CME Term SOFR
Reference Rates Benchmarks
IOSCO Compliance Statement
CME Group Benchmark Administration Limited
Publication Date: July 3rd, 2023

Introduction
CME Term SOFR Reference Rates are a daily set of forward-looking interest rate estimates, calculated andpublished for 1-month, 3-month, 6-month and 12-month tenors. Each CME Term SOFR Reference Rates
tenor will start on (and include) the second US Government Securities Business Day following the publication
day and span the corresponding tenor in accordance with Modified Following day-count conventions.
The CME Term SOFR Reference Rates will be published on the next Business Day following the BusinessDay during which futures data sampling takes place and are computed based on a Reference Period thatbegins two business days (T+2) after the Publication Date.
CME Term SOFR Reference Rates will be calculated in accordance with the recommended SIFMA US
Holiday Schedule1. Publication will occur at 5.00am CT.
CME Group Benchmark Administration Ltd (CBA) is the benchmark administrator with CME Group Inc.
providing Calculation Agent and distribution services.

Regulatory and IOSCO Compliance
The CME Term SOFR Reference Rates are a family of benchmarks based on industry best practices and theIOSCO Principles for Financial Benchmarks. This will include but not be limited to the creation of an OversightCommittee and a published Methodology. The Index will also be subject to an Audit process. Material changes
to the Methodology will be announced via public consultation and any changes would be announced with a
notice period of at least one (1) month.
Capitalised terms not otherwise defined in this document have the meaning given to them in the IOSCO
Principles for Financial Benchmarks Final Report of July 2013.
SOFR means Secured Overnight Financing Rate.

1

https://www.sifma.org/resources/general/holiday-schedule/2© 2023 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
The Administrator should retain primary
responsibility for all aspects of the
Benchmark determination process. For
example, this includes:a) Development: The definition of the
Benchmark and Benchmark
Methodology;b) Determination and Dissemination:
Accurate and timely compilation andpublication and distribution of the
Benchmark;1. Overall
Responsibilityof theAdministrator

2. Oversight ofThird Parties

3

CME Group Benchmark Administration
Limited (CBA) Comment
CBA is the Administrator for the CME Term
SOFR Reference Rates with primary
responsibility for all aspects of the
Benchmark determination process.
The CME Term SOFR Reference Rates
Benchmark Methodology
has been approved by the CME Term SOFR
Reference Rates Oversight Committee.
Details of the Methodology are available on
the CME Term SOFR website.
The benchmark is calculated each business
day and published on the CME Groupwebsite and distributed through CME Groupdata services. The CME Term SOFR
Reference Rates are published eachBusiness Day, in accordance with therecommended SIFMA US Holiday Schedule.
Subscribers to the benchmark will be alertedof any delays through the CME Globex
system.

c) Operation: Ensuring appropriate
transparency over significant decisions
affecting the compilation of the
Benchmark and any related
The CME Term SOFR Reference Rates are
determination process, including
calculated in accordance with the approved
contingency measures in the event of
Methodology (see 1(a) above), which
absence of or insufficient inputs, market
includes applicable contingency measures.
stress or disruption, failure of criticalinfrastructure, or other relevant factors;
andd) Governance: Establishing credible
CBA has established an independentand transparent governance, oversightOversight Committee to review theand accountability procedures for thebenchmark definition and provides
Benchmark determination process,challenge on all aspects of the benchmark
including an identifiable oversightdetermination process. The terms offunction accountable for thereference of the Oversight Committee aredevelopment, issuance and operation ofavailable on the CBA website.
the Benchmark.
Where activities relating to the Benchmark determination process are undertaken by
third parties - for example collection of inputs, publication or where a third party acts as
Calculation Agent - the Administrator should maintain appropriate oversight of such third
parties. The Administrator (and its oversight function) should consider adopting policies
and procedures that:a) Clearly define and substantiate
CBA has in place Service level Agreements
through appropriate writtenwith CME Inc. for the provision ofarrangements the roles and obligations
Calculation Agent and Benchmarkof third parties who participate in thedissemination services relating to the CME
Benchmark determination process, as
Term SOFR Reference Rates. Those
well as the standards the Administrator
agreements include details of required
expects these third parties to comply
standards, and obligations to maintainwith;minimum service levels.

© 2023 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceb) Monitor third parties’ compliance withthe standards set out by the
Administrator;c) Make Available to Stakeholders andany relevant Regulatory Authority theidentity and roles of third parties who
participate in the Benchmark
determination process; andd) Take reasonable steps, including
contingency plans, to avoid undue
operational risk related to theparticipation of third parties in the
Benchmark determination process.

This Principle does not apply in relation
to a third party from whom an
Administrator sources data if that third
party is a Regulated Market or
Exchange.

3. Conflicts ofInterest for
Administrators

To protect the integrity andindependence of Benchmark
determinations, Administrators should
document, implement and enforce
policies and procedures for theidentification, disclosure, management,
mitigation or avoidance of conflicts ofinterest. Administrators should review
and update their policies and procedures
as appropriate.
Administrators should disclose any
material conflicts of interest to theirusers and any relevant Regulatory
Authority, if any.
The framework should be appropriately
tailored to the level of existing or
potential conflicts of interest identified
and the risks that the Benchmark posesand should seek to ensure:4© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
CBA monitors third parties through key
performance indicators and regularstakeholder meetings.
CME Inc. is the calculation agent of the
CME Term SOFR Reference Rates. CME
Inc. is a distribution agent of the
Benchmark.
CBA has business continuity plans in place
for all aspects of the CME Term SOFR
Reference Rates, including contingency
measures for IT system failures and issues
associated with dissemination of the
Benchmark. The Service Level Agreementwith CME Inc. contains provisions designed
to mitigate operational risk.
The CME Term SOFR Reference Rates
uses data sourced from CME Inc., a
Designated Contract Market (DCM)
regulated by the Commodity Futures
Trading Commission (CFTC).
CME Inc. is registered as a Recognised
Overseas Investment Exchange (ROIE),
recognised by the FCA (UK) under PartXVIII of the Financial Services and Markets
Act 2000 (FSMA).
CBA has policies and procedures for the
avoidance of conflicts of interest in thedetermination of benchmarks. These
policies are approved by the board andperiodically reviewed.
All entities within CME Group are required tomaintain and operate effective
organisational and administrative
arrangements with a view to taking all
reasonable steps to identify, monitor andmanage all conflicts of interest including
conflicts between itself and its customers.
CBA’s board members must abide by the
CME Group Conflicts of Interest Policy,
which sets out requirements governing,among other things, the disclosure ofconflicts by board members and thesituations in which board members areprohibited from participating in decisions of
the board.
CME Group employees are also subject to
the CME Conflicts of Interest Policy andPersonal Trading Policy, Confidentiality andData Protection Policy and Gifts andEntertainment Policy.
CME Group’s employment contracts requirethat employees comply with all relevant
policies and procedures.

IOSCO
Principle

IOSCO Principles - Detailed Guidancea) Existing or potential conflicts ofinterest do not inappropriately influence
Benchmark determinations;b) Personal interests and connections orbusiness connections do notcompromise the Administrator’s
performance of its functions;c) Segregation of reporting lines within
the Administrator, where appropriate, toclearly define responsibilities andprevent unnecessary or undisclosed
conflicts of interest or the perception ofsuch conflicts;d) Adequate supervision and sign-off byauthorised or qualified employees prior
to releasing Benchmark determinations;e) The confidentiality of data, informationand other inputs submitted to, received
by or produced by the Administrator,
subject to the disclosure obligations of
the Administrator;f) Effective procedures to control theexchange of information between staff
engaged in activities involving a risk of
conflicts of interest or between staff andthird parties, where that information may
reasonably affect any Benchmark
determinations; andg) Adequate remuneration policies that
ensure all staff who participate in the
Benchmark determination are notdirectly or indirectly rewarded or
incentivised by the levels of the
Benchmark.

5© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
Any violation of the Conflicts of Interest
Policy may result in disciplinary action
against the board member or employee.
The Administrator’s Compliance Monitoringteam is responsible for ensuring that the
Conflicts of Interest Management Policy isadhered to. This is conducted via periodic
reviews of business areas/units.
CME Group staff involved in the productionof benchmarks are prohibited from having
direct investment exposure to thosebenchmarks. Members of the OversightCommittee are required to disclose any
conflicts of interest.
CBA has policies and procedures in place to
avoid conflicts of interest. These include
obligations on CME Group staff to avoid anddeclare conflicts of interest.
CBA is an authorised benchmark
administrator, supervised by the FCA(UK)with clear segregation of reporting lines.
Access to data within CME Group is strictly
controlled by the “Data Access Request”
process, and data will not be released or
shared with a member of staff unless it isrequired in the performance of their role.
In combination with the differentiatedreporting lines, this provides a strong control
framework that prevents conflicts of interest,or the perception of such conflicts.
Authorised and qualified staff supervise theprocess of the release of the Benchmark
determinations. Any issues involved in thecalculation or dissemination of the
Benchmark by CME Inc. are escalated to
the CBA Benchmark Team.
CME Group implements group-wide policies
and procedures to ensure the confidentialityof data and information.

CME Group staff are subject to mandatory
annual compliance training and certification,
which includes procedures on control of
exchange of information.

CME Group compensation andremuneration ensures salaries and benefits
are not linked to the value of the calculated
Benchmarks.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

An Administrator’s conflict of interest
framework should seek to mitigate
existing or potential conflicts created byits ownership structure or control, or due
to other interests the Administrator’s
staff or wider group may have in relation
to Benchmark determinations. To thisend, the framework should:

4. Control
Framework for
Administrators

6a) Include measures to avoid, mitigate ordisclose conflicts of interest that may
exist between its Benchmark
determination business (including all
staff who perform or otherwise
participate in Benchmark production
responsibilities), and any other businessof the Administrator or any of its
affiliates; andb) Provide that an Administrator
discloses conflicts of interest arisingfrom the ownership structure or thecontrol of the Administrator to its
Stakeholders and any relevant
Regulatory Authority in a timely manner.
An Administrator should implement anappropriate control framework for theprocess of determining and distributing
the Benchmark. The control framework
should be appropriately tailored to themateriality of the potential or existing
conflicts of interest identified, the extent
of the use of discretion in the Benchmark© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
CME Group has in place multiple controlsthat seek to mitigate or control potential
conflicts created by its ownership structure.
These include a policy and procedures to
identify potential conflicts and seeking to
remove, control or mitigate those.
Above this, CME Group maintains
confidentiality and access control policies
and controls which are established to permit
persons who need to know information touse and have access to it.
CBA operational staff have separate
reporting lines to those working within theexchanges/MTFs that supply the transaction
data for the benchmark calculation.
In addition, access and use of CME Group
Confidential or Highly Sensitive data isstrictly limited to employees that have abusiness reason to access and/or use theinformation.
If a department, team or employee requires
access to CME Group Confidential or CME
Group Highly Sensitive data for a new
business purpose, requests are submitted
through the Data Access Request (“DAR”)
process for review and consideration.
More details and examples of data requests
that fall into this process can be found in the
CME Group Confidentiality and Data
Protection Policy which can be found on the
CME Group website.

As set out above, CME Group maintains
firm wide policies and procedures to mitigate
and avoid a conflict of interest.

CBA is supervised by the FCA (UK) and will
make available details of any conflict ofinterest available to its regulatory authority
upon request.

CBA has implemented a Risk and Control(R&C) Framework consistent with CMEGroup policies and procedures, with certain
details outlined below. The R&C Framework
is reviewed annually.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

setting process and to the nature of
Benchmark inputs and outputs. The
control framework should be
documented and available to relevant
Regulatory Authorities, if any. A
summary of its main features should be
Published or Made Available to
Stakeholders.
This control framework should be
reviewed periodically and updated as
appropriate. The framework should
address the following areas:a) Conflicts of interest in line with
Principle 3 on conflicts of interests;b) Integrity and quality of Benchmark
determination:i. Arrangements to ensure that thequality and integrity of Benchmarks ismaintained, in line with principles 6 to 15
on the quality of the Benchmark andMethodology;
ii. Arrangements to promote the integrityof Benchmark inputs, including adequate
due diligence on input sources;iii. Arrangements to ensureaccountability and complaints
mechanisms are effective, in line withprinciples 16 to 19; andiv. Providing robust infrastructure,policies and procedures for the
management of risk, including
operational risk.

c) Whistleblowing mechanism:
Administrators should establish aneffective whistleblowing mechanism tofacilitate early awareness of any
potential misconduct or irregularities that
may arise. This mechanism should allow

7© 2023 CME Group. All rights reserved.

CBA has implemented a conflicts of interest
policy in line with IOSCO Principle 3, asdetailed in the relevant section above.
i. The CME Term SOFR Reference Rates
are calculated in accordance with theapproved Methodology. Any changes tothe approved Methodology require
additional approval by the OversightCommittee.
ii. The calculation is based on a waterfall
including transactions and executableorders from the regulated futures market
operated by CME. CBA has performed
due diligence on the depth and liquidityof the market and is satisfied as to theadequacy of its controls, and that thetransactions and executable orders on
the market are sufficient to calculate the
CME Term SOFR Reference Rates.
iii. CME Group has in place a complaints
procedure which is published on the
CME Group website. The procedures
take account of the requirements for a
Benchmark Administrator to receive anddeal appropriately with complaints that
relate to the calculation of thebenchmark. CBA is subject to audit
reviews and has regulatory obligations,aligned with Principles 16 to 19.
CBA has implemented a Risk and Control
Framework for the management of its
benchmarks, which lists categories of risk
and controls to mitigate against them. Thisis part of the CME Group Enterprise Risk
framework.
CME Group maintains internal policies andprocedures for the reporting of actual or
perceived misconduct.

IOSCO
Principle

IOSCO Principles - Detailed Guidancefor external reporting of such cases
where appropriate.

d) Expertise:i. Ensuring Benchmark determinations
are made by personnel who possess therelevant levels of expertise, with aprocess for periodic review of theircompetence; and5. Internal
Oversight

8

ii. Staff training, including ethics andconflicts of interest training, andcontinuity and succession planning for
personnel.
Where a Benchmark is based on
Submissions: Administrators should
promote the integrity of inputs by:a) Ensuring as far as possible that theSubmitters comprise an appropriately
representative group of participants
taking into consideration the underlying
Interest measured by the Benchmark;b) Employing a system of appropriate
measures so that, to the extent possible,
Submitters comply with the Submission
guidelines, as defined in the Submitter
Code of Conduct and the Administrators’
applicable quality and integrity standards
for Submission;c) Specifying how frequently
Submissions should be made andspecifying that inputs or Submissions
should be made for every Benchmark
determination; andd) Establishing and employing measures
to effectively monitor and scrutinise
inputs or Submissions. This should
include pre-compilation or
pre-publication monitoring to identify andavoid errors in inputs or Submissions, aswell as ex-post analysis of trends andoutliers.
Administrators should establish an
oversight function to review and provide
challenge on all aspects of the
Benchmark determination process. Thisshould include consideration of thefeatures and intended, expected or
known usage of the Benchmark and the© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
In addition, CBA allows for external
whistleblowing throughinternationalcompliance@cmegroup.com.
All complaints related to CBA are reviewed
by Compliance and reported to OversightCommittee.
i. Calculation of Benchmarks are performedby personnel who possess the relevant
levels of experience and expertise, including
by performing similar functions in relation toother Benchmarks and operating CME’s
market data business. CME Group employs
an annual performance review policy.
ii. CME Group requires staff to undergo
mandatory annual compliance training,
including conflicts of interest and ethics.
N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.
N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

A CME Term SOFR Reference Rates
Oversight Committee has been establishedto provide challenge on all aspects of thebenchmark determination process.
Terms of Reference for the committee are inplace defining committee membership andresponsibilities. Oversight Committee

IOSCO
Principle

IOSCO Principles - Detailed Guidancemateriality of existing or potential
conflicts of interest identified.
The oversight function should be carriedout either by a separate committee, orother appropriate governancearrangements. The oversight function
and its composition should beappropriate to provide effective scrutinyof the Administrator. Such oversightfunction could consider groups ofBenchmarks by type or asset class,provided that it otherwise complies withthis Principle.
An Administrator should develop andmaintain robust procedures regarding its
oversight function, which should be
documented and available to relevant
Regulatory Authorities, if any. The mainfeatures of the procedures should be
Made Available to Stakeholders. These
procedures should include:a) The terms of reference of theoversight function;b) Criteria to select members of theoversight function;c) The summary details of membershipof any committee or arrangement
charged with the oversight function,
along with any declarations of conflictsof interest and processes for election,
nomination or removal and replacementof committee members.

9© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
members are required to provide conflicts ofinterest disclosures.
The CME Term SOFR Reference Rates
Oversight Committee comprises CME
Group and external industry experts with theappropriate expertise to provide challenge
and effective scrutiny of the Administrator.
The committee includes members with awide variety of relevant expertise andincludes independent members plus usersof the benchmark.

CBA has established an independent
Oversight Committee for CME Term SOFR
Reference Rates with clearly defined Termsof Reference.
The Oversight Committee Terms ofReference, is available on the CBA website.
The Oversight Committee membershipselection is outlined in the OversightCommittee Terms of Reference.

The process for the nomination, removal
and replacement of committee members isoutlined in the Terms of Reference.
Members of the committee are required todisclose any real or potential conflicts ofinterest.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

The responsibilities of the oversightfunction include:
i. The Oversight Committee will review theMethodology on an annual basis.

a) Oversight of the Benchmark design:i. Periodic review of the definition of the
Benchmark and its Methodology;
ii. Taking measures to remain informed
about issues and risks to the
Benchmark, as well as commissioning
external reviews of the Benchmark (asappropriate);iii. Overseeing any changes to the
Benchmark Methodology, including
assessing whether the Methodology
continues to appropriately measure theunderlying Interest, reviewing proposed
and implemented changes to the
Methodology, and authorising orrequesting the Administrator toundertake a consultation with
Stakeholders where known or its
Subscribers on such changes as per
Principle 12; andiv. Reviewing and approving proceduresfor termination of the Benchmark,including guidelines that set out how theAdministrator should consult with
Stakeholders about such cessation.

10ii. General issues and risks to the
Benchmark will be escalated, as
appropriate, to the Oversight Committee and
CBA board for discussion and review.
Meetings of the Oversight Committee andthe CBA board involve presentations on theperformance of the Benchmark. In
exercising its duties as an oversightfunction, CBA will provide all necessary
documents and information to those
governance bodies. The CBA board canrequest external review as appropriate andwill be subject to internal audit reviews on aregular basis.
iii. The Oversight Committee will review anychanges to the Benchmark Methodology. In
addition, the annual review of the
Methodology ensures the continued integrityof the Benchmark determinations. Where
appropriate, the Oversight Committee may
request the Administrator to consult with themarket on material changes to the
Benchmark Methodology.
iv. CBA has in place, in the Methodology
document, procedures (including
consultation with Stakeholders) that address
the possible cessation of the Benchmark
due to conditions resulting in the Benchmark
no longer representing its intended interest.
Details of any cessation process will be
published to the CME Website.

b) Oversight of the integrity ofBenchmark determination and control
framework:
i. Overseeing the management andoperation of the Benchmark, including
activities related to Benchmark
determination undertaken by a third
party;

CBA’s control framework encompasses:
i. Service Level Agreements to maintainappropriate oversight of the CME Inc. input
data collection, Calculation Agent andpublication and distribution services.

ii. Considering the results of internal andexternal audits, and following up on theimplementation of remedial actions
highlighted in the results of these audits;andiii. The review and approval of non-standard
procedures used in the Benchmark
determination process. Expert Judgement is
not used in the determination of CME Term
SOFR.

© 2023 CME Group. All rights reserved.

ii. The review of audit findings and status of
any required remedial actions.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceiii. Overseeing any exercise of Expert
Judgment by the Administrator andensuring Published Methodologies havebeen followed.
Where conflicts of interests may arisein the Administrator due to its
ownership structures or controllinginterests, or due to other activities
conducted by any entity owning orcontrolling the Administrator or by
the Administrator or any of its
affiliates: the Administrator should
establish an independent oversightfunction which includes a balanced
representation of a range of
Stakeholders where known, Subscribers
and Submitters, which is chosen tocounterbalance the relevant conflict ofinterest.
Where a Benchmark is based on
Submissions: the oversight function
should provide suitable oversight andchallenge of the Submissions by:a)Overseeing and challenging thescrutiny and monitoring of inputs or
Submissions by the Administrator. This
could include regular discussions of
inputs or Submission patterns, defining
parameters against which inputs or
Submissions can be analysed, or
querying the role of the Administrator inchallenging or sampling unusual inputs
or Submissions;b) Overseeing the Code of Conduct for
Submitters;

6. Benchmark
Design11c) Establishing effective arrangements toaddress breaches of the Code of
Conduct for Submitters; andd) Establishing measures to detect
potential anomalous or suspicious
Submissions and in case of suspicious
activities, to report them, as well as any
misconduct by Submitters of which it
becomes aware to the relevant
Regulatory Authorities, if any.
The design of the Benchmark shouldseek to achieve, and result in an
accurate and reliable representation of
the economic realities of the Interest it
seeks to measure, and eliminate factorsthat might result in a distortion of the© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment

CBA has established an independent
Oversight Committee consisting of
Stakeholders, Subscribers and industry
experts.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.
N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.
N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

The CME Term SOFR Reference Rates
provides forward looking estimates ofovernight SOFR. The Benchmark design isbased on recognised research published by
the Federal Reserve Bank of New York.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

price, rate, index or value of the
Benchmark.
Benchmark design should take into account the following generic non-exclusive
features, and other factors should be considered, as appropriate to the particularInterest:
The CME Term SOFR Reference Rates has
been designed to ensure that theBenchmark is representative of its
underlying interest and that it remains
robust.
The calculation methodology is based on 14
observation windows of 30-minutes each,from 7:00am CT to 2:00pm CT. During eachwindow, a VWAP of executed transactionsa) Adequacy of the sample used toin SOFR Future contracts and snapshots ofrepresent the Interest;
their executable bid-ask are taken to
determine a Settlement Price for eachobservation window. Those are thenweighted in the final benchmarks’calculation.
Once the Overnight Index Swaps (OIS)
market meets a relative volume thresholdwith the SOFR Futures market, OIS will also
be included in the calculation of thebenchmarks.
Trading in CME SOFR futures, which
underpin the CME Term SOFR Reference
Rates, has grown to above 1.9 million
contracts (over $2.6 trillion in notionalb) Size and liquidity of the relevant
equivalent principal value). In addition to themarket (for example whether there isactual volume of transactions, CME SOFR
sufficient trading to provide observable,
futures markets show consistently
transparent pricing);
actionable quotes in a regulated central limit
order book for significant proportions of the
trading day, supported by market makers
that have committed to streaming quotes forthe majority of the relevant trading hours.
CME Term SOFR Reference Rates arelicensed for use in Cash Market Financial
Products and OTC Derivative Products. As
at June 2023, there are approximately $4tnc) Relative size of the underlying market
of Business Loans facilities outstanding
in relation to the volume of trading in the(Source: Refinitiv Deals Screener) whichmarket that references the Benchmark;reference CME Term SOFR. Since thelaunch of CME Term SOFR, there have also
been approximately $1tn of OTC derivatives
written (Source SBSDRView from Clarus)
which reference the benchmark.
CME SOFR futures have been used by over3000 market participants since launch ind) The distribution of trading among
May 2018. All customer segments are
Market Participants (market
represented including proprietary trading
concentration);groups, banks, hedge funds and asset
managers.

12© 2023 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidancee) Market dynamics (e.g., to ensure thatthe Benchmark reflects changes to theassets underpinning a Benchmark).
The data used to construct a Benchmark
determination should be sufficient toaccurately and reliably represent theInterest measured by the Benchmark
and should:a) Be based on prices, rates, indices orvalues that have been formed by thecompetitive forces of supply anddemand in order to provide confidence
that the price discovery system isreliable; and7. DataSufficiency

13b) Be anchored by observabletransactions entered into at arm’s length
between buyers and sellers in themarket for the Interest the Benchmark
measures in order for it to function as acredible indicator of prices, rates, indicesor values.
This Principle requires that a Benchmark
be based upon (i.e., anchored in) an
active market having observable BonaFide, Arms-Length Transactions. This
does not mean that every individual
Benchmark determination must be
constructed solely of transaction data.
Provided that an active market exists,
conditions in the market on any given
day might require the Administrator torely on different forms of data tied toobservable market data as an adjunct or
supplement to transactions. Depending
upon the Administrator’s Methodology,
this could result in an individual
Benchmark determination being based
predominantly, or exclusively, on bids
and offers or extrapolations from priortransactions. This is further clarified in
Principle 8.
Provided that subparagraphs (a) and (b)above are met, Principle 7 does notpreclude Benchmark Administrators from© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
CME SOFR futures prices provide pricediscovery for the rate at which SOFR assets
and liabilities can be hedged. This
relationship ensures that the method usedreflects the market’s current expectations of
future SOFR rates and that the Benchmark
will reflect those expectations.
The CME Term SOFR Reference Rates
Benchmark is based on transactions in the
CME SOFR Futures contracts, which
accurately and reliably represents the
economic reality the benchmark is intended
to measure.
The input data used in the calculation of the
CME Term SOFR Reference Rates is fromCME Group’s DCM.
The CME Term SOFR Reference Rates arecalculated using observable data in the
CME SOFR Futures contract, which istraded on a regulated market consisting ofBona Fide, Arms- Length Transactions
between buyers and sellers.
The input data used in the calculation of the
CME Term SOFR Reference Rates uses awaterfall of transaction and executable
bid/offer data, consistent with Principle 8.
This is explained in the Methodology.

The CME Term SOFR Reference Rates
Benchmark is based on transactions in the
CME SOFR Futures contracts, which
accurately and reliably represents the
economic reality the benchmark is intended
to measure.
The input data used in the calculation of the
CME Term SOFR Reference Rates is fromCME Group’s DCM.

IOSCO
Principle

8. Hierarchy ofData Inputs

14

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

using executable bids or offers as ameans to construct Benchmarks whereanchored in an observable market
consisting of Bona Fide, Arms-Lengthtransactions.
This Principle also recognizes thatvarious indices may be designed tomeasure or reflect the performance of arule-based investment strategy, thevolatility or behaviour of an index or
market or other aspects of an active
market. Principle 7 does not preclude
the use of non-transactional data forsuch indices that are not designed torepresent transactions and where thenature of the index is such that
non-transactional data is used to reflect
what the index is designed to measure.
For example, certain volatility indices,which are designed to measure theexpected volatility of an index of
securities transactions, rely on
non-transactional data, but the data isderived from and thus “anchored” in an
actual functioning securities or options
market.
An Administrator should establish and Publish or Make Available clear guidelines
regarding the hierarchy of data inputs and exercise of Expert Judgment used for thedetermination of Benchmarks. In general, the hierarchy of data inputs should include:a) Where a Benchmark is dependent
upon Submissions, the Submitters’ own
N/A – Submissions are not used in the
concluded arms-length transactions in
calculation of the CME Term SOFR
the underlying interest or related
Reference Rates.
markets;
Data inputs used in the calculation of the
CME Term SOFR Reference Rates includesb) Reported or observed concluded
concluded Arm’s-length Transactions.
Arm’s-length Transactions in the
The Published Methodology provides details
underlying interest;
the hierarchy of data inputs used in thedetermination of the CME Term SOFR
Reference Rates Benchmark.
N/A – Reported or observed transactions inc) Reported or observed concluded
related markets are not used in the
Arm’s-length Transactions in related
calculation of the CME Term SOFR
markets;
Reference Rates.
Data inputs used in the calculation of CMEd) Firm (executable) bids and offers; and Term SOFR Reference Rates includes Firm
(executable) bids and offers.
N/A – Expert judgement and other markete) Other market information or Expert
information is not used in the calculation of
Judgments.
the CME Term SOFR Reference Rates.
Provided that the Data Sufficiency
The CME Term SOFR Reference Rates
Principle is met (i.e., an active market
Methodology details the Administrator’s
exists), this Principle is not intended to© 2023 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
restrict an Administrator’s flexibility touse inputs consistent with the
Administrator’s approach to ensuring thequality, integrity, continuity and reliabilityof its Benchmark determinations, as set
out in the Administrator’s Methodology.
The Administrator should retain flexibility
to use the inputs it believes areappropriate under its Methodology toensure the quality and integrity of its
Benchmark. For example, certain
Administrators may decide to rely uponExpert Judgment in an active albeit low
liquidity market, when transactions may
not be consistently available each day.
IOSCO also recognizes that there might
be circumstances (e.g., a low liquidity
market) when a confirmed bid or offer
might carry more meaning than anoutlier transaction. Under thesecircumstances, non-transactional datasuch as bids and offers andextrapolations from prior transactions
might predominate in a given
Benchmark determination.
The Administrator should describe andpublish with each Benchmark
determination, to the extent reasonable
without delaying an Administrator
publication deadline:

9.
Transparencyof Benchmark
Determinations15a) A concise explanation, sufficient tofacilitate a Stakeholder’s or Market
Authority’s ability to understand how thedetermination was developed, including,at a minimum, the size and liquidity ofthe market being assessed (meaning thenumber and volume of transactions
submitted), the range and averagevolume and range and average of price,
and indicative percentages of each typeof market data that have been
considered in a Benchmark
determination; terms referring to thepricing Methodology should be included(i.e., transaction-based, spread-based orinterpolated/extrapolated);© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
approach to ensure the quality, integrity,
continuity and reliability of the Benchmark.

The CME Term SOFR Reference Rates
benchmark is a daily set of forward-looking
interest rate estimates, calculated andpublished for 1-month, 3-month, 6-monthand 12-month tenors.
The calculation methodology is based on 14
observation windows of 30-minutes each,from 7:00am CT to 2:00pm CT. During eachwindow, a VWAP of executed transactions
in SOFR Future contracts and snapshots of
their executable bid-ask are taken to
determine a Settlement Price for eachobservation window. Those are thenweighted in the final benchmarks’calculation, which is based on the research
paper published by the Federal Reserve
Bank of New York.
Once the Overnight Index Swaps (OIS)
market meets a relative volume thresholdwith the SOFR Futures market, OIS will also
be included in the calculation of thebenchmarks.
The publication of CME Term SOFR
Reference Rates will occur on the next
Business Day following the Business Day
during which futures data sampling takes

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment
place, at 5.00am CT (6.00am ET, typically
11.00am GMT).
The calculation of the Benchmark relies on
CME SOFR Futures contracts, which
underpin the CME Term SOFR Reference
Rates, has grown to above 1.9 million
contracts (over $2.6 trillion in notional
equivalent principal value). In addition to theactual volume of transactions, CME SOFR
futures markets show consistently
actionable quotes in a regulated central limit
order book for significant proportions of the
trading day, supported by market makers
that have committed to streaming quotes forthe majority of the relevant trading hours.

10. Periodic
Reviewb) A concise explanation of the extent towhich and the basis upon which Expert
Judgment if any, was used inestablishing a Benchmark determination.
The Administrator should periodicallyreview the conditions in the underlying
Interest that the Benchmark measures todetermine whether the Interest has
undergone structural changes that might
require changes to the design of the
Methodology. The Administrator also
should periodically review whether theInterest has diminished or is
non-functioning such that it can nolonger function as the basis for acredible Benchmark.
The Administrator should Publish or
Make Available a summary of such
reviews where material revisions havebeen made to a Benchmark, including
the rationale for the revisions.

11.Content oftheMethodology

16

The Administrator should document andPublish or Make Available theMethodology used to make Benchmark
determinations. The Administrator
should provide the rationale for adopting
a particular Methodology. The Published
Methodology should provide sufficientdetail to allow Stakeholders tounderstand how the Benchmark is
derived and to assess its
representativeness, its relevance toparticular Stakeholders, and its
appropriateness as a reference forfinancial instruments.
At a minimum, the Methodology should
contain:© 2023 CME Group. All rights reserved.

N/A – Expert judgement is not used in thecalculation of the CME Term SOFR
Reference Rates.

CBA monitors the underlying futures market
to ensure the integrity of the CME Term
SOFR Reference Rates. The OversightCommittee will review the performance of
the Benchmark in accordance with its termsof reference, to ensure its credibility.

Changes to the CME Term SOFR Reference
Rates Methodology will be reviewed by theOversight Committee and as appropriate
may request the Administrator to consult
with relevant Stakeholders and the wider
market on any material changes.

CBA will Publish and Make Available theMethodology of the CME Term SOFR
Reference Rates.

IOSCO
Principle

IOSCO Principles - Detailed Guidancea) Definitions of key terms;b) All criteria and procedures used todevelop the Benchmark, including input
selection, the mix of inputs used toderive the Benchmark, the guidelinesthat control the exercise of Expert
Judgment by the Administrator, priority
given to certain data types, minimum
data needed to determine a Benchmark,and any models or extrapolation
methods;c) Procedures and practices designed topromote consistency in the exercise ofExpert Judgment between Benchmark
determinations;d) The procedures which govern
Benchmark determination in periods ofmarket stress or disruption, or periods
where data sources may be absent (e.g.,theoretical estimation models);e) The procedures for dealing with error
reports, including when a revision of a
Benchmark would be applicable;f) Information regarding the frequency
for internal reviews and approvals of the
Methodology. Where applicable, thePublished Methodologies should also
include information regarding theprocedures and frequency for external
review of the Methodology;g) The circumstances and procedures
under which the Administrator willconsult with Stakeholders, as
appropriate; andh) The identification of potential
limitations of a Benchmark, including its
operation in illiquid or fragmented
markets and the possible concentrationof inputs.
Where a Benchmark is based on
Submissions, the additional Principle
also applies:17© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
Key terms are defined in the published
Methodology.

The criteria and hierarchy of inputs aredescribed in the published Methodology
document.

N/A - Expert Judgement is not used in thecalculation of the CME Term SOFR
Reference Rates.
The procedures governing the Benchmark
determinations in times of stress and market
disruption are included in the published
Methodology.
Error reporting and republication procedures
are included in the published Methodology
document. The Administrator will notify
clients of instances where a re-publication isrequired, including via the publication of anotice to the CME Website.
The frequency of review is included in the
published Methodology. Any requiredchanges to the Methodology will be inaccordance with Principle 12.
The published Methodology document
details the circumstances under which CBA
will consult with Stakeholders and themarket.
The published Methodology details how the
CME Term SOFR Reference Rates shall be
determined in illiquid markets.
N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

IOSCO
Principle

12.Changes totheMethodology

IOSCO Principles - Detailed Guidance
The Administrator should clearly
establish criteria for including andexcluding Submitters. The criteria should
consider any issues arising from thelocation of the Submitter, if in a different
jurisdiction to the Administrator. These
criteria should be available to any
relevant Regulatory Authorities, if any,and Published or Made Available to
Stakeholders. Any provisions related tochanges in composition, including notice
periods should be made clear.
An Administrator should Publish or Make
Available the rationale of any proposedmaterial change in its Methodology, andprocedures for making such changes.
These procedures should clearly define
what constitutes a material change, andthe method and timing for consulting or
notifying Subscribers (and other
Stakeholders where appropriate, taking
into account the breadth and depth of
the Benchmark’s use) of changes.
Those procedures should be consistent
with the overriding objective that an
Administrator must ensure the continued
integrity of its Benchmark
determinations. When changes areproposed, the Administrator should
specify exactly what these changes
entail and when they are intended toapply.
The Administrator should specify howchanges to the Methodology will be
scrutinised, by the oversight function.
The Administrator should develop
Stakeholder consultation procedures inrelation to changes to the Methodologythat are deemed material by theoversight function, and that areappropriate and proportionate to thebreadth and depth of the Benchmark’s
use and the nature of the Stakeholders.
Procedures should:a) Provide advance notice and a clear
timeframe that gives Stakeholders
sufficient opportunity to analyse andcomment on the impact of suchproposed material changes, having
regard to the Administrator’s

18© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment

N/A – Submissions are not used in thecalculation of the CME Term SOFR
Reference Rates.

CBA will consult with Stakeholders and themarket with regards to material changes to
the CME Term SOFR Reference Rates
Benchmark Methodology.

The CME Term SOFR Reference Rates
Oversight Committee periodically reviews
the Methodology to ensure it continues torepresent its underlying interest. Anychanges will be specified and theirimplementation timeline explained.
CBA may seek to revise the CME Term
SOFR Reference Rates Benchmark
Methodology. Any changes to the
Benchmark Methodology are presented to
the Oversight Committee for review.
The Benchmark Methodology provides that
CBA will consult with Stakeholders onmaterial changes to the Methodology.
Consultation will ordinarily consist of
publishing of proposals, providing
Stakeholders with a reasonable time torespond and publishing actions as a resultof the consultation. In addition, theOversight Committee can request theAdministrator to consult on any change asappropriate.
Material changes to the Benchmark
Methodology will involve Stakeholder
consultation that provides an opportunity toanalyse and comment on the impact of
those changes.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
assessment of the overall
circumstances; andb) Provide for Stakeholders’ summarycomments, and the Administrator’ssummary response to those comments,
to be made accessible to all
Stakeholders after any given
consultation period, except where thecommenter has requested
confidentiality.

CME Group Benchmark Administration
Limited (CBA) Comment

CBA will make available Stakeholders’summary comments and responses on
consultations regarding a material change to
the CME Term SOFR Reference Rates
Benchmark Methodology as appropriate.
The Administrator constantly monitors therepresentativeness of the Benchmark. If thebenchmark is deemed to be
unrepresentative of the underlying economic
reality due to paucity of input data orsystemic changes in the related markets,
the Administrator will engage the OversightCommittee, at the earliest opportunity.

13.Transition

Administrators should have clear written
policies and procedures, to address theneed for possible cessation of a
Benchmark, due to market structurechange, product definition change, or
any other condition which makes the
Benchmark no longer representative of
its intended Interest. These policies andprocedures should be proportionate to
the estimated breadth and depth ofcontracts and financial instruments thatreference a Benchmark and theeconomic and financial stability impactthat might result from the cessation of
the Benchmark. The Administrator
should take into account the views of
Stakeholders and any relevant
Regulatory and National Authorities indetermining what policies andprocedures are appropriate for aparticular Benchmark.

These written policies and proceduresshould be Published or Made Available
to all Stakeholders.
Administrators should encourage
Subscribers and other Stakeholders who
have financial instruments that reference19© 2023 CME Group. All rights reserved.

The Benchmark Methodology contains
details of the steps that the Administrator
needs to take in order to inform the relevant
Stakeholders.
The Oversight Committee may direct theAdministrator to consult with Stakeholders
and end-users on material changes to the
Benchmark.
The Administrator will publish notice of theconsultation on its website, inviting feedback
from Stakeholders and the wider market.
Notice of a consultation will be posted atleast 1 (one) month prior to the deadline forresponses. The notice will include thedetails of the proposed material change, thetimeline and the rationale for the change.
Findings of the consultation process andproposed changes to the Benchmark
Methodology recommended as a result of
the consultation, will be presented by the
Administrator to the Oversight Committee
for its consideration. Feedback to a
consultation is considered confidential,
however the Administrator will publish an
anonymized summary with its conclusions,as soon as it is practical to do so, but before
implementation of any changes.
The Benchmark Methodology describes theprocedures required for the cessation of the
Benchmark.
The Benchmark Methodology recommends
users of the Benchmark ensure they haveadequate fallback policies and procedures

IOSCO
Principle

IOSCO Principles - Detailed Guidancea Benchmark to take steps to make surethat:a) Contracts or other financial
instruments that reference a Benchmark,have robust fall-back provisions in theevent of material changes to, or
cessation of, the referenced Benchmark;andb) Stakeholders are aware of thepossibility that various factors, including
external factors beyond the control of the
Administrator, might necessitate materialchanges to a Benchmark.
Administrators’ written policies andprocedures to address the possibility ofBenchmark cessation could include thefollowing factors, if determined to bereasonable and appropriate by the
Administrator:a) Criteria to guide the selection of acredible, alternative Benchmark such as,
but not limited to, criteria that seek tomatch to the extent practicable theexisting Benchmark’s characteristics(e.g., credit quality, maturities andliquidity of the alternative market),differentials between Benchmarks, theextent to which an alternative
Benchmark meets the asset/liability
needs of Stakeholders, whether therevised Benchmark is investable, theavailability of transparent transaction
data, the impact on Stakeholders andimpact of existing legislation;b) The practicality of maintaining parallel
Benchmarks (e.g., where feasible,
maintain the existing Benchmark for adefined period of time to permit existing
contracts and financial instruments tomature and publish a new Benchmark)in order to accommodate an orderlytransition to a new Benchmark;c) The procedures that the Administrator
would follow in the event that a suitable
alternative cannot be identified;d) In the case of a Benchmark or a tenorof a Benchmark that will be discontinued
completely, the policy defining the periodof time in which the Benchmark willcontinue to be produced in order topermit existing contracts to migrate to analternative Benchmark if necessary; ande) The process by which the
Administrator will engage Stakeholders

20© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Commentin the event of the Benchmark losing its
representativeness, due to changes in theRegulatory Framework and/or market
conditions.

The Benchmark Methodology requires a 6(six) month transition period, in theoccurrence of cessation of the benchmark.
Such transition period is designed to ensurethat the benchmark continues to operate inparallel to any substitute.
During such transition, the Administrator isrequired, by the Benchmark Methodology, toexplore alternative arrangements andadvise Stakeholders, including Regulatorsand end-users, about their findings.
The Administrator will endeavour to identify
alternative benchmarks; however, this might
not always be possible due to Regulations
or market conditions.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
and relevant Market and National
Authorities, as appropriate, in theprocess for selecting and moving
towards an alternative Benchmark,including the timeframe for any suchaction commensurate with the tenors of
the financial instruments referencing theBenchmarks and the adequacy of noticethat will be provided to Stakeholders.
The Administrator should develop
guidelines for Submitters (“Submitter
Code of Conduct”), which should beavailable to any relevant Regulatory
Authorities, if any and Published orMade Available to Stakeholders.
The Administrator should only use inputs
or Submissions from entities which
adhere to the Submitter Code of
Conduct and the Administrator should
appropriately monitor and record
adherence from Submitters. The
Administrator should require Submittersto confirm adherence to the Submitter
Code of Conduct annually and whenevera change to the Submitter Code of
Conduct has occurred.
The Administrator’s oversight function
should be responsible for the continuing
review and oversight of the Submitter
Code of Conduct.
The Submitter Code of Conduct should
address:a)

The selection of inputs;b)
Who may submit data andinformation to the Administrator;c)
Quality control procedures to verify
the identity of a Submitter and any
employee(s) of a Submitter who
report(s) data or information and theauthorization of such person(s) to reportmarket data on behalf of a Submitter;d) Criteria applied to employees of a
Submitter who are permitted to submit
data or information to an Administrator
on behalf of a Submitter;e)
Policies to discourage the interim
withdrawal of Submitters from surveys or
Panels;f)
Policies to encourage Submitters
to submit all relevant data; and14.Submitter
Code of
Conduct
21© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment

N/A – The CME Term SOFR Reference
Rates are not based on Submissions

N/A – The CME Term SOFR Reference
Rates are not based on Submissions

N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A –CME Term SOFR Reference Rates
are not based on Submissions

N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A – The CME Term SOFR Reference
Rates are not based on Submissions
N/A – The CME Term SOFR Reference
Rates are not based on Submissions

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Commentg)
The Submitters’ internal systems
and controls, which should include:i. Procedures for submitting inputs,
including Methodologies to determine
the type of eligible inputs, in line with the
Administrator’s Methodologies;
ii. Procedures to detect and evaluate
suspicious inputs or transactions,
including inter­group transactions, and toensure the Bona Fide nature of such
inputs, where appropriate;
iii. Policies guiding and detailing the useof Expert Judgment, including
documentation requirements;
iv. Record keeping policies;v. Pre-Submission validation of inputs,
and procedures for multiple reviews by
senior staff to check inputs;
vi. Training, including training withrespect to any relevant regulation(covering Benchmark regulation or any
market abuse regime);vii. Suspicious Submission reporting;viii. Roles and responsibilities of key
personnel and accountability lines;
ix. Internal sign off procedures bymanagement for submitting inputs;
x. Whistle blowing policies (in line with
Principle 4); andxi. Conflicts of interest procedures andpolicies, including prohibitions on the
Submission of data from Front Office
Functions unless the Administrator issatisfied that there are adequate internal
oversight and verification procedures for
Front Office Function Submissions ofdata to an Administrator (including
safeguards and supervision to addresspossible conflicts of interests as per
paragraphs (v) and (ix) above), thephysical separation of employees andreporting lines where appropriate, theconsideration of how to identify, disclose,
manage, mitigate and avoid existing or

22© 2023 CME Group. All rights reserved.

N/A – The CME Term SOFR Reference
Rates are not based on Submissions

IOSCO
Principle

15. Internal
Controls over
Data
Collection

16.Complaints
Procedures

23

IOSCO Principles - Detailed Guidance
potential incentives to manipulate orotherwise influence data inputs (whether
or not in order to influence theBenchmark levels), including, without
limitation, through appropriate
remuneration policies and by effectively
addressing conflicts of interest which
may exist between the Submitter’s
Submission activities (including all staff
who perform or otherwise participate in
Benchmark Submission responsibilities),and any other business of the Submitteror of any of its affiliates or any of theirrespective clients or customers.
When an Administrator collects datafrom any external source theAdministrator should ensure that there
are appropriate internal controls over its
data collection and transmission
processes. These controls should
address the process for selecting thesource, collecting the data andprotecting the integrity and confidentialityof the data. Where Administrators
receive data from employees of the
Front Office Function, the Administrator
should seek corroborating data fromother sources.
The Administrator should establish andPublish or Make Available a written
complaints procedures policy, by which
Stakeholders may submit complaints
including concerning whether a specific
Benchmark determination isrepresentative of the underlying Interest
it seeks to measure, applications of the
Methodology in relation to a specific
Benchmark determination(s) and other
Administrator decisions in relation to a
Benchmark determination.
The complaints procedures policy should:a)Permit complaints to be submitted
through a user-friendly complaints
process such as an electronic
Submission process;b)
Contain procedures for receiving
and investigating a complaint madeabout the Administrator’s Benchmark
determination process on a timely andfair basis by personnel who are
independent of any personnel who may
be or may have been involved in thesubject of the complaint, advising thecomplainant and other relevant parties of© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment

CBA has in place an agreement with CME
Inc. regarding the collection of input datafrom the regulated market on which the
futures contracts are traded, andtransmission of input data to CBA, andcontains an obligation to comply with
protocols in relation to the same that protect
the integrity and confidentiality of the input
data.

CBA has in place policies and procedures
for Stakeholders to submit complaints on all
aspects of the Benchmark determination
process. These policies are available on the
CME Group website.

CBA has created an email address(internationalcompliance@cmegroup.com)
to receive and respond to any complaints.
All complaints received will be investigatedby personnel who are independent of any
personnel who may be, or may have been
involved in the subject of the complaint. Any
outcomes are reported back to thecomplainant Stakeholder within areasonable timeframe (proportionate to thenature of the complaint). All records

IOSCO
Principle

IOSCO Principles - Detailed Guidance
the outcome of its investigation within areasonable period and retaining all
records concerning complaints;c)
Contain a process for escalatingcomplaints, as appropriate, to the
Administrator’s governance body; andd) Require all documents relating to acomplaint, including those submitted by
the complainant as well as the
Administrator’s own record, to beretained for a minimum of five years,
subject to applicable national legal or
regulatory requirements.
Disputes about a Benchmarking
determination, which are not formal
complaints, should be resolved by the
Administrator by reference to its
standard appropriate procedures. If acomplaint results in a change in a
Benchmark determination, that should
be Published or Made Available to
Subscribers and Published or Made
Available to Stakeholders as soon as
possible as set out in the Methodology.
The Administrator should appoint an
independent internal or external auditor
with appropriate experience andcapability to periodically review andreport on the Administrator’s adherence
to its stated criteria and with the
Principles. The frequency of audits
should be proportionate to the size andcomplexity of the Administrator’soperations.

17.Audits

18.Audit Trail

24

Where appropriate to the level ofexisting or potential conflicts of interest
identified by the Administrator (except
for Benchmarks that are otherwise
regulated or supervised by a National
Authority other than a relevant
Regulatory Authority), an Administrator
should appoint an independent external
auditor with appropriate experience andcapability to periodically review andreport on the Administrator’s adherence
to its stated Methodology. The frequency
of audits should be proportionate to thesize and complexity of the
Administrator’s Benchmark operations
and the breadth and depth of
Benchmark use by Stakeholders.
Written records should be retained by
the Administrator for five years, subject© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment
concerning complaints are kept for a periodof 5 years.
Complaints will also be reported to theOversight Committee and CBA board.

CME Group maintains a record of allcomplaints for 5 years in accordance with its
regulatory obligations.

Changes to the CME Term SOFR Reference
Rates Benchmark Methodology will bemade in accordance with Principle 12.

CBA is authorised and supervised by the
FCA (UK) and undergoes a regular external
audit in accordance with its regulatory
requirements. External or internal audits canbe requested at any time by the CBA Board,
the Oversight Committee or the internal
audit function.

CME Group retains all records below for aminimum of 5 years.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
to applicable national legal or regulatory
requirements on:a) All market data, Submissions and anyother data and information sources
relied upon for Benchmark
determination;b) The exercise of Expert Judgment
made by the Administrator in reaching a
Benchmark determination;c) Other changes in or deviations fromstandard procedures andMethodologies, including those madeduring periods of market stress or
disruption;d)
The identity of each person
involved in producing a Benchmark
determination; ande)
Any queries and responses
relating to data inputs.
If these records are held by a RegulatedMarket or Exchange the Administrator
may rely on these records forcompliance with this Principle, subject toappropriate written record sharing
agreements.
When a Benchmark is based on
Submissions, the following additional
Principle also applies:
Submitters should retain records for five
years subject to applicable national legal
or regulatory requirements on:a)
The procedures andMethodologies governing theSubmission of inputs;b)
The identity of any other person
who submitted or otherwise generated
any of the data or information provided
to the Administrator;c)Names and roles of individuals
responsible for Submission andSubmission oversight;d) Relevant communications between
submitting parties;e) Any interaction with the Administrator;f) Any queries received regarding data or
information provided to the
Administrator;g)
Declaration of any conflicts ofinterests and aggregate exposures to
Benchmark related instruments;

25© 2023 CME Group. All rights reserved.

CME Group Benchmark Administration
Limited (CBA) Comment

All input data used in the calculation of the
CME Term SOFR Reference Rates areincluded in the record retention policy.
N/A – Expert Judgement is not used todetermine the CME Term SOFR Reference
Rates.
Any deviations from standard procedures
due to market stress or disruption will be
logged and included in the retention policy.
The identity of individuals responsible forthe calculation of the CME Term SOFR
Reference Rates are logged and included in
the record retention policy.
All queries and responses will be logged
and included in the record retention policy.

N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.

IOSCO
Principle

19.
Cooperation
with
Regulatory
Authorities

26

IOSCO Principles - Detailed Guidanceh)Exposures of individual
traders/desks to Benchmark related
instruments in order to facilitate audits
and investigations; andi) Findings of external/internal audits,
when available, related to Benchmark
Submission remedial actions andprogress in implementing them.
Relevant documents, Audit Trails andother documents subject to these
Principles shall be made readily
available by the relevant parties to therelevant Regulatory Authorities incarrying out their regulatory or
supervisory duties and handed overpromptly upon request.

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CME Group Benchmark Administration
Limited (CBA) Comment
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Rates are not based on Submissions.
N/A - The CME Term SOFR Reference
Rates are not based on Submissions.
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