CME EUR/USD Cross Currency
Basis Index (XEURBI)
Methodology
CME Group Benchmark Administration Limited
Version 1.0

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.

Contents

1. Introduction
1.1. CME Group and CME Group Benchmark Administration Limited
2. CME EUR/USD Cross Currency Basis Index
2.1. Introduction
2.2. What is Cross-Currency Basis?
3. Input Data
3.1. Futures Contract Specifications
3.2. Futures Contract Selection
3.3. Use of Expert Judgement
4. Calculation of the CME EUR/USD Cross Currency Basis Index
4.1. First and Second steps of Calculation Methodology
4.2. Unavailability of Input Data
5. Publication and Error Policy
5.1. Benchmark Publication
5.2. Error Policy
5.3. Publication Alerts
5.4. Consultations and Notices
6. Governance6.1. Oversight Committee
6.2. Review of the Methodology
6.3. Consultation Process
6.4. Cessation
6.5. Records Retention
6.6. Auditing
6.7. Data Licensing and Distribution
6.8. Complaints Procedures
Appendix I – Key Terms & Definitions
Appendix II – ESG Disclosures

344555666677788888999910101010101112© 2024 CME Group. All rights reserved.

1.

Introduction

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 acrossall major asset classes, including futures and options based on interest rates, equity indexes, foreignexchange, energy, metals, and agricultural commodities.
CME Group Benchmark Administration Limited (CBA) capitalises on CME Group’s wealth of electronictransaction-based data in the calculation of its indices and benchmarks. CBA is authorised and regulated by
the UK Financial Conduct Authority (FCA), for the administration of the CME EUR/USD Cross Currency BasisIndex. The CME EUR/USD Cross Currency Basis Index is a benchmark, designed on the basis of industry
best practices and the IOSCO Principles for Financial Benchmarks.
The CME EUR/USD Cross Currency Basis Index (XEURBI) is available to licence for use as a benchmark
under the UK Benchmark Regulation (BMR)1.
CBA is the Benchmark Administrator of the CME EUR/USD Cross Currency Basis Index, with Chicago
Mercantile Exchange Inc. (CME Inc.) providing calculation agent and distribution services.

1

https://www.fca.org.uk/markets/benchmarks/regulation4© 2024 CME Group. All rights reserved.

2.

CME EUR/USD Cross Currency Basis Index

2.1.

Introduction

The CME EUR/USD Cross Currency Basis Index (XEURBI) represents the basis point deviation from thecovered interest parity implied forward FX price. This is established by calculating the difference between thenext ESTR quarterly IMM futures interest rate and the implied ESTR interest rate from the next Euro FX andSOFR quarterly IMM futures.

2.2.

What is Cross-Currency Basis?

The cross-currency basis is defined as the difference in value between i) the exchange price of a FX forwardcontract and ii) the theoretical price of the same FX forward contract according to covered interest parity(CIP).
The covered interest parity specifies how spot and forward foreign exchange rates differ by the ratio of thenominal interest rates in the two currencies.
The classic formulation for the calculation of forward foreign exchange is the following:
1+𝑟

𝐹 = 𝑆⋅ 1+𝑟𝑑𝑓

Where 𝑟𝑑 and 𝑟𝑓 are the domestic and foreign interest rates, S the Foreign Exchange Spot price and F theForeign Exchange forward price.
Cross-currency basis is typically expressed in terms of basis points on the interest rate of the non-dollar
currency. The CME EUR/USD Cross Currency Basis Index conforms to this norm. For example, if crosscurrency basis in a specified period for EUR/USD is quoted at -22bp, the forward FX swap points, known aspips, are equal to the pips implied by the benchmark USD interest rate and the benchmark EUR interest rate
less 22bp for that specified period.

5© 2024 CME Group. All rights reserved.

3.

Input Data

3.1.

Futures Contract Specifications

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.

Futures Contract Selection

3.2.

If the pricing date is more than 2 business days away from the next IMM date:●●

Use the first and second quarterly Euro FX Futures contracts.
Use the second quarterly SR3 and ESTR Futures contracts.

If the pricing date is less (or equal) than 2 business days away from the next IMM date:
●
●

3.3.

Use the second and third quarterly Euro FX Futures contracts.
Use the third quarterly SR3 and ESTR Futures contract.

Use of Expert Judgement

No discretion or expert judgement is applied in the determination of the CME EUR/USD Cross Currency BasisIndex; input data is used as described below in Calculation of the CME EUR/USD Cross Currency BasisIndex.

6© 2024 CME Group. All rights reserved.

4.

Calculation of the CME EUR/USD Cross Currency Basis Index

4.1.

Calculation Methodology

First step of calculation●

Calculate the SOFR and ESTR interest rates (𝑟𝑆𝑂𝐹𝑅and 𝑟𝐸𝑆𝑇𝑅) implied by the futures contracts.

●Calculate the number of days between the two IMM Dates (NbDays).

Final step of calculation●Calculate the implied ESTR rate.

𝐸𝑆𝑇𝑅𝐼𝑚𝑝𝑙𝑖𝑒𝑑 = (●𝐹𝑋𝐹𝑢𝑡𝑢𝑟𝑒𝑠1 (1 + 𝑟𝑆𝑂𝐹𝑅𝐹𝑋𝐹𝑢𝑡𝑢𝑟𝑒𝑠2𝑁𝑏𝐷𝑎𝑦𝑠)
360

360− 1) 𝑁𝑏𝐷𝑎𝑦𝑠

Calculate the basis.

𝑋𝐶𝐶𝑌𝐵𝑎𝑠𝑖𝑠 = 𝐸𝑆𝑇𝑅𝐼𝑚𝑝𝑙𝑖𝑒𝑑 − 𝑟𝐸𝑆𝑇𝑅
4.2.

Unavailability of Input Data

If the 4pm London Markers for the ESTR, SOFR or Euro FX Futures markets are unavailable for use in thecalculation, the Administrator will re-publish the prior day’s Index level.
In the event that the previous day CME EUR/USD Cross Currency Basis Index is republished for more than 3(three) consecutive Business Days, the Administrator must promptly convene the Oversight Committee toassess available remedial actions.

7© 2024 CME Group. All rights reserved.

5.

Publication and Error Policy

5.1.

Benchmark Publication

The CME EUR/USD Cross Currency Basis Index is calculated and published each Business Day by 5pm
London time.
The CME EUR/USD Cross Currency Basis Index is calculated and published in basis points to two (2) decimalplaces.
In addition, CBA may, with notification to the market, choose not to publish the CME EUR/USD Cross
Currency Basis Index on any given Business Day, in accordance with the CME Globex Trading Schedule.
The CME EUR/USD Cross Currency Basis Index is published on the CME Group website and on licensed
data vendor platforms.
5.2.

Error Policy

If the Administrator identifies an incorrect publication prior to the publication of the next day’s rate, the CME
EUR/USD Cross Currency Basis Index will be republished if the error is greater than 0.1 basis points. In theevent that there is an error in the publication that requires a re-publication of the rate, users will be informed
via the CME Globex system utilising the GCC System Alerts.
5.3.

Publication Alerts

In the event of disruptions to the standard CME EUR/USD Cross Currency Basis Index’s publication process,
CBA, where deemed necessary, will release publication alerts with respect to issues impacting the availabilityof the index. Publication alerts will be made available via the CME Globex system utilising the GCC System
Alerts.
5.4.

Consultations and Notices

CBA will inform the users and stakeholders of any announcements relating to republication, restatements orconsultations via the CBA Notice Page.
In addition, CBA may, at its discretion, release information notices with respect to issues impacting theavailability of the CME EUR/USD Cross Currency Basis Index, via the CBA Notice Page.

8© 2024 CME Group. All rights reserved.

6.

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.
6.1.

Oversight Committee

An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, inaccordance with the CBA Terms of Reference for Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge to the Administrator on all
aspects of the Benchmark determination process. The Oversight Committee will escalate to the CBA Board if
required.
6.2.

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 Calculation 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 withstakeholders and the wider market.
6.3.

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 theAdministrator 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 rationalefor the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended asa 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 is practical, but before implementation of any changes.

9© 2024 CME Group. All rights reserved.

6.4.

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.
6.5.

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.
6.6.

Auditing

An internal audit process will be undertaken regularly, to ensure adherence to the stated Methodology, theIOSCO principles and regulatory requirements.
6.7.

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: CMEDataSales@cmegroup.com.
6.8.

Complaints Procedure

The CME Group EMEA / APAC Complaints Procedure sets out details on the management of customer
complaints to ensure that they are handled 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 aperiod of at least 5 (five) years following the date when the complaint was first lodged. Complaints can besubmitted at internationalcompliance@cmegroup.com

10© 2024 CME Group. All rights reserved.

Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

BMR

Benchmark Regulationbp

Basis Point (1 basis point = 0.01%)

Business Day

Business Day in accordance with the CME Globex Trading Schedule

CBACME Group Benchmark Administration Limited

DCM

Designated Contract MarketESTREuro Short Term Rate

FCA UK

Financial Conduct Authority (UK)

IMM

International Money Market day-count convention

IOSCO

International Organization of Securities Commissions

SOFR

Secured Overnight Financing Rate

SR3Three-month SOFR Futures

VWAP

Volume Weighted Average PriceXEURBICME EUR/USD Cross Currency Basis Index

11© 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 ofbenchmarks.

Other

Item 3Name of the benchmark or family ofbenchmarks.

CME EUR/USD Cross Currency BasisIndex

Item 4

Does the benchmark methodology for thebench­mark or family of benchmarks take
into account ESG factors?

No12© 2024 CME Group. All rights reserved.

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