CME EUR/USD Cross Currency
Basis Index (XEURBI)
UK BMR Benchmark Statement
CME Group Benchmark Administration Limited

Publication Date: July 29th, 2024

Introduction
The CME EUR/USD Cross Currency Basis Index (the Benchmark) is classified as a “regulated data
benchmark” under Article 3(24) of the UK Benchmark Regulation (BMR)1.
The Benchmark is administered and calculated by CME Group Benchmark Administration Limited (CBA),
authorized and supervised, as a Benchmark Administrator by the UK Financial Conduct Authority.

1

https://www.fca.org.uk/markets/benchmarks/regulation© 2024 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Within two weeks of the inclusion of an administrator in
the register referred to in Article 36, the administrator
shall publish, by means that ensure fair and easy
access, a benchmark statement for each benchmark or,
where applicable, for each family of Benchmark, that
may be used in the Union in accordance with Article 29.
Where that administrator begins providing a new
Articlebenchmark or family of Benchmark that may be used in
27 (1)
the Union in accordance with Article 29, theBMRadministrator shall publish, within two weeks and bymeans that ensure a fair and easy access, a benchmark
statement for each new benchmark or, whereapplicable, family of Benchmark. The administrator shallreview and, where necessary, update the benchmark
statement for each benchmark or family of Benchmark
in the event of any changes to the information to beprovided under this Article and at least every two years.
The Benchmark Statement shall:(a)clearly and unambiguously define the market or
economic reality measured by the benchmark and thecircumstances in which such measurement may
become unreliable;

Administrator’s statement

In order to facilitate fair and easy
access, this Benchmark Statement
appears on the Administrator’s
website.
The Administrator shall ensure that
this Benchmark Statement is
updated in the event of any
material changes and no later thanevery two years.

The EUR/USD Cross Currency
Basis Index measures 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 theimplied ESTR interest rate fromthe next Euro FX and SOFR
quarterly IMM futures.
The calculation is based on the
4pm London Markers for the Euro
FX, ESTR and SOFR Futures,
determined according to the daily
settlement process.
The Benchmark may become
unreliable as a result of insufficient
input data (RTS 1(2)(c)) or severemarket disruption (RTS 1(3)(c)).

(b)

lay down technical specifications that clearly andunambiguously identify the elements of the calculationof the benchmark in relation to which discretion may be
exercised, the criteria applicable to the exercise of suchdiscretion and the position of the persons that can
exercise discretion, and how such discretion may besubsequently evaluated;

The Benchmark is calculated
based on CME’s 4pm London
markers for Euro FX, ESTR and
SOFR Futures. No expert
judgement or discretion is
exercised in the daily
determination of the benchmark.
The input data used in thecalculation of the CME EUR/USD
Cross Currency Basis Index isfrom CME Group’s Designated© 2024 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
Contracts Market (DCM). Details of
the CME Futures contracts used in
the calculation of the Benchmark
and their volume and open interest
is available on CME Group’s
website links below:●●●

three-month ESTR Futures(ESTR)
three-month SOFR
Futures (SR3) and;EUR/USD FX Futures(Euro FX)

There is the possibility that factors,
including external factors beyond
the control of the Administrator,
may necessitate changes to, or the
cessation of, the Benchmark.
(c)

provide notice of the possibility that factors, including
external factors beyond the control of the administrator,
may necessitate changes to, or the cessation of, thebenchmark; and(d)advise users that changes to, or the cessation of, thebenchmark may have an impact upon the financial
contracts and financial instruments that reference thebenchmark or the measurement of the performance ofinvestment funds.

Article27(2)BMR

A benchmark statement shall contain at least:

(a)
(b)

the definitions for all key terms relating to thebenchmark;the rationale for adopting the benchmark methodology
and procedures for the review and approval of themethodology;

Where material changes to or the
cessation of the Benchmark
become necessary, theAdministrator will engage
stakeholders and users by way ofa public consultation.
All changes are reviewed by theOversight Committee.
Changes to, or the cessation of,
the Benchmark may have an
impact upon the financial contracts
and financial instruments thatreference the benchmark or themeasurement of the performanceof investment funds.
The Administrator advises users of
the Benchmark to regularly assess
whether it remains appropriate,suitable and fit for purpose. Users
should develop contingency
provisions and fall-back plans in
the event of the benchmark
becoming unavailable.

See the Appendix for definitions
used in this Benchmark Statement.
The aim of the Benchmark is torepresent the basis point deviationfrom the covered interest parity© 2024 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
implied forward FX price. This isestablished by calculating thedifference between the next ESTR
quarterly IMM futures interest rate
and the implied ESTR interest ratefrom the next Euro FX and SOFR
quarterly IMM futures.
The Administrator regularly
reviews the Methodology to ensurethat the Benchmark remains
representative of the economic
reality intended to be represented.
Amendments to the Methodology
are determined by the
Administrator, after wide
consultation with the relevant
stakeholders, including theOversight Committee.

(c)

The criteria and procedures used to determine thebenchmark, including a description of the input data, thepriority given to different types of input data, theminimum data needed to determine a benchmark, theuse of any models or methods of extrapolation and any
procedure for rebalancing the constituents of abenchmark's index;(d)the controls and rules that govern any exercise ofjudgement or discretion by the administrator or any
contributors, to ensure consistency in the use of suchjudgement or discretion;

(e)

(f)

the procedures which govern the determination of thebenchmark in periods of stress or periods wheretransaction data sources may be insufficient, inaccurate
or unreliable and the potential limitations of thebenchmark in such periods;

the procedures for dealing with errors in input data or in
the determination of the benchmark, including when aredetermination of the benchmark is required; andInput 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 Chicago
Mercantile Exchange Inc (CME
Inc.) Designated Contract Market(DCM).
No expert judgement or discretionis exercised in the daily
determination of the Benchmark.
The Methodology includes
contingency measures to deal withdetermination of the Benchmark inperiods of stress or periods wheretransaction data sources may beinsufficient, inaccurate or
unreliable.
The Administrator has in place
operating procedures designed toensure the integrity of input dataand prompt correction of
calculation errors, including
re-publication of the Benchmark.
These are facilitated through
Chicago Mercantile Exchange Inc.,
who acts as calculation agent to© 2024 CME Group. All rights reserved.

BMR /RTS(g)

BMR Benchmark Statement requirement

the identification of potential limitations of thebenchmark, including its operation in illiquid orfragmented markets and the possible concentration of
inputs.

RTS 1(1)The benchmark statement shall state:(a)the date of publication of the statement and, whereapplicable, the date of its last update;(b)where available, the international securities identification
number (ISIN) of the benchmark or Benchmark;alternatively, for a family of Benchmark, the statement
may provide details of where the ISINs are publicly
accessible free of charge;

(c)

(d)

RTS 1(2)(a)

whether the benchmark, or any benchmark in the familyof Benchmark, is determined using contributions of input
data;

whether the benchmark or any benchmark in the familyof Benchmark qualifies as one of the types ofBenchmark listed under Title III of Regulation (EU)2016/1011, including the specific provision by virtue of
which the benchmark qualifies as that type.

Administrator’s statement
the Administrator for the
Benchmark.
The Methodology relies solely on
the 4pm London Markers
published by a CFTC regulated
DCM based on transaction data.
The Administrator continuously
monitors volumes in the underlying
markets and reports back to theOversight Committee to assess
whether the input data havesufficient liquidity.
If the 4pm London Markers for the
ESTR, SOFR or Euro FX Futures
markets are unavailable for use in
the calculation, the Administrator
will re-publish the prior day’s Index
level.

Please see the beginning of thisdocument for the date of
publication and last update.

Not applicable to the Benchmark.
The Benchmark is calculated usingtransaction data, sourced directlyfrom the CFTC regulated DCM
operated by CME Inc.
The Benchmark is not determinedusing contributions of input data.
The CME EUR/USD Cross
Currency Basis Index is classified
as a Regulated Data Benchmark
as all input data are official marker
prices obtained entirely anddirectly from a US CFTC regulated
DCM operated by CME Inc. which
benefits from an equivalence
decision under Article 28(4) MiFIR.

In defining the market or economic reality, the benchmark statement shall include at least thefollowing information:
The CME EUR/USD Crossa general description of the market or economic reality;
Currency Basis Index represents
the basis point deviation from the© 2024 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement(b)

the geographical boundaries, if any, of the market or
economic reality;

covered interest parity implied
forward FX price.
The Benchmark represents the
cross currency basis in the
EUR/USD market.

(c)any other information that the administrator reasonably
considers to be relevant or useful to help users or
potential users of the benchmark to understand therelevant features of the market or economic reality,
including at least the following elements insofar as
reliable data on these elements is available:(i) information on actual or potential participants in themarket;(ii) an indication of the size of the market or economic
reality.

RTS 1(3)In defining the potential limitations of the benchmark and the circumstances in which themeasurement of the market or economic reality may become unreliable, the benchmark
statement shall include at least:(a)a description of the circumstances in which theadministrator would lack sufficient input data to
determine the benchmark in accordance with themethodology.

The calculation of the Benchmark
relies on the 4pm London Markers
sourced from a CFTC regulated
DCM.
In Q2 2024, the average dailyvolume of three-month ESTR
Futures was €15bn, three-month
SOFR Futures was $3tn and EUR
FX Futures was $32bn.

In accordance with the
Methodology, the previous day's
values will be reused if there were
no 4pm London Markers available
on a given day.
The accuracy and reliability of the
Benchmark could no longer beensured in the event of continued
insufficient liquidity in theunderlying futures markets.

(b)

(c)

where relevant, a description of instances when theaccuracy and reliability of the methodology used for
determining the benchmark can no longer be ensured,
such as when the administrator deems the liquidity inthe underlying market as insufficient;

any other information that the administrator reasonably
considers to be relevant or useful to help users andpotential users to understand the circumstances inwhich the measurement of the market or economic
reality may become unreliable, including a description ofwhat might constitute an exceptional market event.

To that extent, the Administrator
regularly monitors transacted
volumes for the underlying futures
markets used in the calculation of
the Benchmark and reports to theOversight Committee any concern
regarding the liquidity of theunderlying markets.
The Benchmark relies on theregular functioning of theunderlying futures markets; reliable
representation of underlying
markets could be severely affected
if futures markets were notoperating or the trading venues
where transactions are executed
experience severe disruptions or
regulatory limitations to theirnormal functioning.

© 2024 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement

RTS 1(4)In specifying the controls and rules that govern any
exercise of judgement or discretion by the administrator
or any contributors in calculating the benchmark or
Benchmark, the benchmark statement shall include an
outline of each step of the process for any ex post
evaluation of the use of discretion, together with a clear
indication of the position of any person(s) responsible
for carrying out the evaluations.

No expert judgement or discretionis exercised in the daily
determination of the Benchmark.

The Methodology provides that theAdministrator will consult withstakeholders on material changes
to the Methodology.

RTS 1(5)

RTS 2

(a)

(b)

RTS 3
(a)
(b)
RTS 4

In specifying the procedures for review of themethodology, the benchmark statement shall at least
outline the procedures for public consultation on any
material changes to the methodology.

Consultation will ordinarily consistof publishing of proposals,
providing stakeholders with areasonable time to respond andpublishing actions as a result of
the consultation.

In addition, the OversightCommittee can request theAdministrator to consult on any
change as appropriate.
In addition to the information to be included pursuant to Article 1, for a regulated-databenchmark or, where applicable, family of regulated-data Benchmark, the benchmark
statement shall state at least the following in its description of the input data:
The Benchmark is calculated using
the official 4pm London Markers
produced by the exchange,
the sources of the input data used;sourced directly from the regulated
trading venues operated by CMEInc.

for each source, the relevant type, as listed in Article
3(1)(24) of Regulation (EU) 2016/1011.

The EUR/USD Cross Currency
Basis Index is classified as aRegulated Data Benchmark as all
input data is official marker prices
contributed entirely and directlyfrom a US CFTC regulated DCM
operated by CME Inc. under a
MiFIR Equivalence Decision by the
HM Treasury.

In addition to the information to be included pursuant to Article 1, for an interest ratebenchmark or, where applicable, family of interest rate Benchmark, the benchmark statement
shall include at least the following information:a reference alerting users to the additional regulatory
N/A – Not an interest rate
regime applicable to interest rate Benchmark underbenchmark.
Annex I to Regulation (EU) 2016/1011;
a description of the arrangements that have been put in
N/A – Not an interest rate
place to comply with that Annex.
benchmarkIn addition to the information to be included pursuant to Article 1, for a commodity benchmark
or, where applicable, family of commodity Benchmark, the benchmark statement shall at least:© 2024 CME Group. All rights reserved.

BMR /
RTS
(a)
(b)
(c)
(d)
RTS 5
(a)

(b)

RTS 6

(a)

(b)

BMR Benchmark Statement requirement

Administrator’s statement

indicate whether the requirements of Title II of, or Annex
II to, Regulation (EU) 2016/1011 apply to the
N/A – Not a commodity benchmark
benchmark, or family of Benchmark as prescribed by
Article 19 of that Regulation;
include an explanation as to why Title II of or, as the
N/A – Not a commodity benchmark
case may be, Annex II to that Regulation applies;
include in the definitions of key terms a concise
description of the criteria that define the relevant
N/A – Not a commodity benchmark
underlying physical commodity;
where applicable, indicate where the explanations are
published that the administrator is required to publish
N/A – Not a commodity benchmark
under paragraph 7 of Annex II to that Regulation.
In addition to the information to be included pursuant to Article 1, for a critical benchmark, or,where applicable, a family of Benchmark that contains at least one critical benchmark, thebenchmark statement shall include at least the following information:a reference alerting users to the enhanced regulatory
regime applicable to critical Benchmark underN/A – Not a critical benchmark
Regulation (EU) 2016/1011;
a statement indicating how users will be informed of any
delay in the publication of the benchmark or of any
N/A – Not a critical benchmark
re-de-termination of the benchmark and indicating the(expected) duration of measures.
In addition to the cases referred to in the third subparagraph of Article 27(1) of Regulation (EU)2016/1011, an update of the benchmark statement shall be required whenever the information
contained in the statement ceases to be correct or sufficiently precise, and including in any
event in the following cases:
This Benchmark Statement shallbe updated where information
contained within it ceases to bewhenever there is a change in the type of thecorrect or sufficiently precise,benchmark;including where there is a change
to the type of input data.
whenever there is a material change in the methodology
used for determining the benchmark or, if thebenchmark statement is for a family of Benchmark, inthe methodology used for determining any benchmark
within the family of Benchmark.

This Benchmark Statement shallbe updated where there is amaterial change in the
Methodology used for determining
the Benchmark.

© 2024 CME Group. All rights reserved.

1.

Appendix I – Key Terms & Definitions

Capitalised terms used in this Benchmark Statement that are not otherwise defined have the meaning set out
below:TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

BMR

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

EUWA

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

MiFIR

Markets in Financial Instruments Regulation (Regulation EU No 600/2014 ),as retained in UK law under the EUWA

DCM

Designated Contract Market

SOFR

Secured Overnight Funding Rate

ESTR

Euro Short Term Rate

RTS

Regulatory Technical Standard, which in the context of the BMR means
Regulation (EU) 2018/1643 (as retained in UK law under the EUWA)© 2024 CME Group. All rights reserved.

2. Appendix II – ESG Disclosures
Explanation of how ESG Factors are Reflected in the Key Elements of the Benchmark Methodology
Item 1
Item 2Name of the benchmark administrator.
Type of benchmark or family of Benchmark.

CME Benchmark
Administration Limited
Other

Item 3Name of the benchmark or family of Benchmark.

CME EUR/USD Cross
Currency Basis Index

Item 4

Are there in the portfolio of the benchmark administrator any EU
Climate Transition Benchmark, EU Paris-aligned Benchmark,Benchmark that pursue ESG objectives or Benchmark that take
into account ESG factors?

No

Item 5

Does the benchmark or family of pursue ESG objectives?

No

Item 10

Does the benchmark align with the target of reducing carbon
emissions or the attainment of the objectives of the Paris
Agreement
The temperature scenario, in accordance with international
standards, used for the alignment with the target of reducing
GHG emissions or attaining of the objectives of the Paris
Agreement
The name of the provider of the temperature scenario used forthe alignment with the target of reducing GHG emissions or theattainment of the objectives of the Paris Agreement
The methodology used for the measurement of the alignment
with the temperature scenario
The hyperlink to the website of the temperature scenario used

No

N/A

N/A
N/A
N/A

© 2024 CME Group. All rights reserved.

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