RFR Sterling

RFR Sterling aims to provide a measurement of effective cost of funding through repo trades in the UK government bond market (UK GILTs). It is a solution developed by CME Group Benchmark Administration in response to market demand.

RFR Sterling is a daily, secured Sterling repo index. The index is calculated from repo trades that use UK sovereign government bonds as the underlying collateral and executed on the BrokerTec electronic trading platform (Multilateral Trading Facility), these trades are all centrally cleared.

By including both general collateral and suitable specific collateral repo trades, RFR Sterling provides a unique insight into current repo rates and market volumes and reflects the overall cost of funding achieved by the market. It is an industry solution developed in response to market demand and is open to other platforms with suitable trade data that wish to join and can demonstrate eligibility as described above.