CME Group Announces Launch of CME Term SOFR Reference Rates
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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
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The upcoming transition from LIBOR, which is published by ICE
Benchmark Administration Limited (IBA), to the Secured Overnight
Funds Rate (SOFR), which is published by the New York Federal
Reserve Bank (NYFRB), has prompted a great deal of discussion in
the world of leveraged finance. In particular, the transition from
LIBOR to SOFR creates a number of potential issues and pitfalls
under existing loan documents, including issues related to when the
transition will go into effect, discrepancies between LIBOR and
SOFR interest rate floors in loan documents and the
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CME Group, the world’s leading and most diverse derivatives marketplace, today announced the publication of 11 additional implied volatility benchmark indexes to its suite of CME Group Volatility Indexes (CVOL™). Clients can now access two years of historical implied volatility data on CME Group’s CVOL indexes on WTI Light Sweet Crude Oil, Henry Hub Natural Gas, Gold, Silver, Corn, Soybeans and Wheat, along with the addition of both 5-Year and 30-Year Treasuries.
Together with the previously introduced indexes on 10-Year Treasuries and FX currency pairs, CME Group now offers 19 CVOL Indexes across five asset classes.
Today, we expanded our #CVOL suite of implied volatility indexes to Energy, Metals, Ags, and additional Treasuries: