Available in 1-month, 3-month, and 6-month tenors, CME Term SOFR Reference Rates are BMR and IOSCO compliant, aligned to the ARRC's key principles, and ready to use in cash market products.
CME Term SOFR benchmarks are anchored by average daily volume of $232B* notional from SOFR futures, with average volumes supporting each tenor as follows: 1-month ~$75B, 3-month ~$125B, 6-month ~$160B.
On a DV01 basis, CME Term SOFR benchmarks are based on $3.3 million in daily DV01 risk-adjusted volume, 13x the daily DV01 risk transferred in the overnight repo market (read our full DV01 analysis here).
At just shy of three years old, CME SOFR futures continue to reflect a liquidity pool of a much more mature product.
As exploding US debt collides with other macro crosscurrents to create large uncertainty with respect to inflation, unemployment, and GDP, total cost-minded investors are turning to CME Group's liquidity pools and tools to manage elevated risks.
Read our latest note exploring the impact of the current debt regime and the tools available for efficiently managing associated risks.
On May 24***, CME Group will launch peso-denominated, monthly futures contracts based on the Central Bank of Mexico’s O/N TIIE Funding Rate (F-TIIE) – an IOSCO compliant RFR based on the highly developed and liquid Mexican repo market.
Complementing CME’s leading cleared OTC Mexican TIIE IRS market, F-TIIE futures will trade alongside CME SOFR futures and MXN/USD FX futures to offer a comprehensive hedging solution for the short-end of the Mexican curve.
Data as of April 30, 2021, unless otherwise specified
*Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis point (DV01).
**Source: April 27, 2021 CFTC Commitments of Traders Report
***Pending regulatory review