Key Takeaways
- • CME Group launched the U.S. Dollar RepoFunds Rate (RFR USD) on May 6, 2026, a same-day benchmark measuring overnight U.S. repo funding costs using centrally cleared trades from BrokerTec's dealer-to-dealer platform.
- • The benchmark sources data from BrokerTec's central limit order book (CLOB), which averaged $412 billion in daily trading volume in March 2026, providing robust price discovery for U.S. Treasury repo markets.
- • RFR USD publishes end-of-day results at 3:00 p.m. ET, delivering same-day transparency and an early market indicator ahead of the T+1 publication schedule of SOFR rates.
- • The benchmark uses volume-weighted median methodology—identical to the New York Federal Reserve's SOFR calculation—and is administered by CME Group Benchmark Administration.
- • RFR USD expands CME's existing suite of RepoFunds Rate products, which already measure secured one-day funding costs in euro, sterling, and yen sovereign bond markets and are increasingly referenced in OTC swap markets.
Summary
CME Group introduced the U.S. Dollar RepoFunds Rate (RFR USD) on May 6, 2026, establishing a new benchmark to measure overnight funding costs in U.S. repo markets with enhanced same-day transparency. The benchmark leverages transaction data from BrokerTec's dealer-to-dealer central limit order book platform, which processed average daily volumes of $412 billion in March 2026, ensuring the benchmark captures highly liquid, representative market activity.
The RFR USD publishes an end-of-day rate at 3:00 p.m. ET, delivering real-time market insights ahead of the T+1 daily publication of SOFR (Secured Overnight Financing Rate), the Federal Reserve's official benchmark. This timing advantage provides market participants with an early indicator of repo market activity and pricing dynamics on the same trading day. According to Matt Gierke, Global Head of BrokerTec, the new benchmark leverages the platform's established role as "a definitive source of price discovery for U.S. Treasury repo" and enables "enhanced transparency" for dealers and improved valuation access across the broader marketplace.
CME Group Benchmark Administration employs a volume-weighted median methodology for RFR USD calculations—the same standard the New York Federal Reserve uses for SOFR computation—ensuring methodological consistency with the market standard. This standardization strengthens the benchmark's credibility and facilitates integration into existing derivatives and OTC swap markets. The RFR USD represents the latest expansion of CME's RepoFunds Rate product suite, which already includes benchmarks tracking secured one-day funding costs in euro, sterling, and yen sovereign bond markets. Max Ruscher, Head of Benchmark Services at CME Group, noted that the firm's benchmarks are "calculated using data from highly liquid markets to provide transparent, robust and reliable reference rates" and emphasized that RepoFunds Rate products are "increasingly used as reference rates in the OTC swap market."
The RFR USD publishes an end-of-day rate at 3:00 p.m. ET, delivering real-time market insights ahead of the T+1 daily publication of SOFR (Secured Overnight Financing Rate), the Federal Reserve's official benchmark. This timing advantage provides market participants with an early indicator of repo market activity and pricing dynamics on the same trading day. According to Matt Gierke, Global Head of BrokerTec, the new benchmark leverages the platform's established role as "a definitive source of price discovery for U.S. Treasury repo" and enables "enhanced transparency" for dealers and improved valuation access across the broader marketplace.
CME Group Benchmark Administration employs a volume-weighted median methodology for RFR USD calculations—the same standard the New York Federal Reserve uses for SOFR computation—ensuring methodological consistency with the market standard. This standardization strengthens the benchmark's credibility and facilitates integration into existing derivatives and OTC swap markets. The RFR USD represents the latest expansion of CME's RepoFunds Rate product suite, which already includes benchmarks tracking secured one-day funding costs in euro, sterling, and yen sovereign bond markets. Max Ruscher, Head of Benchmark Services at CME Group, noted that the firm's benchmarks are "calculated using data from highly liquid markets to provide transparent, robust and reliable reference rates" and emphasized that RepoFunds Rate products are "increasingly used as reference rates in the OTC swap market."
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