CME Group Launches U.S. Dollar RepoFunds Rate to Track Overnight Funding Costs | LeapRate | Online Trading Industry News, Broker Intelligence & Fintech Analysis
CME Group has launched the U.S. Dollar RepoFunds Rate (RFR USD), a new benchmark designed to provide a measure of overnight funding costs in U.S. repo markets.
The benchmark draws on data from centrally cleared overnight U.S. repo trades executed on BrokerTec’s dealer-to-dealer central limit order book (CLOB) platform, which recorded average daily trading volumes of $412 billion in March.
The end-of-day rate is published at 3:00 p.m. ET, offering same-day price transparency and serving as an early indicator of market activity ahead of the T+1 daily publication of SOFR rates.
Matt Gierke, Global Head of BrokerTec, said the new benchmark enhances market transparency. “BrokerTec’s U.S. repo market is a definitive source of price discovery for U.S. Treasury repo. This new RFR USD benchmark provides enhanced transparency, enabling precise mark-to-market insights for dealers and improved access to valuation data for the broader marketplace,” he said.
Administered by CME Group Benchmark Administration, RFR USD uses a volume-weighted median methodology — the same standard employed by the New York Federal Reserve in the calculation of SOFR.
It is available via CME Datamine and accessible to BrokerTec CLOB clients, with rates also licensed for use in derived products including OTC derivatives, structured products and floating rate notes.
Max Ruscher, Head of Benchmark Services at CME Group, noted that the RFR USD is the latest addition to an existing suite of RepoFunds Rate products already covering euro, sterling and yen sovereign bond markets, which are increasingly adopted as reference rates in OTC swap markets.
