CME Group Volatility Index (CVOL)IOSCO Compliance Statement

CME Group Benchmark Administration Limited
Publication Date: August 8th, 2022

Introduction
CME Group Volatility Index (CVOL) are a family of indices and related indicators. CVOL is designed toprovide a view of implied volatility based on the market’s expectation of forward risk.
The basic underlying methodology can be used to create single product indices, and those single productindices can be combined to create broad-based indices, which are described herein. In addition to the single
product indices, there are five additional derivative indicators that can be calculated for each index: 1) Up Var,
2) Down Var, 3) Skew, 4) At the money vol and 5) Convexity which are described herein.
There are variants of the basic calculation methodology which are adapted to calculating a CVOL in interest
rate yield numeraire when the underlying options are struck against the price of debt instruments, such as US
Treasury Futures.
CVOL is available in two versions.
1. The End of Day CVOL Indices - calculated once a day, based on end of day settlement prices andpublished by 9pm ET.
2. The Live Streaming CVOL Indices - calculated every 15 seconds throughout the day, based on live
trading data.
CME Group Benchmark Administration Limited (CBA) is the benchmark administrator with Chicago Mercantile
Exchange Inc. (CME Inc.) providing Calculation Agent services.

IOSCO Compliance
The CVOL family of benchmarks is 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 apublished Methodology and Calculation Guide.
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.

2© 2022 CME Group. All rights reserved.

IOSCO
Principle
1. Overall
Responsibilityof theAdministrator

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;2. Oversight ofThird Parties

3c) 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 andtransparent governance, oversight andaccountability 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

CME Group Benchmark Administration
Limited (CBA) Comment
CBA is the Administrator for the CVOL withprimary responsibility for all aspects of the
Benchmark determination process.
The CVOL Benchmark Methodology has
been approved by the CVOL OversightCommittee. The methodology is used todetermine the End of Day CVOL Indices.
The Live Steaming CVOL Indices are
determined on the basis of the approach set
out in the Live Streaming CVOL Calculation
Guide. Details of the Methodology andCalculation Guide are available on the CBA
website.
The benchmark is calculated each business
day and published on the CME Groupwebsite and distributed through CME Groupdata services. Subscribers to the benchmark
will be alerted of any delays.
The End of Day CVOL is calculated inaccordance with the approved Methodology(see 1(a) above), which includes applicablecontingency measures.
The Live Streaming CVOL is calculated inaccordance with the Calculation Guide (see1(a) above), which includes applicablecontingency measures.
CBA has established an independent
Oversight Committee to review thebenchmark definition and provides challenge
on all aspects of the benchmark
determination process. The Terms ofReference of the Oversight Committee areavailable on CBA website.
CBA has in place a Service Level
Agreement with CME Inc. for the provision of
Calculation Agent and Benchmark
dissemination services relating to the CVOL.
Those agreements include details of
required standards and obligations tomaintain minimum service levels.

CBA monitors third parties through key
performance indicators and regularstakeholder meetings.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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 theidentity 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.
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 their users
and any relevant Regulatory Authority, if
any.
The framework should be appropriately
tailored to the level of existing or
potential conflicts of interest identified

4

CME Group Benchmark Administration
Limited (CBA) Comment
CME Inc. is the calculation agent anddistribution agent of the CVOL.
CBA has business continuity plans in place
for all aspects of the CVOL, including
contingency measures for IT system failures
and issues associated with dissemination of
the Benchmark. The Service Level
Agreements with CME Inc. containprovisions designed to mitigate operationalrisk.
The CVOL use data sourced from CME
Group’s Designated Contract Markets(DCMs) regulated by the Commodity
Futures Trading Commission (CFTC).
The CME Group DCMs are considered as
equivalent to a regulated market in theEuropean Union by the European Securities
and Markets Authority (ESMA) for the
purposes of Article 2(7) of the European
Market Infrastructure Regulation - EMIR:
Regulation (EU) No 648/2012.
CBA has in place a Service Level
Agreement with CME Inc. for the provision of
Calculation Agent and Benchmark
dissemination services relating to the CVOL.
Those agreements include details of
required standards and obligations tomaintain minimum service levels.
CBA has policies and procedures for the
avoidance of conflicts of interest in thedetermination of benchmarks. These policies
are approved by the board and periodicallyreviewed.
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.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
and the risks that the Benchmark posesand should seek to ensure:

CME Group Benchmark Administration
Limited (CBA) Comment
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 policies
and procedures of CBA.
Any violation of the Conflicts of Interest
Policy may result in disciplinary action
against the board member or employee.

a) 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 and prevent
unnecessary or undisclosed conflicts ofinterest or the perception of suchconflicts;

The Administrator’s Compliance Monitoringteam is responsible for ensuring that the
Conflicts of Interest Management Policy isadhered to. This is conducted via periodic
reviews of business areas/units.
CME Group staff involved in the productionof benchmarks are prohibited from having
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 has clear segregation of reporting lines
to prevent unnecessary or the perception ofsuch conflicts.
As further described below, access to data
within CME Group is strictly controlled by the“Data Access Request” process, and data
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.

5© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanced) 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 not directly
or indirectly rewarded or 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 this end,
the framework should:

CME Group Benchmark Administration
Limited (CBA) Comment
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 therelevant 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 value of the calculated
Benchmarks.
CME Group has in place multiple controlsthat seek to mitigate or control potential
conflicts created by its ownership structure.
These include the development of a conflicts
register identifying potential conflicts andseeking 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.
CBA operational staff have separate
reporting lines to those working within theexchanges/trading venues that supply the
input 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 and consideration.

6© 2022 CME Group. All rights reserved.

IOSCO
Principle

4. Control
Framework for
Administrators

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment
More details and examples of 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 Group website.

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 business of the
Administrator or any of its affiliates; andb) Provide that an Administrator
discloses conflicts of interest arising fromthe ownership structure or the control of
the Administrator to its Stakeholders andany relevant Regulatory Authority in atimely manner.
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.

As set out above, CME Group maintains firm
wide policies and procedures to mitigate andavoid a conflict of interest.

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;b) Integrity and quality of Benchmark
determination:i. Arrangements to ensure that the quality
and integrity of Benchmarks ismaintained, in line with principles 6 to 15
on the quality of the Benchmark andMethodology;

7

CBA is supervised by the FCA (UK) and will
make available details of its conflict ofinterest register to its regulatory authority
upon request.
CBA has implemented a Risk and Control(R&C) Framework consistent with CMEGroup policies and procedures, with certain
details outlined below. The R&C Framework
is reviewed annually.

CBA has implemented a conflicts of interest
policy in line with IOSCO Principle 3. See
detail above.
i. The End of Day CVOL is calculated inaccordance with the approved Methodology.
Any deviation from the approved
Methodology requires additional approval by
the Oversight Committee.
i. The Live Streaming CVOL is calculated inaccordance with the Calculation Guide
which contains a defined calculationwaterfall.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceii. Arrangements to promote the integrityof Benchmark inputs, including adequate
due diligence on input sources;iii. Arrangements to ensure accountability
and complaints mechanisms are
effective, in line with principles 16 to 19;
andiv. Providing robust infrastructure,policies and procedures for the
management of risk, including
operational risk.

c) 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 whereappropriate.

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:

8

CME Group Benchmark Administration
Limited (CBA) Comment
ii. The End of Day CVOL calculation isbased on options settlement prices on CMEGroup DCMs. The Live Streaming CVOL isbased on options bids and offers on CMEGroup DCMs. CME Inc. is the calculation
agent for the CVOL. CBA has performed
due diligence on the depth and liquidity ofthe market and is satisfied as to theadequacy of its controls, and that the
publicly available option settlement prices
are a sufficient input to the CVOL.
iii. CME Group has in place a complaints
procedure which is published on the CMEGroup website. The procedures takeaccount of the 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. This ispart 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 Benchmarks are 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 – The CVOL is not based on
Submissions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

5. Internal
Oversight

9

IOSCO Principles - Detailed Guidancea) 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 and avoid errors in
inputs or Submissions, as well as ex-post
analysis of trends and outliers.
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;

CME Group Benchmark Administration
Limited (CBA) Comment
N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.

A CVOL Oversight Committee has been
established to provide challenge on all
aspects of the benchmark determination
process. Terms of Reference for thecommittee are in place defining committee
membership and responsibilities. OversightCommittee members are required to provide
conflicts of interest disclosures.
The CVOL Oversight Committee comprises
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 has established an independent
Oversight Committee for CVOL.

The Oversight Committee has clearly
defined Terms of Reference, which can be© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceb) Criteria to select members of theoversight function;c) The summary details of membershipof any committee or arrangement
charged with the oversight function,
along with any declarations of conflicts ofinterest and processes for election,
nomination or removal and replacementof committee members.
The responsibilities of the oversightfunction include: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.

CME Group Benchmark Administration
Limited (CBA) Comment
made available to Stakeholders uponrequest.
The Oversight Committee membershipselection is outlined in the OversightCommittee Terms of Reference.
The process for the nomination, removal andreplacement of committee members isoutlined in the Terms of Reference. A
conflicts of interest register is maintained formembers of the Oversight Committee.

i. The Oversight Committee will review theMethodology and Calculation Guide on anannual basis.
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 oversight function,
CBA will provide all necessary documents
and information to those governance bodies.
The CBA board can request external review
as appropriate and will be subject to internal
audit reviews on a regular basis.
iii. The Oversight Committee will review anychanges to the Benchmark Methodology andCalculation Guide. In addition, the annual
review ensures the continued integrity of the
Benchmark determinations. Where
appropriate, the Oversight Committee may
request the Administrator to consult with themarket on material changes to the
Benchmark Methodology and Calculation
Guide.
iv. CBA has in place, in the Methodology
procedures (including consultation with
Stakeholders), that address the possible
cessation of the Benchmark due toconditions resulting in the Benchmark nolonger representing its intended interest.

10© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceb) 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
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 arisein the Administrator due to its
ownership structures or controllinginterests, or due to other activities
conducted by any entity owning orcontrolling the Administrator or by the
Administrator or any of its affiliates:
the Administrator should establish an
independent oversight function which
includes a balanced representation of arange of Stakeholders where known,
Subscribers and Submitters, which is
chosen to counterbalance the relevant
conflict of interest.
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;c) Establishing effective arrangements toaddress breaches of the Code of
Conduct for Submitters; andd) Establishing measures to detect
potential anomalous or suspicious

11

CME Group Benchmark Administration
Limited (CBA) Comment
CBA’s control framework encompasses:
i. Service Level Agreements to maintainappropriate oversight of CME Inc. input datacollection, Calculation Agent, publication anddistribution 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.

CBA has established an independent
Oversight Committee consisting of industry
experts.

N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

6. Benchmark
DesignIOSCO Principles - Detailed Guidance
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 theprice, rate, index or value of the
Benchmark.

CME Group Benchmark Administration
Limited (CBA) Comment

CVOL is designed to measure the implied
volatility of selected instruments, traded on
CME Group DCMs.
The basic underlying methodology can beused to create single product indices, that
can also be combined to create broad-based
indices.
In addition to the single product indices,
related derivative indicators are calculated
and published as part of the index family:
•
•
•
•
•

Benchmark design should take into
account the following generic nonexclusive 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);

12

Up VarDown Var
Skew
At the money vol
Convexity

The CVOL has been designed to ensure theBenchmark is representative of its
underlying interest and remains robust.
The aim of the Benchmarks is to measure
the implied volatility of selected instruments,
traded on CME Group DCMs, and theirderivative indicators. Details of the mosttraded options contracts are available on the
CME page: CME Group Options. The
entirety of options contracts traded on CMEGroup DCMs are available on: CME GroupAll Products – Codes and Slate.
The CVOL is based on options traded on
CME Group DCMs; a complete list of traded
contracts and their Open Interest is available
on CME Group All Products – Codes andSlate.
Currently there are no financial instrumentsthat reference this family of benchmarks.
CME Group DCMs are open to a large
number of market participants, ensuring asignificant level of liquidity and market depth.
All customer segments are represented
including proprietary trading groups, banks,
hedge funds and asset managers.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

7. DataSufficiency

13

IOSCO Principles - Detailed Guidancee) Market dynamics (e.g., to ensure thatthe Benchmark reflects changes to theassets underpinning a Benchmark).
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 and demandin order to provide confidence that theprice discovery system is reliable; andb) Be anchored by observabletransactions entered into at arm’s length
between buyers and sellers in the market
for the Interest the Benchmark measuresin order for it to function as a credible
indicator of prices, rates, indices orvalues.
This 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, theCME Group Benchmark Administration
Limited (CBA) Comment
CME Group Options contracts closely reflect
the implied volatility of the underlying asset,
providing dynamic risk management.
The End of Day CVOL is based on publicly
available settlement data in the contracts of
selected options traded on CME Group
DCMs. The Live Streaming CVOL is basedon executable bids and offers on CMEGroup DCMs. These data sources are used
to measure the implied volatility of selected
instruments.
The input data used in the calculation of the
CVOL is from CME Group’s DCMs. Detailsof the options contracts and their volumes
and open interest is available at CME Group
Options page.

The input data used in the calculation of the
CVOL is based on a waterfall methodology
including publicly available settlement data,consistent with Principle 8. This is explainedin the Methodology and Calculation Guide.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

8. Hierarchy ofData Inputs

IOSCO Principles - Detailed Guidance
volatility 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 nontransactional data is used to reflect what
the index is designed to measure. For
example, certain volatility indices, which
are designed to measure the expectedvolatility of an index of securities
transactions, rely on non-transactionaldata, but the data is derived from andthus “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
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.

14

CME Group Benchmark Administration
Limited (CBA) Comment

The published Methodology and Calculation
Guide provides details the hierarchy of data
inputs used in the determination of the
CVOL Index.

N/A – The CVOL is not based on
Submissions.

Data inputs used in the calculation of the
End of Day CVOL include publicly available
option settlement prices. Data inputs used in
the calculation of the Live Streaming CVOL
include executable bids and offers. The
Published Methodology and Calculation
Guide provide details of the hierarchy ofdata inputs used in the determination of the
CVOL.
N/A – The data inputs used in the calculationof the End of Day CVOL are based on
publicly available option settlement prices.
Data Inputs used in the calculation of theLive Streaming CVOL are executable bids
and offers.
The Live Streaming CVOL Indices arecalculated based on executable bids andoffers, taken from CME Group DCMs.
The CME Group Volatility Index
Methodology and the Live Streaming CVOL
Calculation Guide do not use expert
judgement or discretion during the
calculation process.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

9.
Transparencyof Benchmark
Determinations

IOSCO Principles - Detailed Guidance
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 an outliertransaction. Under these circumstances,
non-transactional data such as bids andoffers and extrapolations from priortransactions might predominate in agiven Benchmark determination.
The Administrator should describe andpublish with each Benchmark
determination, to the extent reasonable
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.

15

CME Group Benchmark Administration
Limited (CBA) Comment
The CVOL Methodology and Live Streaming
CVOL Calculation Guide detail the
Administrator’s approach to ensure thequality, integrity, continuity and reliability of
the Benchmark.

The publication of the End of Day CVOL
occurs by 09:00pm ET each business day to
CME Group DataMine and CME Group
QuikStrike. The Live Streaming CVOL
Indices are calculated and published every
15 seconds throughout the day.
The CVOL measure the implied volatility of
selected instruments, traded on CME Group
DCMs.
Data inputs used in the calculation of the
End of Day CVOL include publicly available
option settlement prices. Data inputs used in
the calculation of the Live Streaming CVOL
include executable bids and offers. The
Published Methodology and Calculation
Guide provide details of the hierarchy ofdata inputs used in the determination of the
CVOL.

The CME Group Volatility Index
Methodology and Calculation Guide do notuse expert judgement or discretion during
the calculation process.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment

10. Periodic
Review

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 nonfunctioning such that it can no longer
function as the basis for a credible
Benchmark.
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.

CBA monitors the underlying (options)market to ensure the integrity of the CVOL.
The Oversight Committee will review theperformance of the Benchmark inaccordance with its terms of reference, toensure its credibility.

11.Content oftheMethodology

The Administrator should document andPublish or Make Available theMethodology used to make Benchmark
determinations. The Administrator should
provide the rationale for adopting aparticular 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
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;

16

Changes to the CVOL Methodology andCalculation Guide will be reviewed by theOversight Committee and as appropriate
may request the Administrator to consult
with relevant Stakeholders and the wider
market on any material changes.
CBA will Publish and Make Available theMethodology and Calculation Guide.

Key terms are defined in the published
Methodology and Calculation Guide.
The criteria and hierarchy of inputs aredescribed in the published Methodology andCalculation Guide documents.

The CME Group Volatility Index
Methodology and Calculation Guide do notuse expert judgement or discretion during
the calculation process.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

12.Changes totheMethodology

17

IOSCO Principles - Detailed Guidanced) 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 forinternal 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. These
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

CME Group Benchmark Administration
Limited (CBA) Comment
The procedures governing the Benchmark
determination in times of stress and market
disruption are included in the published
Methodology and Calculation Guide.
Error reporting and republication procedures
are included in the published Methodology
and Calculation Guide documents.
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 published Methodology and Calculation
Guide detail how the CVOL shall be
determined in illiquid markets.
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.

CBA will consult with Stakeholders and themarket with regards to material changes to
the CVOL Methodology.

The CVOL Oversight Committee periodicallyreviews the Methodology and Calculation
Guide to ensure the benchmark continues torepresent its underlying interest. Any© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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:

13.Transition

18a) 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 assessmentof the overall circumstances; andb) Provide for Stakeholders’ summarycomments, and the Administrator’ssummary response to those comments,
to be made accessible to all
Stakeholders after any given consultation
period, except where the commenter has
requested confidentiality.
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.

CME Group Benchmark Administration
Limited (CBA) Commentchanges will be specified, and theirimplementation timeline explained.

CBA may seek to revise the CVOL
Methodology and Calculation Guide;changes to these documents 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 result of
the consultation. In addition, the OversightCommittee can request the Administrator toconsult on any change as appropriate.
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
the CVOL Methodology as appropriate.

The Administrator constantly monitors therepresentativeness of the Benchmark. If the
Benchmark is deemed to be
unrepresentative of the underlying economic
reality due to paucity of input data orsystemic changes in the related markets, theAdministrator 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.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance

CME Group Benchmark Administration
Limited (CBA) Comment
Notice of a consultation will be posted atleast one month prior to the deadline forresponses. The notice will include the detailsof 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 forits consideration.

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
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 the revised

19

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.
The Benchmark Methodology describes theprocedures required for the cessation of thebenchmark.
The Benchmark Methodology recommends
users of the Benchmark to ensure they haveadequate fallback policies and procedures inthe event of the Benchmark losing its
representativeness, due to changes in theRegulatory Framework and/or market
conditions.

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 and advise
Stakeholders, including Regulators and endusers, about their findings.
The Administrator will endeavour to identify
alternative benchmarks; however, this might
not always be possible due to Regulations ormarket conditions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

14.Submitter
Code of
Conduct

20

IOSCO Principles - Detailed Guidance
Benchmark is investable, the availabilityof transparent transaction data, theimpact on Stakeholders and impact ofexisting 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) inorder 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
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 or Made
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.

CME Group Benchmark Administration
Limited (CBA) Comment

N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidance
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 the authorizationof such person(s) to report market 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; and21

CME Group Benchmark Administration
Limited (CBA) Comment
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.

N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.
N/A – The CVOL is not based on
Submissions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

IOSCO Principles - Detailed Guidanceg)
The Submitters’ internal systems
and controls, which should include:i. Procedures for submitting inputs,
including Methodologies to determine thetype of eligible inputs, in line with the
Administrator’s Methodologies;

CME Group Benchmark Administration
Limited (CBA) Comment
N/A – The CVOL is not based on
Submissions.

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);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© 2022 CME Group. All rights reserved.

IOSCO
Principle

15. Internal
Controls over
Data Collection

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 data fromany external source the Administrator
should ensure that there are appropriate
internal controls over its data collection
and transmission processes. These

CME Group Benchmark Administration
Limited (CBA) Comment

N/A – The CVOL is not based on
Submissions.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

16.Complaints
Procedures

IOSCO Principles - Detailed Guidancecontrols should address the process forselecting the source, collecting the dataand protecting the integrity andconfidentiality of the data. Where
Administrators receive data from
employees of the Front Office Function,
the Administrator should seek
corroborating data from other 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 ofthe 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 a complaint
results in a change in a Benchmark
determination, that should be Published24

CME Group Benchmark Administration
Limited (CBA) Comment

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
CBA website.

CBA has created 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
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 CVOL Methodology andCalculation Guide will be made inaccordance with Principle 12.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

17.Audits

18.Audit Trail

IOSCO Principles - Detailed Guidanceor Made Available to Subscribers andPublished 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.
Where appropriate to the level of existingor 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 toapplicable 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 Judgment made by
the Administrator in reaching a
Benchmark determination;c) Other changes in or deviations fromstandard procedures and Methodologies,
including those made during periods ofmarket stress or disruption;d)
The identity of each person
involved in producing a Benchmark
determination; and25

CME Group Benchmark Administration
Limited (CBA) Comment

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, theOversight Committee or the internal audit
function.

CME Group retains all records below for aminimum of 5 years.
CME Group retains all records below for aminimum of 5 years. All input data used in
the calculation of the CVOL is included in
the record retention policy.
The CME Group Volatility Index
Methodology and Live Streaming Calculation
Guide do not use expert judgement or
discretion during the calculation process.
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 for the
calculation of the CVOL are logged andincluded in the record retention policy.

© 2022 CME Group. All rights reserved.

IOSCO
Principle

19.
Cooperation
with
Regulatory
Authorities

26

IOSCO Principles - Detailed Guidancee)
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 for compliancewith this Principle, subject to appropriate
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 and Methodologies
governing the Submission 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;h)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 the relevant
Regulatory Authorities in carrying out
their regulatory or supervisory duties andhanded over promptly upon request.

CME Group Benchmark Administration
Limited (CBA) Comment
All queries and responses will be logged andincluded in the record retention policy.
CBA, through its agreement with thecalculation agent, has access to all records
used in the calculation and determination of
CVOL for a minimum of 5 years.

N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL is not based on
Submissions.
N/A - The CVOL 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.

© 2022 CME Group. All rights reserved.

cmegroup.com© 2022 CME Group. All rights reserved.