CME launches Italy and Germany benchmarked RFR futures

CME Group announced that RepoFunds Rate (RFR) futures benchmarked to German and Italian RFR Indexes are now trading. The products can be used to precisely hedge German and Italian repo rates off balance sheet.

  • Outright futures, reflecting German and Italian repo rate expectations between IMM dates, enable granular hedging across the forward curve.
  • Basis Spread futures, quoted as the difference between expected 3M Euribor and compounded RFR over the same interest period, enable seamless IBOR/OIS basis trading.
  • RFR futures can be accessed on CME Direct (download a trading grid) and leading third-party vendors (view vendor codes).

CME Group Benchmark Administration (CBA) publishes daily repo rate benchmarks for the EU sovereigns, including Germany and Italy, based on centrally cleared repo trades executed on BrokerTec and MTS. The rates measure the overall cost of funding achieved by the market, inclusive of both general collateral (GC) and suitable specific collateral (SC) repo trades, based on settlement date.

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