Repo Fund Rates

How is RFR Euro Calculated?

All repo trades labelled as specials are combined by settlement date and by individual benchmark, and are sorted by descending rate. Then, the 25% of trades with the lowest rate are removed from the population, before combining the filtered set with general collateral trades, for the final VWAR calculation. After the specials filtering process is applied and 25% of special trades have been removed, the remaining set is combined with repo trades labelled as GC (general collateral) to form the set of trades eligible for calculation. Each benchmark is the volume-weighted average rate of eligible repo trades (general collateral and filtered specials).

What data is included in the Level 1 subscription?

RFR Euro Level 1 contains the benchmark index value and volume for each of the ten individual countries and for the RFR Euro.

What data is included in the Level 2 subscription?

RFR Euro Level 2 includes the benchmark index value, initial volume, benchmark volume, maximum price and minimum price for each of the ten individual countries and for the RFR Euro. The file also includes values for an aggregation of the underlying data categorized by general and specific collateral components.

What data is included in the Level 3 subscription?

A RFR Euro Level 3 subscription will include 3 files:

• Level 2 – as described above

• Level 3a – includes the underlying data used in the calculation of each benchmark (post filtering) broken down to provide maximum, minimum, volume-weighted average price and volume aggregated by ISIN.

• Level 3b – includes a list of trades included in the calculation for each benchmark (post filtering), providing the rate, collateral type and volume.

Who is the Benchmark Administrator for RFR Euro?

CME Group Benchmark Administration Limited (CBA) is the Administrator of RFR Euro. CBA is a registered Benchmark Administrator, regulated by the UK Financial Conduct Authority (FCA).

Is RFR Euro an IOSCO-compliant benchmark?

RFR Euro is part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks based on industry best practices, complying with the IOSCO Principles for Financial Benchmarks (July 2013), including but not limited to implementing a governance structure and creating a transparent methodology. The methodology and benchmark statements are made publicly available on the CBA webpages.

Is RFR Euro available for use under Benchmark Regulation (BMR)?

The RFR Euro and the ten individual country benchmarks (Level 1) are part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks registered under BMR. The benchmark index value is available for use by EU/UK supervised entities. Under the Brexit transition arrangement, all UK BMR regulated benchmarks are eligible for use in the EU as Third Country transitional benchmarks, without EU registration. A UK BMR Benchmark Statement is available on the CBA webpages.

How is RFR Sterling Calculated?

All repo trades labelled as specials are combined by settlement date and by individual benchmark, and are sorted by descending rate. Then, the 25% of trades with the lowest rate are removed from the population, before combining the filtered set with general collateral trades, for the final VWAR calculation. After the specials filtering process is applied and 25% of special trades have been removed, the remaining set is combined with repo trades labelled as GC (general collateral) to form the set of trades eligible for calculation. Each benchmark is the volume-weighted average rate of eligible repo trades (general collateral and filtered specials).

What data is included in the Level 1 subscription?

RFR Sterling Level 1 contains the index value and volume for RFR Sterling.

What data is included in the Level 2 subscription?

RFR Sterling Level 2 includes the index value, initial volume, index volume, maximum price and minimum price for RFR Sterling. The file also includes these values for an aggregation of the underlying data categorized by general and specific collateral components.

What data is included in the Level 3 subscription?

A RFR Sterling Level 3 subscription will include 3 files:

• Level 2 – as described above

• Level 3a – includes the underlying data used in the calculation of each benchmark (post filtering) broken down to provide maximum, minimum, volume-weighted average price and volume aggregated by ISIN.

• Level 3b – includes a list of trades included in the calculation for each benchmark (post filtering), providing the rate, collateral type and volume.

Who is the Benchmark Administrator for RFR Sterling?

CME Group Benchmark Administration Limited (CBA) is the Administrator of RFR JBOND. CBA is a registered Benchmark Administrator, regulated by the UK Financial Conduct Authority (FCA).

Is RFR Sterling an IOSCO-compliant benchmark?

RFR Sterling is part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks based on industry best practices, complying with the IOSCO Principles for Financial Benchmarks (July 2013), including but not limited to implementing a governance structure and creating a transparent methodology. The methodology and benchmark statements are made publicly available on the CBA webpages.

Is RFR Sterling available for use under Benchmark Regulation (BMR)?

The RFR Sterling is part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks registered under BMR. The benchmark index value is available for use by EU/UK supervised entities. Under the Brexit transition arrangement, all UK BMR regulated benchmarks are eligible for use in the EU as Third Country transitional benchmarks, without EU registration. A UK BMR Benchmark Statement is available on the CBA webpages.

How is RFR JBOND Calculated?

All repo trades labelled as specials are combined by settlement date and by individual benchmark, and are sorted by descending rate. Then, the 25% of trades with the lowest rate are removed from the population, before combining the filtered set with general collateral trades, for the final VWAR calculation. After the specials filtering process is applied and 25% of special trades have been removed, the remaining set is combined with repo trades labelled as GC (general collateral) to form the set of trades eligible for calculation. Each benchmark is the volume-weighted average rate of eligible repo trades (general collateral and filtered specials).

What data is included in the Level 1 subscription?

RFR JBOND Level 1 contains the index value and index volume for RFR JBOND.

What data is included in the Level 2 subscription?

RFR JBOND Level 2 includes the index value, initial volume, index volume, maximum price and minimum price for RFR JBOND. The file also includes these values for an aggregation of the underlying data categorized by general and specific collateral components.

What data is included in the Level 3 subscription?

A RFR JBOND Level 3 subscription will include 2 files:

• Level 2 – as described above

• Level 3a – includes the underlying data used in the calculation of each benchmark (post filtering) broken down to provide maximum, minimum, volume-weighted average price and volume aggregated by ISIN.

What data is included in the Level 4 subscription?

A RFR JBOND Level 4 subscription includes the underlying data which was excluded through the filtering process. Broken down to provide maximum, minimum, volume-weighted average price and volume aggregated by ISIN.

Who is the Benchmark Administrator for RFR JBOND?

CME Group Benchmark Administration Limited (CBA) is the Administrator of RFR JBOND. CBA is a registered Benchmark Administrator, regulated by the UK Financial Conduct Authority (FCA).

Is RFR JBOND an IOSCO-compliant benchmark?

RFR JBOND is part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks based on industry best practices, complying with the IOSCO Principles for Financial Benchmarks (July 2013), including but not limited to implementing a governance structure and creating a transparent methodology. The methodology and benchmark statements are made publicly available on the CBA webpages.

Is RFR JBOND available for use under Benchmark Regulation (BMR)?

The RFR JBOND is part of the CME Group Overnight Repo Backed Benchmarks family of benchmarks registered under BMR. The benchmark index value is available for use by EU/UK supervised entities. Under the Brexit transition arrangement, all UK BMR regulated benchmarks are eligible for use in the EU as Third Country transitional benchmarks, without EU registration. A UK BMR Benchmark Statement is available on the CBA webpages.