CME Overnight Repo-Backed
Benchmarks Methodology
RepoFunds Rate Euro “RFR Euro”
RepoFunds Rate Sterling “RFR Sterling”
RepoFunds Rate JBOND “RFR JBOND”

CME Group Benchmark Administration Limited
Version 1.2.3
Publication Date: June 3rd, 2024

Version Control
VERSION
1.0

Creation of the “benchmark family”

APPROVAL DATE
December 16th, 2020

•
•
•
•

Validation checks
Renaming JBOND RIR to RFR JBOND
Specials Filtering Methodology
Data Sufficiency and Integrity criteria

1.2.1

•

Clarification to eligibility of repo trades

October 12th 2022

1.2.2

•

Annual Review

March 10th, 2023

1.2.3

•

Annual Review

April 4th 2024

1.1
1.2

2

KEY CHANGES

April 20th, 2021
October 27th, 2021

© 2024 CME Group. All rights reserved.

Contents
1.

Introduction

4

1.1.

CME Group and CME Group Benchmark Administration Limited

4

1.2.

Regulatory and IOSCO Compliance

42.

Description of benchmarks

5

2.1.

RepoFunds Rate Euro Benchmarks (“RFR Euro”)

5

2.2.

RepoFunds Rate Sterling (“RFR Sterling”)

5

2.3.

RepoFunds Rate JBOND (“RFR JBOND”)

6

2.4.

Trading Venues

63.

Eligible Repo Transactions

7

3.1.

RFR EUR, RFR Sterling

7

3.2.

RFR JBOND

7

4.

Special Collateral Filtering Algorithm

95.

Calculation Methodology

10

5.1.

RFR EUR, RFR Sterling, RFR JBOND

10

6.

Data Sufficiency, Validations and Publications

11

6.1.

Data Sufficiency and Integrity

11

6.2.

Pre-publication Validations

11

6.3.

Publication

12

6.4.

Error Policy

12

6.5.

Consultations and Notices

12

7.

Governance

13

7.1.

Oversight Committee

13

7.2.

Review of the Methodology

13

7.3.

Consultation Process

13

7.4.

Cessation

14

7.5.

Records Retention

14

7.6.

Auditing

14

7.7.

Data Licensing and Distribution

14

7.8.

Complaints Procedures

14

8.

Appendix I – Key Terms & Definitions

15

9.

Appendix II – ESG Disclosures16

3© 2024 CME Group. All rights reserved.

1. Introduction
CME Overnight Repo-Backed Benchmarks is a suite of benchmarks administered by CME Group Benchmark
Administration Limited (“CBA” or the “Administrator”) and intended to measure the cost of secured one-day
repo funding of sovereign bonds issued by a sub-set of Eurozone Countries, the United Kingdom and Japan.
These benchmarks, are registered as a “Benchmark Family”:•

RepoFunds Rate Euro (“RFR EUR”)•

RepoFunds Rate Sterling (“RFR Sterling”)•

RepoFunds Rate JBOND (“RFR JBOND”),

1.1. CME Group and CME Group Benchmark Administration Limited
As a leading and diverse derivatives market operator, CME Group is the parent of four U.S.-based designatedcontract markets (“DCMs”): Chicago Mercantile Exchange Inc. (“CME”), Board of Trade of the City of
Chicago, Inc. (“CBOT”), New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchange, Inc.
(“COMEX”) (collectively, the “CME Group Exchanges”). These exchanges offer a wide range of products
available across all major asset classes, including futures and options based on interest rates, equity indexes,
foreign exchange, energy, metals, and agricultural commodities. CME Group offers futures trading throughthe CME Globex® electronic trading platform (“Globex”), fixed income trading via BrokerTec, foreignexchange trading on the EBS platform, and central counterparty clearing services through CME Clearing, adivision of CME.
CBA capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indicesand benchmarks. CME Group Benchmark Administration Limited (CBA) is authorized and supervised by the
UK Financial Conduct Authority (FCA). CBA is the Benchmark Administrator of the CME Overnight RepoBacked Family of Benchmarks, with Chicago Mercantile Exchange Inc. providing calculation agent anddistribution services.

1.2. Regulatory and IOSCO Compliance
CME Overnight Repo-Backed Benchmarks are a family of benchmarks, designed on the basis of industry bestpractices and the IOSCO Principles for Financial Benchmarks. This will include but is not limited to thecreation of an Oversight Committee and a published methodology.

CME Overnight Repo-Backed Benchmarks are available for use under the UK Benchmark Regulation(BMR) 1.

1

https://www.fca.org.uk/markets/benchmarks/regulation4© 2024 CME Group. All rights reserved.

2. Description of benchmarks
2.1. RepoFunds Rate Euro Benchmarks (“RFR Euro”)
RFR Euro Benchmarks are one-day, secured Euro repo benchmarks, created with the intent to measure theeffective cost of overnight funding of sovereign collateral. Benchmarks are calculated from repo trades thatuse Euro area sovereign government bonds denominated in EUR as the underlying collateral and are
executed on the BrokerTec Regulated Market operated by CME Amsterdam B.V. 2 and BondVision multilateral
trading facility (“MTF”) 3 EuroMTS Limited 4.
RFR Euro is calculated on an Act/360 day-count convention and its publication follow the BrokerTec EU Repo
Holiday Calendar.
The RFR Euro Benchmarks consists of the following benchmarks:
•
•
•
•
•
•
•
•
•
•
•

RepoFunds Rate Austria (“RFR Austria”)
RepoFunds Rate Belgium (“RFR Belgium”)
RepoFunds Rate Finland (“RFR Finland”)
RepoFunds Rate France (“RFR France”)
RepoFunds Rate Germany (“RFR Germany”)
RepoFunds Rate Italy (“RFR Italy”)
RepoFunds Rate Ireland (“RFR Ireland”)
RepoFunds Rate Netherlands (“RFR Netherlands”)
RepoFunds Rate Portugal (“RFR Portugal”)
RepoFunds Rate Spain (“RFR Spain”)
RepoFunds Rate Euro (“RFR Euro”): based on the combination of the above ten (10) individual
countries.

2.2. RepoFunds Rate Sterling (“RFR Sterling”)
RepoFunds Rate Sterling (“RFR Sterling”) is a one-day, secured Sterling repo benchmark. The benchmark is
calculated from repo trades that use UK sovereign government bonds denominated in Sterling as theunderlying collateral, executed on the BrokerTec operated by BrokerTec Europe Limited 5 and centrally
cleared. Underlying collateral includes DBV 6, general collateral and specific collateral trades.
RFR Sterling is reported on an ACT/ACT day-count convention and its publication follows the BrokerTec UK
Gilt Repo Holiday Calendar.

2

https://www.cmegroup.com/trading/market-tech-and-data-services/brokertec/regdocs.html#all-documentation

3

Article 4(1)(22) of MiFID

4

https://www.mtsmarkets.com/products/mts-bondvision5

https://www.cmegroup.com/trading/market-tech-and-data-services/brokertec.html
Delivery by Value

65© 2024 CME Group. All rights reserved.

2.3. RepoFunds Rate JBOND (“RFR JBOND”)
RepoFunds Rate JBOND is a one day, secured Japanese Yen repo index, calculated from eligible repo
trades that use Japanese sovereign government bonds denominated in Japanese Yen as the underlying
collateral, executed on the JBOND Repo Trading System 7 electronic trading platform, and centrally cleared
through the Japan Securities Clearing Corporation. 8 JBond Totan Securities Co., Ltd. is headquartered inTokyo, Japan and operates the JBOND Repo System under the relevant PTS license. 9
RFR JBOND is reported on an ACT/365 day-count convention and its publication follow the Japanesesettlement calendar 10.

2.4. Trading Venues
BrokerTec Europe Limited and EuroMTS Limited are MTFs and are regulated in accordance with the laws
applicable in the UK or EEA.
CME Amsterdam B.V. is a Regulated Market, authorised by the Dutch Minister of Finance. 11
JBond Totan Securities Co., Ltd. is regulated in accordance with the laws of Japan.

7 https://jbond.co.jp/_us/index.html
8 https://www.jpx.co.jp/jscc/en/

9 https://www.jbond.co.jp/_us/profile.html

10 https://www.boj.or.jp/en/about/outline/holi.htm/

11 https://www.cmegroup.com/media-room/press-releases/2019/3/12/cme_group_receivesapprovalfromthedutchministeroffinancetooperate.html

6© 2024 CME Group. All rights reserved.

3. Eligible Repo Transactions
The Benchmarks are calculated on transactions executed on regulated trading venues and no discretion is
exercised by the Administrator in the determination process, as described in the Calculation Methodology
section.

3.1. RFR EUR, RFR Sterling
Repo transactions eligible for inclusion in the calculation of the Benchmarks must be executed on one of theregulated trading venues relevant to their respective markets (BrokerTec Europe Limited, CME Amsterdam
B.V. and EuroMTS Limited) within nominated market hours.
•
•
•
•
•
•

•
•

Quotes must be available to all dealers on the relevant market prior to being executed (no bilateral or
off-platform trades);Trades must be centrally cleared;
Repo term, from settlement date to maturity date, of one business day;
Trades must be conducted at a fixed rate;
Settle on the day for which the Benchmark is being calculated (“Common Settlement”);
Repo collateral to be any bill, bond, floating-rate note, or inflation-linked bond issued by the sovereign
government of the relevant country or, in the case of RFR Euro, by the sovereign government of theEurozone countries listed in RepoFunds Rate Euro (“RFR Euro”);
Collateral must be denominated in the respective domestic currencies;
Repo trade must be DBV, general collateral or special collateral.

The set of eligible trades is the aggregation of Overnight, Tom-Next and Spot-Next trades with the same startand end value dates, executed within the specified market hours:oSpot-Next and Tom-Next trades: BrokerTec Europe Limited, CME Amsterdam B.V. and EuroMTS Limited: 6:45am to 5:15pm(GMT/BST)oOvernight trades All trades executed from market opening until the relevant clearing house deadline.

3.2. RFR JBOND
Repo transactions eligible for inclusion in the RFR JBOND calculation must be executed on the JBOND Repo
System within nominated market hours.
•
•
•
•
•
•
•

7

Quotes must be available to all dealers on the relevant market prior to being executed (no bilateral or
off-platform trades);Trades must be centrally cleared;
Repo term, from settlement date to maturity date, of one business day;
Trades must be conducted at a fixed rate;
Settle on the day for which the Benchmark is being calculated (“Common Settlement”);
Repo collateral to be any bill, bond, floating-rate note, or inflation-linked bond issued by the sovereign
government of Japan
Collateral must be denominated in the respective domestic currencies;© 2024 CME Group. All rights reserved.

••

Repo trade must be general collateral or special collateral.
As made available to CBA by JBOND Totan.

The set of eligible trades is the aggregation of Overnight, Tom-Next and Spot-Next trades with the same tradedate as calculation date, executed within the specified market hours:oSpot-Next and Tom-Next trades:
 JBOND Repo System: 7:30am to 6:00pm (JST)oOvernight trades All trades executed from market opening until the relevant clearing house deadline.

8© 2024 CME Group. All rights reserved.

4. Special Collateral Filtering Algorithm
Repo markets execute a mix of trade types, usually described as “general collateral” or “special collateral”.
Unlike “general collateral”, special collateral trades (special trades) precisely identify the ISIN of the security to
be used as collateral. Normally it happens when a special security is in high demand and the transacted repo
rate tends to be below typical market levels, often by a significant spread.
In order to calculate benchmarks that best represent the one-day cost of funding, the calculation filters out all
special collateral trades below a given threshold prior to undertaking the final VWAR calculation.
All repo trades labelled as special collateral are combined by settlement date and by individual benchmark,and are sorted by descending rate. Then, the bottom 25% of trades are removed from the population. The
remaining filtered set of special collateral trades are combined with the general collateral trades, for the final
VWAR calculation.
The same filtering process is also applied to the calculation of RFR Euro as a whole; the entire set of special
repo trades executed in the ten (10) individual Eurozone countries listed above, is aggregated in a single set
and the filtering algorithm described above is applied.

9© 2024 CME Group. All rights reserved.

5. Calculation Methodology
The Calculation Methodology has been designed to measure the cost of secured one-day repo funding ofsovereign bonds, including considerations about the size and liquidity of the market as well as its dynamics.
No expert judgement is applied to the determination of the Benchmarks; input data are transactions only, as
contributed entirely and directly from the relevant trading venues.

5.1. RFR EUR, RFR Sterling, RFR JBOND
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 forcalculation.
Each benchmark is the volume-weighted average rate of eligible repo trades (general collateral and filteredspecials), and is calculated as follows:

𝑅𝑅𝑅𝑅𝑅𝑅 =∑i rate(i)×quantity(i)∑i quantity(i)where 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟(𝑖𝑖) and 𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞𝑞(𝑖𝑖) are the repo rate and nominal size of repo trade 𝑖𝑖, and the sum is the total of
all repo trades in the defined set of eligible repo trades for that day’s benchmark.
Benchmark values are calculated and published up to 3 (three), rounded decimal places.

10© 2024 CME Group. All rights reserved.

6.

Data Sufficiency, Validations and Publications

6.1. Data Sufficiency and Integrity
The input data used for the calculation of the benchmarks are checked by the Calculation Agent for anomalies
once received from each Trading Venue.
Each benchmark will be calculated and published as long as there is at least one (1) eligible transaction in theobservation period. If there are no eligible transactions available to calculate the benchmark, the previous day
values will be re-used and published.
Specifically, for RFR EUR, the benchmarks are calculated only if both sets of input data (CME Amsterdam
B.V. and EuroMTS Limited) are available. If one or both sets of input data are unavailable, the previous day
values will be re-used and published.
The Administrator regularly reviews the underlying markets and reports to the Oversight Committee any
concern caused by persistent lack of transactional activity in a specific benchmark.
If the previous day value is re-used for more than three consecutive business days, the Administrator must
promptly convene the Oversight Committee to assess available remedial actions.

6.2. Pre-publication Validations
Prior to publication, calculated rates for all benchmarks must pass a validation check. The validation check is
performed by the Calculation Agent immediately after calculation of the benchmarks and prior to theirdissemination.
Validation checks aim to identify unusual input data volumes (missing or duplicated data) comparing volumes
for the day to historical parameters.
The Administrator periodically reviews the validation parameters, according to market conditions, and informs
the Calculation Agent of any changes.
The Calculation Agent will have in place procedures to:•investigate and correct the anomaly•

promptly escalate to the Administrator in the event of persisting anomalies•

report monthly to the Administrator the results of the pre-publication validation checks

The Administrator provides a full report of Validation Checks to the Oversight Committee.

11© 2024 CME Group. All rights reserved.

6.3. Publication
The Calculation Agent performs calculations and post-calculation checks immediately after input data havebeen received; benchmarks are published shortly after calculation and validation checks, according to thefollowing approximate schedule:Times GMT/BST
unless specified
RFR EUR
RFR Sterling
RFR JBOND

SFTP

Bloomberg

4:15pm4:15pm
6:30pm (JST)

4:30pm
4:30pm (T+1)
6:30pm (JST)Administrator
Website
5:00pm (T+1)
5:00pm (T+1)
6:30pm (JST)Each publication includes the following:••••

Date & Time of publication
Index Value
Index Volume
Initial Volume

The RFR Euro publication follows the BrokerTec EU Repo Holiday Calendar.
The RFR Sterling publication follows the BrokerTec UK Gilt Repo Holiday Calendar.
The RFR JBOND publication follows the Japanese settlement calendar
In addition, CBA may, with advance notice, choose not to publish the RFR benchmarks on any given businessday.

6.4. Error Policy
If the Administrator - within 24 hours from publication - finds that there is an incorrect publication resulting
from miscalculation or inaccurate data inputs, the benchmark will be republished if the error is greater than
1bp (0.01%). In the event one of the ten individual RFR Euro country benchmarks is republished, the RFREuro will also be republished. Alternatively, if the difference is smaller than 1bp, there will be no re-publication.

6.5. Consultations and Notices
CBA will inform the users and stakeholders of any announcements relating to republication, restatements or
consultations via the CBA Notice Page.
In addition, CBA may, at its discretion and on a best effort basis, release information notices with respect toissues impacting the availability of RFR Euro, RFR Sterling or RFR JBOND, via the CBA Notice Page.

12© 2024 CME Group. All rights reserved.

7. Governance
The Administrator operates under a comprehensive Risk and Control Framework, providing clear policies on
Governance, Oversight, Benchmark Design and Calculation, Outsourcing, Operations, Reporting ofInfringements and Business Continuity.
CBA has in place a "Three Lines of Defence" model, enabling close cross-monitoring of the governanceprocess - this being business, compliance and audit who all have a key role in ensuring that CBA meets its
regulatory requirements.

7.1. Oversight Committee
An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, in
accordance with the CBA Terms of Reference for Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge to the Administrator on all
aspects of the Benchmark determination process. The minutes of the Oversight Committee are madeavailable on the Administrator's website.
The Oversight Committees can escalate to the CBA Board if required.

7.2. Review of the Methodology
The Administrator constantly monitors the Benchmark Methodology and its consistency with the statedobjectives. The Benchmark Methodology is reviewed annually by the Administrator and the OversightCommittee.
The Oversight Committee approves proposed changes to the Benchmark Methodology including, but notlimited to, the structure of the Benchmark, input data used and all aspects of the Calculation Methodology.
The Oversight Committee may direct the Administrator to consult on any changes to the methodology with
Stakeholders and the wider market.

7.3. Consultation Process
The Administrator will engage relevant Stakeholders and end-users on material changes to the Benchmark
Methodology, if required by Regulation or where the Oversight Committee requests such consultation.
Changes to the Methodology are deemed material on the basis of an assessment conducted by the
Administrator and submitted to the Oversight Committee for advice and feedback.
The Administrator will publish notice of the consultation on its website, inviting feedback from stakeholders
and the wider market. Notice of a consultation will be posted at least 1 (one) month prior to the deadline forresponses. The notice will include the details of the proposed material change, the timeline and the rationale
for the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended
as a result of the consultation, will be presented by the Administrator to the Oversight Committee for its
consideration.
Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as is practical, but before implementation of any changes.

13© 2024 CME Group. All rights reserved.

7.4. Cessation
The Administrator constantly monitors the representativeness of the Benchmark. If the Benchmark is deemed
to be unrepresentative of the underlying economic reality due to paucity of input data or systemic changes in
the related markets, the Administrator will engage the Oversight Committee at the earliest opportunity. Thesecessation arrangements are designed to mitigate cessation and transition risks.
The Oversight Committee may direct the Administrator to consult with Stakeholders as described in theConsultation Process section of this document.
As a last resort, if no alternative arrangements are feasible, the Oversight Committee may advise theAdministrator to discontinue the Benchmark, providing Stakeholders at least 6 (six) months’ notice andassistance to explore alternative reference instruments.
The Administrator will endeavour to identify alternative benchmarks; however, this might not always be
possible due to Regulations, market conditions or suitable alternatives.
Users of the benchmark are recommended to ensure that they have adequate fallback policies andprocedures in the event of the Benchmark becoming unrepresentative of its economic interest.

7.5. Records Retention
The Administrator has in place policies for the retention of any relevant evidence and documentation related
to the determination and dissemination of the Benchmark, either in paper or in electronic format, for at least
the mandatory term of 5 (five) years.

7.6. Auditing
An internal audit process is undertaken regularly, to ensure adherence to the stated Methodology, the IOSCO
principles and regulatory requirements.
External audits can be requested at any time by the Administrator’s Board, the Oversight Committee or theinternal audit function.

7.7. Data Licensing and Distribution
The Benchmark is made available subject to execution of an Information License Agreement (ILA) together
with the appropriate Schedules. Market participants that intend to subscribe to the benchmark should contact
the Administrator at the following email address: CMEDataSales@cmegroup.com

7.8. Complaints Procedures
CME Group has publicly available Complaints Procedures, applicable to the Administrator, which sets out theprocedure according to which a complaint will be dealt with by a senior member of staff not directly involved
with the benchmark calculation and dissemination. Information related to complaints will be stored in a
restricted access area and kept for a period of at least 5 (five) years following the date when the complaint
was first lodged. Complaints can be submitted at internationalcompliance@cmegroup.com.

14© 2024 CME Group. All rights reserved.

8. Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

BMR

UK Benchmark Regulation (Regulation (EU) 2016/2011, as retained in UK
law under the European Union (Withdrawal) Act 2018, as amended fromtime to time)bp

Basis Point (1 basis point = 0.01%)

CBA

CME Group Benchmark Administration Limited

GC

General CollateralSC

Special Collateral

OC

Oversight Committee

RFR

RepoFunds Rate

VWAR

Volume Weighted Average Rate15

© 2024 CME Group. All rights reserved.

9. Appendix II – ESG Disclosures
Explanation of how ESG Factors are Reflected in the Key Elements of the Benchmark Methodology
Item 1Name of the benchmark administrator.

CME Group Benchmark Administration
LimitedItem 2Type of benchmark or family of benchmarks.

Sovereign Debt

Item 3Name of the benchmark or family of benchmarks.

CME Overnight Repo-Backed Benchmark

Item 4

Does the benchmark methodology for the bench­
mark or family of benchmarks take into accountESG factors?

No16© 2024 CME Group. All rights reserved.

cmegroup.com© 2024 CME Group. All rights reserved.