CME Group Benchmark Administration
CME Group Benchmark Administration capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indices and benchmarks.
CME Group Benchmark Administration is a registered Benchmark Administrator, authorized and supervised by the UK Financial Conduct Authority (FCA). Our benchmarks are calculated using data from CME Group's highly liquid and regulated futures, options, FX and cash markets, to provide transparent, robust and reliable benchmarks.
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Benchmark indices
Money Market
CME Term SOFR Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from derivatives markets.
$1.6T
CME SOFR FUTURES REPRESENTATIVE NOTIONAL PER DAY IN Q4 2022
A forward-looking benchmark rate for managing interest rate risk in euro-denominated financial instruments. Utilizing multiple robust data sources including liquidity from CME Group’s €STR derivatives market, CME Term €STR offers transparent and reliable rates across tenors of 1, 3, 6, and 12 months.
€135B
In daily transaction data underpinning the rates
A suite of daily, volume-weighted average (VWAP) repo rate benchmarks for the Euro, Austria, Belgium, Finland, France, Germany, Ireland, Italy, Netherlands, Portugal, and Spain. The benchmarks are euro-denominated and represent secured one-day interest rates.
€425B
AVERAGE DAILY REPO TRANSACTIONS
Developed in response to market demand, this is a daily, secured index designed to measure the effective cost of funding through repo trades in the UK government bond market (UK GILTs).
£68B
AVERAGE DAILY REPO TRANSACTIONS
Calculated in cooperation with JBOND Totan Securities, the leading electronic trading platform for Japanese repurchase agreements. This offers a reliable way to track JPY sovereign repos, calculated based on trades executed on JBOND. All eligible repo trades use Japanese government bonds as collateral and are centrally cleared through the Japanese Securities Clearing Corporation.
¥1.8T
AVERAGE DAILY REPO TRANSACTIONS
Commodities
An end-of-day index that represents a single price for a basket of underlying Energy futures listed on NYMEX, this index is listed in points and based on a starting value of 100 on launch date.
460K
AVERAGE DAILY CONTRACT VOLUME
An index that represents the price of Soybean Oil futures as a percentage of the Soybean Crush Margin which is the revenue received from selling soybean oil and soybean meal. This index is provided across nine pairs of Soybean Oil and Soybean Meal Futures to provide the Soybean Oilshare for a full year’s listing.
1M Contracts
UNDERPINNED OPEN INTEREST
FX
Track spot rate fixing prices for six of the most referenced currency pairs across the globe, calculated four times per day, five days a week.
6
Currency pairs
The CME EUR/USD Cross Currency Basis Index measures the basis point deviation from the covered interest rate parity implied forward FX price.
3
Benchmark calculation underpinned by 3 liquid CME futures
Fixed Income
Volume-Weighted Average Prices (VWAPs) and Volume-Weighted Average Yields (VWAYs) for on-the-run US Treasuries (2 Year, 3 Year, 5 Year, 7 Year, 10 Year, 20 Year and 30 Year), calculated and published four times a day.
$10B
AVERAGE DAILY TRANSACTIONS
Volatility
A cross-asset class family of implied volatility indices, derived from the world’s most actively traded options on futures markets across major asset classes, the the CVOL Indices provide a representative measure of the market’s expectation of 30-day forward risk.
200+
Distinct CVOL Indices and Derivative Indicators
Submitting a complaint
To submit a complaint, contact us directly at internationalcompliance@cmegroup.com.
Our team will investigate and respond to all complaints.
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