BrokerTec US Treasury Benchmarks
Methodology
CME Group Benchmark Administration Limited
Version 1.0.3
Publication Date: July 1st, 2024

Version Control

2

VERSIONKEY CHANGESAPPROVAL DATE

1.0

Initial version

May 18th, 2021

1.0.1

Minor update to sections 3 & 4

September 7th, 2021

1.0.2

Methodology Review

January 31st, 2023

1.0.3

Methodology Review

June 24th, 2024

© 2024 CME Group. All rights reserved.

Contents
1.
1.1.

Introduction
CME Group and CME Group Benchmark Administration Limited

4
4

1.2.
2.
2.1.
3.
3.1.

Regulatory and IOSCO Compliance
Input Data
Use of Expert Judgement
Calculation Methodology
Target volume

4
5
5
6
6

3.2.

Treasury Benchmarks Price Calculation

6

3.3.
4.
4.1.

Treasury Benchmarks Yield Calculation
Publication and Error Policy
Publication

9
10
10

4.2.

Validation and integrity checks

10

4.3.
5.
5.1.

Error policy
GovernanceOversight Committee

10
11
11

5.2.

Review of the Methodology

11

5.3.

Consultation Process

11

5.4.

Cessation

12

5.5.

Records Retention

12

5.6.

Auditing

12

5.7.

Data Licensing and Distribution

12

5.8.
Complaints Procedures
Appendix I – Key Terms & Definitions
Appendix II – ESG Disclosures
Appendix III – BrokerTec US Treasury Benchmarks Early Close Calendar
2021 Early Close Calendar
2022 Early Close Calendar

3

13
14
15
16
Error! Bookmark not defined.
16© 2024 CME Group. All rights reserved.

1. Introduction
The BrokerTec US Treasury Benchmarks are a suite of benchmarks administered by CME Group Benchmark
Administration Limited (CBA or the Administrator) which provide the volume weighted average prices (VWAP)
and volume weighted average yields (VWAY) for on-the-run US Treasuries. The rates are calculated fourtimes a day (1100 EST, 1500 EST, 1600 EST and 1700 EST) focussing on the 2, 3, 5, 7, 10, 20 and 30 Yearon-the-run US Treasury bonds. The published rates reflect actual transactions and executable orders during
the 15-minute observation window on the BrokerTec US 1 Central Limit Order Book (the BrokerTec CLOB).

1.1. CME Group and CME Group Benchmark Administration Limited
As a leading and diverse derivatives market operator, CME Group is the parent of four U.S.-based designatedcontract markets (“DCMs”): Chicago Mercantile Exchange Inc. (“CME”), Board of Trade of the City of
Chicago, Inc. (“CBOT”), New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchange, Inc.
(“COMEX”) (collectively, the “CME Group Exchanges”). These exchanges offer a wide range of products
available across all major asset classes, including futures and options based on interest rates, equity indexes,
foreign exchange, energy, metals, and agricultural commodities. CME Group offers futures trading throughthe CME Globex® electronic trading platform (“Globex”), fixed income trading via BrokerTec, foreignexchange trading on the EBS platform, and central counterparty clearing services through CME Clearing, adivision of CME.
CBA capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indicesand benchmarks. CME Group Benchmark Administration Limited (CBA) is authorized and supervised by the
UK Financial Conduct Authority (FCA). CBA is the Benchmark Administrator of the BrokerTec US Treasury
Benchmarks Family of Benchmarks, with Chicago Mercantile Exchange Inc. providing calculation agent anddistribution services.

1.2. Regulatory and IOSCO Compliance
The BrokerTec US Treasury Benchmarks is a family of benchmarks, designed on the basis of industry bestpractices and the IOSCO Principles for Financial Benchmarks. This will include but not be limited to thecreation of an oversight committee 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
such as a re-balancing of the constituent components would be announced with a notice period of at least one
month.
BrokerTec US Treasury Benchmarks are available for use under the UK Benchmark Regulation (BMR) 2.

1 https://www.cmegroup.com/trading/market-tech-and-data-services/brokertec.html
2 https://www.fca.org.uk/markets/benchmarks/regulation4© 2024 CME Group. All rights reserved.

2.

Input Data

The BrokerTec US Treasury Benchmarks Methodology utilises the following hierarchy of input data sources:
1. All trades of on-the-run US Treasuries executed on the BrokerTec CLOB during the 15-minute
observation window leading to the respective rate publication time.
2. The bid/ask prices and volumes from the top five levels of the order book on the BrokerTec CLOB.
The input data is captured during the 15-minute observation window prior to each rate publication time
(10:45:00-11:00:00, 14:45:00-15:00:00, 15:45:00-16:00:00, and 16:45:00-17:00:00 US Standard Time (EST)).
BrokerTec Americas LLC offers the BrokerTec CLOB in accordance with the BrokerTec CLOB Rulebook andits Form ATS filed with the SEC.

2.1. Use of Expert Judgement
The BrokerTec US Treasury Benchmarks are determined on the basis of the methodology documented
below. No expert judgement is applied to the determination of the BrokerTec US Treasury Benchmarks.

5© 2024 CME Group. All rights reserved.

3. Calculation Methodology
The US Treasury rates are calculated as a volume weighted price based on the transaction and executableorders on the BrokerTec CLOB.

3.1. Target volume
A target volume (𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 ) is set for each treasury bond tenor and observation window. The target
volume is calculated as the 25th percentile of the rolling three months traded volume rounded to the nearest$10million.
The target volume is reset every month end and is applied to the calculation during the following month.

3.2. Treasury Benchmarks Price Calculation
The BrokerTec US Treasury Benchmarks are calculated following the procedure listed below.
On each business day a rate is determined for seven tenors (2 Year, 3 Year, 5 Year, 7 Year, 10 Year, 20 Yearand 30 Year) of on-the-run US Treasury Bonds. The rate is calculated four times a day in the following 15minute observation windows:
Rate calculation

Observation window

11:00EST

10:45:00 – 11:00:00

15:00 EST

14:45:00 – 15:00:00

16:00 EST

15:45:00 – 16:00:00

17:00 EST

16:45:00 – 17:00:00

All the trades executed during the observation window defined above are pooled to calculate the trade based
VWAP as shown below:

The total traded volume is calculated as:

6∑ 𝑃𝑃𝑖𝑖 × 𝑄𝑄𝑖𝑖
∑ 𝑄𝑄𝑖𝑖

𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 = � 𝑄𝑄𝑖𝑖

Where:••𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 =𝑃𝑃𝑖𝑖 is the price of a given trade.
𝑄𝑄𝑖𝑖 is the volume of a given trade.

© 2024 CME Group. All rights reserved.

3.2.1.

Calculation Methodology when trading volume is sufficient

If the traded volume for a given tenor is greater than or equal to the target volume(𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 ≥ 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 ) during the observation widow, the rate is calculated as the VWAP of all
trades.
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 = 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟

If the traded volume is below the target volume (𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 < 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 ), the VWAP is supplemented
with executable orders from top five levels of the order book to calculate the published rate as set out below.
3.2.2.

Determining the Order Volume when trading volume is insufficient

Where . 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 < 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 , order book data is utilised to fill the 𝐺𝐺𝐺𝐺𝐺𝐺 between the 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 and
𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 .
Sufficient volume in order book

𝐺𝐺𝐺𝐺𝐺𝐺 = 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑒𝑒𝑡𝑡 − 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇

Where the volume in the top five levels of the bid side of the order book and the volume in the top five levelsof the ask side of the order book are greater than or equal to the 𝐺𝐺𝐺𝐺𝐺𝐺 the order book volume (𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 ) is
calculated as follows:
For:
5

5

𝑛𝑛=1

𝑛𝑛=1

� 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 ≥ 𝐺𝐺𝐺𝐺𝐺𝐺 and � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛 ≥ 𝐺𝐺𝐺𝐺𝐺𝐺

The order book volume is calculated as follows:

Where:
•
•
•
•
•

7

𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 = 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 = 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 = 𝐺𝐺𝐺𝐺𝐺𝐺
𝑛𝑛 is the order book level.
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 is the bid volume at order book level n.
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛 is the ask volume at order book level n.
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 is the bid volume used in the final calculation.
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 is the ask volume used in the final calculation.

© 2024 CME Group. All rights reserved.

Insufficient volume in order book
Where the volume in either the top five levels of the bid side of the order book and the volume in the top fivelevels of the ask side of the order book are less than the 𝐺𝐺𝐺𝐺𝐺𝐺 the order book volume (𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑟𝑟 ) is
calculated as follows:
For:
5

5

𝑛𝑛=1

𝑛𝑛=1

� 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 < 𝐺𝐺𝐺𝐺𝐺𝐺 or � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛 < 𝐺𝐺𝐺𝐺𝐺𝐺

The order book volume is calculated as follows:

5

5

𝑛𝑛=1

𝑛𝑛=1

𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 = 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 = 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 = min { � 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 , � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛 }The volume of the bid and ask sides of the order book are limited to the 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 level defined in theformula above.
3.2.3.

Calculation Methodology when trading volume is insufficient

The Volume Weighted Bid is calculated as follows:
5

𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝐵𝐵 = �

𝑛𝑛=1

The Volume Weighted Ask is calculated as follows:

5

𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝐴𝐴 = �

𝑛𝑛=1

Where:•••••𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛
𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛
𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂

𝑛𝑛 is the order book level.
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 is the bid volume at order book level n.
𝐴𝐴𝑠𝑠𝑠𝑠𝑠𝑠𝑛𝑛 is the ask volume at order book level n.
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝑛𝑛 is the bid price at order book level n.
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛 is the ask price at order book level n.

The VWAP of the order book is calculated as the mid-price of the Volume Weighted Bid and Volume
Weighted Ask:𝑂𝑂𝑂𝑂𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑀𝑀 =The rate is then calculated as follows:
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 =8𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝐵𝐵 + 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝐴𝐴
2𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 × 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 + 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑀𝑀 × 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 + 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂© 2024 CME Group. All rights reserved.

3.3. Treasury Benchmarks Yield Calculation
Yields to maturity are calculated for each trade and orderbook quote used in the VWAY calculation. The
Newton-Raphson method is used to calculate the yields through the following iterative process:𝑥𝑥𝑛𝑛+1 = 𝑥𝑥𝑛𝑛 −𝑓𝑓(𝑥𝑥𝑛𝑛 )𝑓𝑓′(𝑥𝑥𝑛𝑛 )

2𝑘𝑘

100
𝑓𝑓(𝑥𝑥𝑛𝑛 ) = −𝑃𝑃 ++�(1 + 𝑥𝑥𝑛𝑛 )𝑘𝑘
2𝑘𝑘−100𝑘𝑘𝑓𝑓 (𝑥𝑥𝑛𝑛 ) =−�(1 + 𝑥𝑥𝑛𝑛 )𝑘𝑘+1
′

𝐶𝐶

𝑖𝑖
𝑖𝑖=1 (1 + 𝑥𝑥𝑛𝑛 )2

𝑖𝑖
( )𝐶𝐶
2

𝑖𝑖
( +1)
𝑖𝑖=1 (1 + 𝑥𝑥𝑛𝑛 ) 2

Where:
𝑥𝑥 = 𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌 𝑡𝑡𝑡𝑡 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀
𝑃𝑃 = 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑈𝑈𝑈𝑈 𝑇𝑇𝑟𝑟𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒
𝐶𝐶 = 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 − 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑈𝑈𝑈𝑈 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇
𝑘𝑘 = 𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌𝑌 𝑡𝑡𝑡𝑡 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀
The calculated yields are used to determine the VWAY for each Treasury. The VWAY calculation uses thesame calculation methodology as the VWAP with the price input data replaced by yields.

9© 2024 CME Group. All rights reserved.

4. Publication and Error Policy
4.1. Publication
The BrokerTec US Treasury Benchmarks are published 15 minutes after the rate calculation at 11:15EST,
15:15EST, 16:15EST and 17:15EST each business day (in accordance with the SIFMA US Holiday
Schedule). BrokerTec US Treasury Benchmarks are published on the CME Group website and on licensed
data vendor platforms.
On days where there is an early market close (in accordance with the SIFMA US Holiday Schedule), a rate
may not be published for all Observation Windows, see Appendix III for further details. Appendix III will be
updated by the Administrator and approved by the Oversight Committee annually.

4.2. Validation and integrity checks
The BrokerTec US Treasury Benchmarks are validated, by the Calculation Agent, for all publications. The
Calculation Agent validates the integrity of the data, and monitors day on day yeild changes and tradedvolumes against pre-defined tolerances. If the the validation checks fail, the Calculation Agent will check the
integrity of the input data and re-run the calculation. If the input data is unable to be validated, the index value,
for the Treasury that cannot be validated, will be set to the previous published value.
If the previous value is used for more than three consecutive business days, the Administrator must promptly
convene the Oversight Committee to assess available remedial actions.

4.3. Error policy
The Administrator takes the utmost care to ensure that input data and calculations are accurate; during the
calculation process and prior to publication, the Administrator performs additional validation checks to identify
possible errors, and swiftly recalculate and revalidate BrokerTec US Treasury Benchmarks prior to
publication.
Once published, BrokerTec US Treasury Benchmarks will not be republished for that given publication time toprevent possible market disruptions.

10© 2024 CME Group. All rights reserved.

5. Governance
The Administrator operates under a comprehensive Risk and Control Framework, providing clear policies on
Governance, Oversight, Benchmark Design and Calculation, Outsourcing, Operations, Reporting ofInfringements and Business Continuity.
CBA has in place a "Three Lines of Defence" model, enabling close cross-monitoring of the governanceprocess - this being business, compliance and audit who all have a key role in ensuring that CBA meets its
regulatory requirements.

5.1. Oversight Committee
An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, in
accordance with the CBA Terms of Reference for the Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge, to the Administrator on all
aspects of the Benchmark determination process. The minutes of the Oversight Committee are madeavailable on the Administrator's website.
The Oversight Committee will escalate to the CBA Board if required.

5.2. Review of the Methodology
The Administrator constantly monitors the Benchmark Methodology and its consistency with the statedobjectives. The Benchmark Methodology is reviewed annually by the Administrator and the OversightCommittee.
The Oversight Committee approves proposed changes to the Benchmark Methodology including, but notlimited to, the structure of the Benchmark, input data used and all aspects of the Calculation Methodology.
The Oversight Committee may direct the Administrator to consult on any changes to the methodology with
Stakeholders and the wider market.

5.3. Consultation Process
The Administrator will engage relevant stakeholders and end-users on material changes to the Benchmark
Methodology, if required by regulation or where the Oversight Committee requests such consultation.
Changes to the Methodology are deemed material on the basis of an assessment conducted by the
Administrator and submitted to the Oversight Committee for advice and feedback.
The Administrator will publish notice of the consultation on its website, inviting feedback from stakeholders
and the wider market. Notice of a consultation will be posted at least 1 (one) month prior to the deadline forresponses. The notice will include the details of the proposed material change, the timeline and the rationale
for the change.
Findings of the consultation process and proposed 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.

11© 2024 CME Group. All rights reserved.

Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as it is practical, but before implementation of any changes.

5.4. Cessation
The Administrator constantly monitors the representativeness of the Benchmark. If the Benchmark is deemed
to be unrepresentative of the underlying economic reality due to paucity of input data or systemic changes in
the related markets, the Administrator will engage the Oversight Committee at the earliest opportunity. Thesecessation arrangements are designed to mitigate cessation and transition risks.
The Oversight Committee may direct the Administrator to consult with Stakeholders as described in theConsultation Process section.
As a last resort, if no alternative arrangements are feasible, the Oversight Committee may advise theAdministrator to discontinue the Benchmark, providing Stakeholders at least 6 (six) months’ notice andassistance to explore alternative reference instruments.
The Administrator will endeavour to identify alternative benchmarks; however, this might not always be
possible due to Regulations, market conditions or suitable alternatives.
Users of the benchmark are recommended to ensure that they have adequate fallback policies andprocedures in the event of the Benchmark becoming unrepresentative of its economic interest.

5.5. Records Retention
The Administrator has in place policies for the retention of any relevant evidence and documentation related
to the determination and dissemination of the Benchmark, either in paper or in electronic format, for at least
the mandatory term of 5 (five) years.

5.6. Auditing
An internal audit process is undertaken regularly, to ensure adherence to the stated Methodology, the IOSCO
principles and regulatory requirements.
External audits can be requested at any time by the Administrator’s Board, the Oversight Committee or theinternal audit function.

5.7. Data Licensing and Distribution
The Benchmark is made available subject to execution of an Information License Agreement (ILA) together
with the appropriate Schedules. Market participants that intend to subscribe to the benchmark should contact
the Administrator at the following email address: datasales@cmegroup.com

12© 2024 CME Group. All rights reserved.

5.8. Complaints Procedures
The CME Group EMEA / APAC Complaints Procedures sets out details on the management of customer
complaints to ensure that they are handed fairly and effectively, in a prompt and transparent manner and inaccordance with applicable regulatory requirements.
Complaints will be dealt with by a senior member of staff not directly involved with the benchmark calculationand dissemination.
Information related to complaints will be stored in a restricted access area and kept for a period of at least 5(five) years following the date when the complaint was first lodged. Complaints can be submitted atinternationalcompliance@cmegroup.com

13© 2024 CME Group. All rights reserved.

Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

BMR

UK Benchmark Regulation (Regulation (EU) 2016/2011, as retained in UK
law under the EUWA)CBA

CME Group Benchmark Administration Limited

CLOB

Central Limit Order Book

EST

Eastern Standard Time

EUWA

European Union (Withdrawal) Act 2018, as amended from time to time

SIFMA

Securities Industry and Financial Markets Association

UST

US Treasury

VWAP

Volume Weighted Average Price

VWAY

Volume Weighted Average Yield

14© 2024 CME Group. All rights reserved.

Appendix II – ESG Disclosures
Explanation of how ESG Factors are Reflected in the Key Elements of the Benchmark Methodology
Item 1Name of the benchmark administrator.

CME Group Benchmark Administration
LimitedItem 2Type of benchmark or family of benchmarks.

Sovereign Debt

Item 3Name of the benchmark or family of benchmarks.

BrokerTec US Treasury Benchmarks

Item 4

Does the benchmark methodology for the bench­
mark or family of benchmarks take into accountESG factors?

No15© 2024 CME Group. All rights reserved.

Appendix III – BrokerTec US Treasury Benchmarks Early Close Calendar
2023 Early Close Calendar
DATE
07-Apr-2023
26-May-2023
03-Jul-2023
24-Nov-2023
22-Dec-2023
29-Dec-2023

SIFMA CALENDAR/
MARKET CLOSE TIME
12:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET

BrokerTec US Treasury
Benchmarks Published
11:00 am
11:00 am
11:00 am
11:00 am
11:00 am
11:00 am

SIFMA CALENDAR/
MARKET CLOSE TIME
2:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET
2:00pm ET

BrokerTec US Treasury
Benchmarks Published
11:00 am
11:00 am
11:00 am
11:00 am
11:00 am
11:00 am2024 Early Close Calendar
DATE
28-Mar-2024
24-May-2024
03-Jul-2024
29-Nov-2024
24-Dec-2024
31-Dec-2024

16© 2024 CME Group. All rights reserved.

cmegroup.com© 2023 CME Group. All rights reserved.