CHICAGO, April 21, 2021 /PRNewswire/ -- CME
Group, the world's leading and most diverse derivatives
marketplace, today announced it is publishing CME Term SOFR
Reference Rates for 1-month, 3-month and 6-month tenors.
These benchmarks are based on CME Group's deep and liquid
underlying SOFR futures, making them a robust and sustainable
measure of forward-looking SOFR rates. They are aligned with the
Alternative Reference Rates Committee's (ARRC) principles for
recommended forward term rates. As ARRC criteria emphasizes, any
forward term rate should have a limited scope of use so that the
use does not materially impact volumes in the underlying
SOFR-linked derivatives transactions that are relied upon to
construct that rate, CME Group intends to limit the licensing of
its SOFR Term Rates to cash market transactions initially until
June 30, 2023. The Term SOFR rate
will be available for license at no charge during this period.
"Our introduction of CME SOFR Term Rates responds directly to
client demand and builds on continued liquidity growth across the
SOFR ecosystem," said Sean Tully,
CME Group Global Head of Financial and OTC Products. "We are
supportive of the ARRC's forward term rate principles and believe
our SOFR Term Rates comply with and advance the ARRC's criteria,
rooting these new tools in CME SOFR futures."
CME Group SOFR futures are bolstered by a deep and diverse pool
of market participants. During Q1 2021, SOFR futures averaged
$232 billion in daily representative
notional value and reached a new, quarterly average daily volume
(ADV) record of 112,000 contracts. In addition, SOFR futures ADV
grew 82% year on year to 113,000 contracts in March 2021.
Based on industry best practices, CME Term SOFR Rates also are
compliant with the UK Benchmark Regulations and aligned to the
IOSCO Principles for Financial Benchmarks. CME Group Benchmark
Administration Limited (CBA) is the benchmark administrator for CME
Term SOFR with Chicago Mercantile Exchange Inc. (CME Inc.)
providing Calculation Agent services.
CME Term SOFR Reference Rates can be accessed from CME Group
directly via its website, the CME Market Data Platform or various
licensed data vendors. For more information on CME Term SOFR
Reference Rates, please visit www.cmegroup.com/termsofr.
As a leading and diverse derivatives market operator, CME Group
is the parent of four U.S.-based designated contract 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 through the CME
Globex® electronic trading platform ("Globex"), fixed income
trading via BrokerTec, foreign exchange trading on the EBS
platform, and central counterparty clearing services through CME
Clearing, a division of CME. With a range of pre- and post-trade
products and services underpinning the entire lifecycle of a trade,
CME Group also offers optimization services through TriOptima and
trade processing and reconciliation services through Traiana and
RESET. CBA capitalizes on CME Group's wealth of electronic
transaction-based data in the calculation of its indices and
benchmarks.
CME-G
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SOURCE CME Group