CME EBS FX Benchmarks
Benchmark Methodology

CME Group Benchmark Administration Limited
Version 1.2
Publication Date: 1st July 2024

Version Control

cmegroup.com

VERSIONKEY CHANGESAPPROVAL DATE

1.0

Creation of the “benchmark family”

February 9th, 2022

1.1

Update to calculation waterfall

November 17th, 2022

1.2

Annual Review

June 21st, 2024

© 2024 CME Group. All rights reserved.

Contents
1.

Introduction

4

1.1.

CME Group and CME Group Benchmark Administration Limited

4

1.2.

EBS Market

4

1.3.

Regulatory and IOSCO Compliance42.

CME EBS FX Benchmarks

53.

EBS CNH Benchmark (USD/CNH)

5

4.

Calculation Methodology

65.

Validation Checks

8

6.

Publication

8

7.

Governance

9

7.1.

Oversight Committee

9

7.2.

Review of the Methodology

9

7.3.

Consultation Process

9

7.4.

Cessation

10

7.5.

Records Retention

10

7.6.

Auditing

10

7.7.

Data Licensing and Distribution

10

7.8.

Complaints Procedures

108.

Appendix I – Key Terms & Definitions

11

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

1. Introduction
CME EBS FX Benchmarks are a family of benchmarks administered by CME Group Benchmark
Administration Limited (“CBA” or the “Administrator”) and intended to represent snapshots of the exchange
rate of currency pairs, taken at regular times.
These benchmarks are registered as a “Benchmark Family” under UK Benchmark Regulation (“BMR”).

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 ofChicago, Inc. (“CBOT”), New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchange, Inc.
(“COMEX”) (collectively, the “CME Group Exchanges ”). These exchanges offer a wide range of products
available across all major asset classes, including: futures and options based on interest rates, equity
indexes, foreign exchange, energy, metals, and agricultural commodities. CME Group offers futures trading
through the CME Globex® electronic trading platform (“Globex”), fixed income trading via BrokerTec, foreignexchange trading on the EBS platform, and central counterparty clearing services at CME Clearing, a divisionof CME. CBA capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its
indices and benchmarks. CBA is registered under UK Benchmark Regulation and is authorized and regulatedby the UK Financial Conduct Authority (“FCA”).
CBA is the administrator of the CME EBS FX Benchmarks, with CME Inc. providing calculation agent anddistribution services.

1.2. EBS Market
EBS offers access to one of the largest and most liquid FX markets in the world, facilitating international tradeand risk management.
EBS Market is a central limit order book trading platform. Spot FX trading on EBS Market is provided by thedealing service operated by EBS Service Company Limited, incorporated in Switzerland.

1.3. Regulatory and IOSCO Compliance
The CME EBS FX Benchmarks is a family of benchmarks, designed on the basis of industry best practices
and the IOSCO Principles for Financial Benchmarks. This will include but not be limited to the creation of an
oversight committee and a published methodology. Material changes to the methodology will be announced
via public consultation and any changes such as a re-balancing of the constituent components would beannounced with a notice period of at least one month.
CME EBS FX Benchmarks are available for use under the UK Benchmark Regulation (BMR) 1.

1 https://www.fca.org.uk/markets/benchmarks/regulation

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

2. CME EBS FX Benchmarks
CME EBS FX Benchmarks are spot rate fixings for a set of currency pairs, calculated four times a day:Currency Pairs

Times (Local)

EUR/USD
USD/JPY

London

13:30 UTC

USD/CNH

New York

16:00 ET

USD/CHFTokyo

15:00 JST

EUR/JPY

Beijing16:30 CST

EUR/CHF
A Volume Weighted Average Price (VWAP) or a Time Weighted Average Price (TWAP) is calculated
according to a waterfall methodology based on the following hierarchy, as observed during the last 10 minutes(observation window) prior to the above fixing times:•••

trades executed on EBS Market
executable orders readily available on EBS Market
indicative prices from Morningstar

3. EBS CNH Benchmark (USD/CNH)
CME EBS CNH Benchmark is a spot rate fixing for USD/CNH published daily, in line with the onshore
USD/CNY fixing, providing a direct comparison between the two currency pairs.
Calculation is based on input data collected during a 5 (five) minute observation window, starting at 14:57:30
CST and ending at 15:02:30 CST; the index value is disseminated as soon as available after calculation.

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

4. Calculation Methodology
The CME EBS FX Benchmarks are calculated using the following waterfall methodology, based on availabilityof input data during the observation windows. The calculation methodology utilises a five level waterfall. The
details of the waterfall and input data used in each level are set out below:
Level 1 – EBS Transactions
Utilises trades executed in the eligible currency pair, during the observation window, sourced from EBSMarket.
Level 1 calculation requires at least 1 (one) executed trade during the relevant observation window; a VWAPof the entire trade population is calculated as per the following formulae:
𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉 =∑ 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑖𝑖 × 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑖𝑖∑ 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑖𝑖

Where 𝒑𝒑𝒑𝒑𝒑𝒑𝒑𝒑𝒑𝒑𝒊𝒊 and 𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒗𝒊𝒊 are the executed prices and the notional of eligible trades.
Level 2 – EBS Orders

If a Level 1 VWAP cannot be calculated due to the lack of trades for the specified currency pair during theobservation window, available order data are used to calculate a TWAP.
Utilises best Bid-Offer of the Executable Orders book from EBS Market, taken every 500ms during theobservation window, with the following exclusions:•Executable Orders where Bid > Offer•

Executable Orders where: (Offer – Bid) / Bid > 0.05 (to exclude stale/outliers quotes)

The weighting at the beginning of the observation window is zero; during the observation window the timeweight is calculated according to the following steps:
1.
Count the units of time for each time slice (a time slice is a collection of half second intervals) before
and up to the effective time starting from the beginning of the observation window as:2,3.

𝑛𝑛 = 0, 1,2,3, … … , 𝑁𝑁 − 1, 𝑁𝑁

Calculate the total counts before the effective time

The unit weight is calculated as

𝐶𝐶 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 =𝑁𝑁 ∗ (𝑁𝑁 + 1)

𝑤𝑤𝑢𝑢 =
4.

2

1

𝐶𝐶 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇

The weight of each slice for the period before the effective time will be
𝑤𝑤𝑛𝑛 = 𝑛𝑛 ∗ 𝑤𝑤𝑢𝑢

cmegroup.com(𝑛𝑛 = 0,1,2,3, … … , 𝑁𝑁)© 2024 CME Group. All rights reserved.

5.

The TWAP is calculated as
𝑁𝑁

𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 = � 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑛𝑛 × 𝑤𝑤𝑛𝑛
Where:

𝑛𝑛=0

𝑛𝑛 = time slice within interval

𝑤𝑤𝑢𝑢 = unit weight

𝑤𝑤𝑛𝑛 = weight at time slice 𝑛𝑛

𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑛𝑛 = price at time slice 𝑛𝑛

Level 3 – EBS Cross Rate
If the currency pair lacks executed transactions and the order book has no executable quotes, the currency
pair will be calculated as a cross taken from other EBS currency pairs which have successfully calculated
under Level 1 or Level 2. The following prioritisation of crosses is followed:
1. USD based cross
2. EUR based cross
3. GBP based crossLevel 4 – Premium FX Feed Indicative Data
If the currency pair is unable to be calculated from a cross rate, indicative data provided by Premium FX Feed
are applied to the TWAP methodology as in Level 2.
Level 5 – Indicative CrossIf the currency pair is unable to be calculated from Premium FX Feed indicative data, the rate will becalculated as a cross rate of other currency pairs which have successfully calculated under Level 1, Level 2,Level 3 or Level 4. The following prioritisation of crosses is followed:
1. USD based cross
2. EUR based cross
3. GBP based crosscmegroup.com© 2024 CME Group. All rights reserved.

5. Validation Checks
Calculation values of EBS FX Benchmarks are subject to validation checks to assess the quality of the input
data.
Each calculated VWAP or TWAP day-on-day change is assessed for breaches of either of:
1. A change in excess of 5%
2. A change outside the 99.5% confidence interval (Abs(Rtn-Avg)>2.576 x Stdev), based on 180 days
history, including the current day.
The calculation agent provides the Administrator with a weekly report of any breaches of the values above, forfurther consideration.

6.

Publication

CME EBS FX Benchmarks are calculated and published every business day, at the times specified in Section
2 and Section 3 of this Methodology, with the following exceptions:
DatePublication

24th December

No publication after 21:00UTC

25 December

No publication until 23:00UTC

31st December

No publication after 21:00UTC

1 January

No publication until 23:00UTCthstBenchmarks are published to the following decimal precision:
Currency pair

Decimals

EUR/USD

5

USD/JPY

3USD/CNH

4

USD/CHF

5

EUR/JPY

3

EUR/CHF

5

If any CME EBS FX Benchmark cannot be calculated under any of the five levels of the waterfall, the last validpublication remains valid.
In the event of a calculation error or a breach of the above Validation Checks, there is no re-publication of thebenchmark.
However, in the event that there is an error in the publication that requires a republication of the benchmark,users will be informed.

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

7. 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.

7.1. 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 the Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge, to the Administrator on all
aspects of the Benchmark determination process. The minutes of the Oversight Committee are madeavailable on the Administrator's website.
The Oversight Committee will escalate to the CBA Board if required.

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

7.3. 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 rationale
for the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended
as a result of the consultation, will be presented by the Administrator to the Oversight Committee for its
consideration.
Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as it is practical, but before implementation of any changes.

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

7.4. 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 regulation, 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.

7.5. 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.

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

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

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

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

8. Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration LimitedBMR

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

CME Group Benchmark Administration LimitedOCOversight Committee

RTSRegulatory Technical Standard (in the context of the EU BMR means
Regulation (EU) 2018/1643)

TWAP

Time Weighted Average Price

VWAP

Volume Weighted Average Pricecmegroup.com© 2024 CME Group. All rights reserved.

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

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