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.

Benchmark indices

Money Market

CME Term SOFR Reference Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from derivatives markets.

$957B

CME SOFR FUTURES REPRESENTATIVE NOTIONAL PER DAY IN Q1 2022

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.

€330B

average daily repo transactions

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).

£51B

average daily repo transactions

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.

¥1.4T

average daily repo transactions

Fixed Income

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.

$10B

average daily transactions

FX

Track spot rate fixing prices for six of the most referenced currency pairs across the globe, calculated four times per day, five days a week.

 
 

Energy

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.

 

472k

average daily contract volume

Volatility

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.

200+

Distinct CVOL Indices and Derivative Indicators

Submitting a complaint

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

Market Data

Turn data points into turning points

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