“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 ou...
“We are pleased to be selected by the ARRC to play this important role in delivering robust and sustainable, forward-looking SOFR term rates to the industry based on our deep and liquid underlying CME SOFR futures market,” said Sean Tully, CME Group Global Head of Financial and OTC Product...
In a year with many IBOR milestones, theformal recommendationby the New York Federal Reserve's Alternate Reference Rates Committee (the "ARRC") on 29 July 2021 of CME Group's Term SOFR rates was among the most momentous. The delay2in the ability of the ARRC to recommend a forward-looking...
The new 12 month Term rate will complement the one month, three month and six month Term SOFR rates already supported by the US exchange CME Group has said it will launch this month a 12 month Term SOFR rate, marking the latest product from the US group as the industry prepares for life...
SOFR是一种担保性质的短期融资利率,目前在金融市场中有多种方式利用SOFR来计算不同期限的利息。主要的计算方法有三种,即前瞻性的期限利率、后顾性的隔夜利率(单利SOFR和复利SOFR)。 一、前瞻性的期限利率(Term SOFR) 前瞻性的期限利率由芝商所基准管理有限公司(CME Group Benchmark Administration Limited)负责管理和...
一、前瞻性的SOFR(Term SOFR) 前瞻性的SOFR由CME Group Benchmark Administration Limited进行管理并发布,包括1天、3天、6天和12天的期限。这种利率的计算方法主要是基于SOFR衍生品市场的交易情况,每个利息周期的前两个工作日会更新相应的利率水平。这与LIBOR类似,贷款方可以在彭博社或路透社的相关页面上查询到贷款的...
On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended CME Group's forward-looking Secured Overnight Financing Rate (SOFR) term rates ("SOFR Term Rates"),1 marking a key step in the transition away from U.S. dollar LIBOR and providing market...
(ARRC) of CME Group’s Term SOFR in July 2021[2], during the September 2021 meeting of the Working Group on Sterling Risk-Free Reference Rates (£WG) it was noted by members of the £WG that the ARRC’s recommended best practice for Term SOFR would be relevant for US Dollar ...
lending transaction needs a license, as does each member of the syndicate using the published Term SOFR rates to make its own interest calculations; the “end-user” borrower would not, unless the borrower is independently using the CME Group’s published rates to run its own models and ...
Term SOFR is growing, and we expect this trend to continue • Market participants are encouraged to review their outstanding USD LIBOR exposures with a view to transitioning to Risk Free Rates ('RFR') ahead of the discontinuation of all remaining USD LIBOR tenors on 30 June 2023 Whilst the...