CME Group Benchmark Administration

CME Group Benchmark Administration capitalizes on CME Group’s wealth of electronic transaction-based data for the construction of its indices and benchmarks.

Key Benefits

Transparency 

Builds on the transparency of our futures, options, FX, and cash markets to provide transparent pricing benchmarks.

Reliability

As the world’s leading and most diverse derivatives marketplace, we have a wide range of benchmarks using data from our highly liquid and regulated markets.

Connectivity

Choose how to access benchmark and indices data through various distribution channels including our self-service, cloud-based platform.

CME Group Benchmark Administration is registered under EU Benchmark Regulation (EU Regulation 2016/1011), is authorized and supervised by the UK Financial Conduct Authority (FCA) and is aligned to the IOSCO Principles for Financial Benchmarks.

Money Market

SOFR Strip Rates

As use of alternative reference rate Secured Overnight Financing Rate (SOFR) grows, take advantage of indicative-term SOFR rates, derived from available futures markets and OIS data.

Built similarly to a Federal Reserve methodology

Uses a similar methodology to one developed by the Federal Reserve in this working paper.

1-, 3-, and 6-month rates from CME SOFR futures data

Indicative preview of three key term rates based on growing CME SOFR futures ($188 billion notional per day).

SOFR OIS curve for 1-year and longer tenors

Forward-looking expectations for 1-year and beyond using SOFR futures for short-end and Fed Fund-SOFR basis markets from available broker pages

Explore data

Learn more and view the data at our SOFR Strip Rates page.


RepoFunds Rate (RFR) Euro

RepoFunds Rate (RFR) Euro is a suite of daily, volume-weighted average (VWaP) repo rate benchmarks for the Euro, Austria, Belgium, Finland, France, Germany, Italy, Netherlands, Portugal, and Spain.  The benchmarks are euro-denominated and represent secured one-day interest rates.

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

Backed by BrokerTec and MTS trades

Based on repo trades that are centrally cleared and executed on either BrokerTec, the fixed income platform, or MTS, Europe's premier facilitator for electronic fixed income trading featuring leading-edge technology.

Reflects the overall cost of funding

By including general collateral and suitable specific collateral repo trades, RFR Euro provides unique insight into current repo rates and market volumes. RFR Euro reflects the overall cost of funding achieved by the market.

Available on eurozone or country-specific markets

RFR Euro is calculated on trades using sovereign bonds issued by several Eurozone countries.

Country-specific RFR benchmarks are calculated with trades using sovereign bonds issued by the relevant country only.

Daily updated benchmark file values

Access daily updated benchmark file values

RepoFunds Rate is published daily at T+0 18:30 GMT (on each TARGET business day) via Bloomberg.

Resources

Contact us

To learn how to access RFR data, contact benchmark@cmegroup.com.


RepoFunds Rate (RFR) Sterling

Developed in response to market demand, RFR Sterling is a daily, secured index designed to measure the effective cost of funding through repo trades in the UK government bond market (UK GILTs).

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

Transaction-based transparency

Calculated on the volume-weighted average of repo rates that use UK sovereign government bonds as the underlying collateral.

Reflects the overall cost of funding

Includes both general collateral and specific collateral repo trades to provide unique insights into current repo rates and market volumes. It reflects the overall cost of funding achieved by the market.

Electronically executed and centrally cleared

All eligible repo trades are centrally cleared and electronically executed on BrokerTec trading platformthe leading multilateral platform for fixed income markets.

Resources

Get more details about RFR Sterling:

Benchmark statement

Methodology

Fact Sheet

Contact us

To learn how to access RFR Sterling data, contact benchmark@cmegroup.com.


JBOND Repo Index Rate

CME Group Benchmark Administration and JBOND Totan Securities, the leading electronic trading platform for Japanese repurchase agreements (repos), have jointly launched the JBOND Repo Index Rate.

JBOND Repo Index Rate is included in the CME Overnight Repo Backed Benchmark family and registered as a Benchmark under EU BMR. CME Group Benchmark Administration is the benchmark administrator.

Transaction-based transparency

Offers a reliable way to track JPY sovereign repos, calculated based on trades executed on JBOND.

Collateralized and centrally cleared

All eligible repo trades use Japanese government bonds as collateral and are centrally cleared through the Japanese Securities Clearing Corporation.

Leading electronic platform for JBOND repos

Combines the leading electronic trading platform for Japanese repos with the distribution strength of CME Group.

Resources

Contact us

For inquiries or access to this data, contact a member of our team at benchmark@cmegroup.com.

Fixed Income

BrokerTec US Treasury Benchmarks

BrokerTec US Treasury benchmarks deliver transparency by calculating Volume-Weighted Average Prices (VWAPs) for on-the-run US Treasuries, calculated and published four times a day.

Transaction-based

Calculated as the VWAP of all trades executed during a 15-minute window leading up to the fixing time.

Built on leading dealer-to-dealer fixed income platform

Uses data from BrokerTec, the leading central limit order book for cash US Treasury trading, to provide an accurate measure.

Transparency of being published four times daily

Covers four key timestamps (11 a.m., 3 p.m., 4 p.m. and 5 p.m. Eastern Time) to coincide with key rate times.

Contact us

To learn how to access BrokerTec US Treasury Benchmarks data, contact benchmark@cmegroup.com.

FX

EBS FX Benchmarks

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. Access just the pair(s) you need or the entire suite. 

Transaction-based transparency

The only benchmarks primarily based on actual transaction and order data  and calculated every 30 minutes,

Reference rate built on the leading spot FX platform

Underpinning each index is data from EBS Markets, the award-winning, full electronic FX central limit order book.

Choose from 15 core currency pairs

EUR/USD

EUR/CNH

EUR/CHF

EUR/JPY

EUR/RUB

USD/JPY

USD/RUB

USD/CNH

USD/CHR

CHF/RUB

CHF/CNH

CHF/JPY

CNH/JPY

CNH/RUB

RUB/JPY

Resources

Contact us

To learn how to access EBS FX Benchmarks data, contact benchmark@cmegroup.com.

Energy

The Petroleum Index is an end-of-day index that represents a single price for a basket of underlying Energy futures listed on NYMEX. The index is listed in points and based on a starting value of 100 on launch date, with the value changing daily relative to the movement on the underlying components.

Petroleum Index

Follows industry best practices

Complies with industry best practices and IOSCO Principles for Financial Benchmarks. This includes, but is not limited to, the creation of an oversight committee and a published methodology.

Transactions-based

Reflects a weighted basket of three widely traded Energy futures contracts:

The Index calculation is based on the official Exchange Futures daily settlement prices of the above future contracts.

Transparent

Calculated and published as soon as practically possible after the end of each US business day at 2:30 p.m. ET. It is only published on US business days that are also Exchange trading days; it will not be published on a US holiday when CME Globex is closed.

CME Group Petroleum Index

To learn how to access Petroleum Index data, contact benchmark@cmegroup.com.

Resources

Additional important contacts

Submitting complaints

To submit a complaint, contact us directly at internationalcompliance@cmegroup.com. Our team will investigate and respond to all complaints.

Governance

CME Group Benchmark Administration is registered under EU Benchmark Regulation (EU Regulation 2016/1011), is authorized and supervised by the UK Financial Conduct Authority (FCA) and is aligned to the IOSCO Principles for Financial Benchmarks.

Oversight committees

An oversight committee will be appointed for each benchmark or family of benchmarks. The committee will provide independent oversight of, and challenge to the Administrator on all aspects of the benchmark determination process in accordance with the Oversight Committee Terms of Reference.

Policies