Administration is a registered Benchmark Administrator, authorized and supervised by the UK Financial Conduct Authority (FCA). Our benchmarks are calculated using data from CME Group's highly liquid and regulated futures, options, FX and cash markets, to provide transparent, robust and reliable benchmarks.
CME Term SOFR Reference Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from derivatives markets.
CME SOFR futures average notional per day in H1 2021
A suite of daily, volume-weighted average (VWAP) repo rate benchmarks for the Euro, Austria, Belgium, Finland, France, Germany, Ireland, Italy, Netherlands, Portugal, and Spain. The benchmarks are euro-denominated and represent secured one-day interest rates.
Developed in response to market demand, this is a daily, secured index designed to measure the effective cost of funding through repo trades in the UK government bond market (UK GILTs).
Calculated in cooperation with JBOND Totan Securities, the leading electronic trading platform for Japanese repurchase agreements. This offers a reliable way to track JPY sovereign repos, calculated based on trades executed on JBOND. All eligible repo trades use Japanese government bonds as collateral and are centrally cleared through the Japanese Securities Clearing Corporation.
Volume-Weighted Average Prices (VWAPs) and Volume-Weighted Average Yields (VWAYs) for on-the-run US Treasuries (2 Year, 3 Year, 5 Year, 7 Year, 10 Year, 20 Year and 30 Year), calculated and published four times a day.
Track spot rate fixing prices for core currency pairs with the EBS FX benchmarks, updated every 30 minutes and published 24 hours a day, five days a week.
An end-of-day index that represents a single price for a basket of underlying Energy futures listed on NYMEX, this index is listed in points and based on a starting value of 100 on launch date.
A cross-asset class family of implied volatility indices, derived from the world’s most actively traded options on futures markets across major asset classes, the the CVOL Indices provide a representative measure of the market’s expectation of 30-day forward risk.
Distinct CVOL Indices and Derivative Indicators
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