CME Group has expanded its RepoFunds Rates benchmark collection, measuring overnight funding costs in the US repo market.
Using data from centrally cleared overnight US repo trades executed on CME’s BrokerTec dealer-to-dealer central limit order book, the USD RepoFunds Rate (RFR USD) provides same-day, risk-free price transparency, the group says.
The end-of-day benchmark is published at 3pm ET, which CME states will provide an early indicator of market activity in advance of the T+1 publication of secured overnight financing rate (SOFR) at approximately 8 am ET.
It is calculated with the same volume-weighted median methodology used by the New York Federal Reserve for SOFR.
“This new benchmark provides enhanced transparency, enabling precise mark-to-market insights for dealers and improved access to valuation data for the broader marketplace,” said BrokerTec global head Matt Gierke.
The existing RFR suite measures secured one-day funding in euro, sterling and yen sovereign bond markets.
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