CME EUR/USD Cross
Currency Basis Index(XEURBI)IOSCO ComplianceStatement
IOSCO Compliance Statement
CME Group Benchmark Administration Limited
Publication Date: July 29th, 2024

Version Control

VERSION

1.0

2

KEY CHANGES●

Initial version

APPROVAL DATEJuly 29th, 2024

© 2024 CME Group. All rights reserved.

Introduction
CME Group Benchmark Administration Limited (CBA or the Administrator) has created the CME EUR/USD
Cross Currency Basis Index (XEURBI), representing the basis point deviation from the covered interest parity
implied forward FX price. This is established by calculating the difference between the next ESTR quarterly
IMM futures interest rate and the implied ESTR interest rate from the next Euro FX and SOFR quarterly IMM
futures.
The CME EUR/USD Cross Currency Basis Index Methodology uses the 4pm London Markers of three-month
ESTR Futures (ESTR), three-month SOFR Futures (SR3) and EUR/USD FX Futures (Euro FX) contracts,
traded on the CME Inc. Designated Contract Market (DCM), to calculate the Index.
The Index is administered and calculated by CBA, authorised and supervised, as a Benchmark Administrator
by the UK Financial Conduct Authority (FCA).
CME Inc. is the outsourced Calculation Agent of the benchmark appointed by the Administrator.

Regulatory and IOSCO Compliance
The CME EUR/USD Cross Currency Index is designed on the basis of industry best practice and on the
IOSCO Principles for Financial Benchmarks. This will include but not be limited to an Oversight Committee
and a published Methodology. Material changes to the Methodology shall be announced following a public
consultation.
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.

3© 2024 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

4c) Operation: Ensuring appropriate
transparency over significant decisions
affecting the compilation of the
Benchmark and any related
determination process, including
contingency measures in the event ofabsence of or insufficient inputs, market
stress or disruption, failure of criticalinfrastructure, or other relevant factors;
andd) Governance: Establishing credible
and transparent governance, oversightand accountability procedures for the
Benchmark determination process,including an identifiable oversightfunction accountable for thedevelopment, issuance and operation of
the Benchmark.
Where activities relating to the
Benchmark determination process areundertaken by third parties - for example
collection of inputs, publication or wherea third party acts as Calculation Agent the Administrator should maintainappropriate oversight of such third
parties. The Administrator (and its
oversight function) should consider
adopting policies and procedures that:a) Clearly define and substantiate
through appropriate written
arrangements the roles and obligationsof third parties who participate in the
Benchmark determination process, aswell as the standards the Administrator
expects these third parties to comply
with;b) Monitor third parties’ compliance withthe standards set out by the
Administrator;c) Make Available to Stakeholders andany relevant Regulatory Authority the

CME Group Benchmark Administration
Limited (CBA) Comment
CBA is the Administrator for the CME
EUR/USD Cross Currency Index withprimary responsibility for all aspects of the
Benchmark determination process.
Details of the Methodology are available on
the CBA website.
The Benchmark is calculated each business
day and distributed through CME Groupdata services. When deemed necessary,
subscribers to the benchmark will be notified
of delays of its publication.

The CME EUR/USD Cross Currency Index
is calculated in accordance with the
Methodology (see 1(a) above), which
includes applicable contingency measures.

CBA intends to establish an independent
Oversight Committee to review thebenchmark definition and scrutinise all
aspects of the benchmark determination
process. The terms of reference of theOversight Committee are available on the
CBA website.

CME Inc. is the calculation and distribution
agent of the CME EUR/USD Cross
Currency Index.

CBA has in place agreements with CME Inc.
for the provision of calculation agent andBenchmark dissemination services relating
to the CME EUR/USD Cross Currency
Index. Those agreements include details of
required standards and obligations tomaintain minimum service levels.
CBA monitors third parties through key
performance indicators and regularstakeholder meetings.
CME Inc. is the calculation agent of the
CME EUR/USD Cross Currency Index.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
identity 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.

CME Group Benchmark Administration
Limited (CBA) Comment
CME Inc. is a distribution agent of the
Benchmark.
CBA has business continuity plans in place
for all aspects of the CME EUR/USD Cross
Currency Index, including contingency
measures for IT system failures and issues
associated with dissemination of the
Benchmark. The calculation agent
agreement with CME Inc. contains
provisions designed to mitigate operationalrisk.
The CME EUR/USD Cross Currency Index
uses data sourced from CME Inc.
Designated Contract Market (DCM).
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.

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:5

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 maintains a stand-alone conflicts ofinterest register, identifying the inherent
conflicts of interest within the firm, whilesetting out appropriate measures to manage
and mitigate those conflicts.
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 require that
employees comply with all relevant CME
Group policies and procedures.

© 2024 CME Group. All rights reserved.

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

6

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 team is
responsible for ensuring that the Conflicts ofInterest Management Policy is adhered to.
This is conducted via periodic reviews ofbusiness areas/units.
CME Group staff involved in the productionof the Benchmark are prohibited fromhaving 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. This includes
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.
As further described below, access to data
within CME Group is strictly controlled by
the “Data Access Request” process, anddata will not be released or shared with amember of staff unless it is required for theirrole. 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 relevant manager at CBA.
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 calculated Benchmarks
values.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

incentivised by the levels of the
Benchmark.

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:a) 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.

7

CME Group has in place multiple controlsthat seek to mitigate or control potential
conflicts created by its ownership structure.
These include the development of aconflicts register identifying potential
conflicts and seeking to remove or control
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. In particular, CBA
operational staff have separate reportinglines to those working within theexchanges/trading venues that supply thetransaction 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 andconsideration. More details and examplesof 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 Groupwebsite.

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 its conflict ofinterest register to its regulatory authority
upon request.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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
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.

CME Group Benchmark Administration
Limited (CBA) Comment

CBA has implemented a Risk and Control
Framework consistent with CME Group
policies and procedures, with certain details
outlined below.

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;
4. Control
Framework for
Administratorsb) 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.

CBA has implemented a conflicts of interest
policy in line with IOSCO Principle 3. See
detail above.
i. The CME EUR/USD Cross Currency Index
is calculated in accordance with the
Methodology. Any deviation from theapproved Methodology requires additional
review by the Oversight Committee.
ii. Input data to the Benchmark calculation
are the 4pm London Markers of three-month
ESTR Futures (ESTR), three-month SOFR
Futures (SR3) and EUR/USD FX Futures(Euro FX) contracts, traded on the CME Inc.
DCM.
iii. CME Group has in place a complaints
procedure which is published on the CMEGroup website. The procedures takeaccount of the particular requirements for a
Benchmark Administrator to receive anddeal appropriately with complaints that
relate to the calculation of the benchmark.
CBA is subject to audit reviews and has
regulatory obligations, aligned with
Principles 16 to 19.
iv. 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. This8

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidancec) Whistleblowing mechanism:
Administrators should establish aneffective whistleblowing mechanism tofacilitate early awareness of any
potential misconduct or irregularities that
may arise. This mechanism should allow
for 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; andii. 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.

9

CME Group Benchmark Administration
Limited (CBA) Comment
is part of the CME Group Enterprise Risk
framework.
CME Group maintains internal policies andprocedures for the reporting of actual or
perceived misconduct.
In addition, CBA allows for external
whistleblowing throughinternationalcompliance@cmegroup.com.
All complaints related to CBA are reviewed
by Compliance and reported to theOversight Committee.
i. Calculation of the Benchmark is 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 EUR/USD Cross
Currency Index.
N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

5. Internal
Oversight

IOSCO Principles - Detailed Guidance
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 themateriality 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;

CME Group Benchmark Administration
Limited (CBA) Comment
An Oversight Committee will be establishedto scrutinise all aspects of the benchmark
determination process.
Terms of Reference for the Committee are inplace defining committee membership andresponsibilities. Oversight Committee
members are required to provide conflicts ofinterest disclosures.
The Oversight Committee will be comprisedof industry experts with the appropriate
expertise to provide challenge and effective
scrutiny of the Administrator, such as market
expertise, control and risk expertise,
operational expertise, benchmark andregulation expertise, general financial
market expertise, or legal and complianceexpertise.

CBA will establish an independent OversightCommittee whose remit will include the
CME EUR/USD Cross Currency Index.

The Oversight Committee has clearly
defined Terms of Reference, which can bemade available to Stakeholders uponrequest.
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. A
conflicts of interest register is maintained formembers of the Oversight Committee.

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.

10© 2024 CME Group. All rights reserved.

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.

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;
ii. Considering the results of internal andexternal audits, and following up on theimplementation of remedial actions

11

ii. 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.
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. The review of audit findings and status of
any required remedial actions.
iii. The review and approval of non-standard
procedures used in the Benchmark
determination process, including the use ofExpert Judgement.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

highlighted in the results of these audits;andiii. Overseeing any exercise of Expert
Judgment by the Administrator andensuring Published Methodologies havebeen followed.
Where conflicts of interests may arise in
the Administrator due to its ownership
structures or controlling interests, or due
to other activities conducted by any
entity owning or controlling theAdministrator or by the Administrator or
any of its affiliates: the Administrator
should establish an independent
oversight function which includes abalanced 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
Design12c) 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

CBA will establish an independent OversightCommittee consisting of industry experts.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
The CME EUR/USD Cross Currency Index
represents the basis point deviation from thecovered interest parity implied forward FX
price. This is established by calculating thedifference between the next ESTR quarterly
IMM futures interest rate and the implied© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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 particular Interest:a) Adequacy of the sample used torepresent the Interest;b) Size and liquidity of the relevantmarket (for example whether there issufficient trading to provide observable,transparent pricing);c) Relative size of the underlying market
in relation to the volume of trading in themarket that references the Benchmark;d) The distribution of trading among
Market Participants (market
concentration);e) Market dynamics (e.g., to ensure thatthe Benchmark reflects changes to theassets underpinning a Benchmark).

7. DataSufficiency

13

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; andb) 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.

CME Group Benchmark Administration
Limited (CBA) Comment
ESTR interest rate from the next Euro FX
and SOFR quarterly IMM futures.
The CME EUR/USD Cross Currency Index
has been designed to ensure theBenchmark is representative of its
underlying interest and remains robust.
The CME EUR/USD Cross Currency Index
has been designed to represent the basis
point deviation from the covered interest
parity implied forward FX price. The
administrator designed the Benchmark to be
representative of its underlying interest andin order to remain robust.

In Q2 of 2024, the average daily volume ofthree-month ESTR Futures was €15bn,
three-month SOFR Futures was $3tn and
EUR FX Futures was $32bn.
As at 29th July 2024, the CME EUR/USD
Cross Currency Index is not used as areference in any financial products.
All customer segments are represented
including proprietary trading groups, banks,
hedge funds and asset managers.
The CME EUR/USD Cross Currency Index
calculation is based on the 4pm London
Markers of three-month ESTR Futures(ESTR), three-month SOFR Futures (SR3)and EUR/USD FX Futures (Euro FX)
contracts, traded on the CME Inc.
Designated Contract Market (DCM).
The CME EUR/USD Cross Currency Index
is based on the 4pm London Markers of
three-month ESTR Futures (ESTR),
three-month SOFR Futures (SR3) and
EUR/USD FX Futures (Euro FX) contracts,
traded on the CME Inc. Designated Contract
Market (DCM), which accurately and reliably
represents the economic reality the
benchmark is intended to measure.

The CME EUR/USD Cross Currency Index
is calculated using official marker prices,
contributed entirely and directly from a US
CFTC regulated DCM.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

8. Hierarchy ofData Inputs

14

IOSCO Principles - Detailed GuidanceThis 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 fromusing 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 andPublish or Make Available clear
guidelines regarding the hierarchy ofdata inputs and exercise of Expert
Judgment used for the determination of

CME Group Benchmark Administration
Limited (CBA) Comment

The Benchmark is calculated using official
marker prices, contributed entirely anddirectly from a US CFTC regulated DCM. No
expert judgement or discretion is exercisedin the daily determination of the benchmark,consistent with Principle 8. This is further
explained in the Benchmark Methodology.

The published Methodology details thehierarchy of data inputs used in thedetermination of the CME EUR/USD Cross
Currency Index.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
Benchmarks. In general, the hierarchy ofdata inputs should include:a) Where a Benchmark is dependent
upon Submissions, the Submitters’ own
concluded arms-length transactions in
the underlying interest or related
markets;b) Reported or observed concluded
Arm’s-length Transactions in theunderlying interest;c) Reported or observed concluded
Arm’s-length Transactions in related
markets;d) Firm (executable) bids and offers; ande) Other market information or Expert
Judgments.
Provided that the Data Sufficiency
Principle is met (i.e., an active market
exists), this Principle is not intended torestrict 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.

9.
Transparencyof Benchmark

15

The Administrator should describe andpublish with each Benchmark
determination, to the extent reasonable

CME Group Benchmark Administration
Limited (CBA) Comment

N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
Data inputs used in the calculation of the
CME EUR/USD Cross Currency Index
includes using official marker prices,
contributed entirely and directly from a US
CFTC regulated DCM.
N/A – Reported or observed transactions inrelated markets are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
N/A – Firm bids and offers are not used in
the calculation of CME EUR/USD Cross
Currency Index.
N/A – Expert judgement and other market
information is not used in the calculation of
the CME EUR/USD Cross Currency Index.

The CME EUR/USD Cross Currency Index
Benchmark Methodology details the
Administrator’s approach to seek to ensure
the quality, integrity, continuity and reliabilityof the Benchmark.

The CME EUR/USD Cross Currency Basis
Index (XEURBI) represents the basis point
deviation from the covered interest parity© 2024 CME Group. All rights reserved.

IOSCO
Principle
Determinations

10. Periodic
Review

11.Content oftheMethodology

16

IOSCO Principles - Detailed Guidance
without delaying an Administrator
publication deadline:a) 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);b) 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.

CME Group Benchmark Administration
Limited (CBA) Comment
implied forward FX price. This is establishedby calculating the difference between thenext ESTR quarterly IMM futures interest
rate and the implied ESTR interest rate fromthe next Euro FX and SOFR quarterly IMM
futures.
The inputs are official marker prices,
contributed entirely and directly from a US
CFTC regulated DCM.

N/A – Expert judgement is not used in thecalculation of the CME EUR/USD Cross
Currency Index.

CBA periodically reviews the underlying
futures market to ensure the integrity of the
CME EUR/USD Cross Currency Index. The
Oversight Committee will review theperformance of the Benchmark inaccordance with its terms of reference, toensure its credibility.

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.

Changes to the CME EUR/USD Cross
Currency Index Methodology will be
reviewed by the Oversight Committee andas appropriate may request theAdministrator to consult with relevant
Stakeholders and the wider market on any
material changes.

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

CBA will publish and make available theMethodology of the CME EUR/USD Cross
Currency Index.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

appropriateness as a reference forfinancial instruments.
At a minimum, the Methodology should
contain:a) 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:
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. These17

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 EUR/USD Cross
Currency Index.
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 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 CME EUR/USD Cross Currency Index
uses official marker prices, contributed
entirely and directly from a US CFTC
regulated DCM. Should a marker price be
unavailable, the previous day’s index level
will be re-published.
N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.
N/A – Submissions are not used in thecalculation of the CME EUR/USD Cross
Currency Index.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

12.Changes totheMethodology

IOSCO Principles - Detailed Guidance
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
assessment of the overall
circumstances; andb) Provide for Stakeholders’ summarycomments, and the Administrator’ssummary response to those comments,
to be made accessible to all

18

CME Group Benchmark Administration
Limited (CBA) Comment

CBA will consult with Stakeholders and themarket with regards to material changes to
the CME EUR/USD Cross Currency Index
Benchmark Methodology.

The CME EUR/USD Cross Currency Index
Oversight Committee periodically reviews
the Methodology with the aim of ensuring it
continues to represent its underlying
interest. Any changes will be specified andtheir implementation timeline explained.
CBA may seek to revise the CME EUR/USD
Cross Currency Index 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.
CBA will make available Stakeholders’summary comments and responses on
consultations regarding a material change to© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
Stakeholders after any given
consultation period, except where thecommenter has requested
confidentiality.

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 referencea 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

19

CME Group Benchmark Administration
Limited (CBA) Comment
the CME EUR/USD Cross Currency Index
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.
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 doso, but before implementation of any
changes.
The Benchmark Methodology describes theprocedures required for the cessation of the
Benchmark.
The Benchmark Methodology recommends
that users of the Benchmark ensure they
have adequate fallback policies andprocedures in the event of the Benchmark
losing its representativeness, due tochanges in the Regulatory Framework
and/or market conditions.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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
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

20

CME Group Benchmark Administration
Limited (CBA) Comment

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.

© 2024 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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; andCME Group Benchmark Administration
Limited (CBA) Comment

N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions

N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions

N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions

N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions

14.Submitter
Code of
Conduct

21© 2024 CME Group. All rights reserved.

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);

N/A – The CME EUR/USD Cross Currency
Index is not based on Submissions

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© 2024 CME Group. All rights reserved.

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

CME Group Benchmark Administration
Limited (CBA) Comment

CBA has in place an agreement with CME
Inc. regarding the collection of input datafrom CME DCM, and transmission of input
data to CBA, and contains an obligation tocomply with protocols in relation to the samethat protect the integrity and confidentialityof 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 uses 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© 2024 CME Group. All rights reserved.

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

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 EUR/USD Cross
Currency Index Benchmark Methodology
will be made in accordance with Principle
12.

CBA is authorised and supervised by the
FCA (UK) and undergoes a regular internal
audit in accordance with its regulatory
requirements. External audits can berequested 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.

© 2024 CME Group. All rights reserved.

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

CME Group Benchmark Administration
Limited (CBA) Comment

All input data used in the calculation of the
CME EUR/USD Cross Currency Index are
included in the record retention policy.
N/A – Expert Judgement is not used todetermine the CME EUR/USD Cross
Currency Index.
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 EUR/USD Cross
Currency Index 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 EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions© 2024 CME Group. All rights reserved.

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.

CME Group Benchmark Administration
Limited (CBA) Comment
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
N/A - The CME EUR/USD Cross Currency
Index is not based on Submissions
CBA is an authorised Benchmark
Administrator, authorised and supervised by
the FCA (UK) and will cooperate withappropriate requests from regulatory
authorities having competent jurisdiction
over CBA as requested.

© 2024 CME Group. All rights reserved.

cmegroup.com© 2024 CME Group. All rights reserved.