CME has teamed up with BNY Mellon to launch futures contracts based on US Tri-Party Repo indices, set to go live in 2015.
The new interest rate hedging tools will be introduced on the Chicago Board of Trade and track the US$400 billion per day of overnight repo transactions in the index asset classes processed daily on BNY Mellon's Tri-Party Repo platform.
"These new Tri-Party Repo Indices reflect our commitment to leveraging BNY Mellon's thought leadership and technological strengths to increase the levels of transparency and efficiency in the financial services industry," said John Vinci, managing director and head of BNY Mellon’s broker-dealer services product management and strategy.
"This collaboration promises to provide investors with great new tools to help hedge interest rate exposure – we'll be giving investors access in a world-class derivatives marketplace to products that reflect our unmatched ability to track and report on activity in the Tri-Party Repo space."
BNY Mellon's role in the collaboration will be to prepare and provide daily US Tri-Party Repo Indices that reflect overnight interest rates on Tri-Party Repo transactions collateralised by US Treasuries, Agency Mortgage Backed Securities, and US Agency debt.
CME’s futures related to these indices will allow investors to hedge risk on short-term collateralised loans and other nearly risk-free interest rate exposures.
“We are pleased to partner with BNY Mellon to deliver futures contracts that enable the marketplace to access a nearly risk free repo interest rate benchmark, and to provide our customers with more choices to manage their interest rate risk management needs,” said Sean Tully, senior managing director of financials and OTC at CME Group.
“CME Group is a natural home for futures related to BNY Mellon’s Tri-Party Repo Indices because of our unique ability to offer portfolio margining with one of the world’s largest interest rates futures open interest pools, including Eurodollars, Fed Funds, and US Treasury Note and Bond futures.”