CME EBS FX Benchmarks Methodology Document

This document is a technical report detailing the CME EBS FX Benchmarks methodology. It outlines the structure and calculation processes used to determine spot rate fixings for various currency pairs, which are calculated multiple times daily. The benchmarks are administered by CME Group Benchmark Administration Limited and are compliant with UK Benchmark Regulation and IOSCO Principles for Financial Benchmarks. The report describes the calculation methodology, which employs a waterfall approach based on available data during observation windows. It also discusses the use of expert judgment in exceptional circumstances, validation checks for data quality, and the publication and restatement policies for the benchmarks. The document includes specific details on the governance structure, oversight committees, and the process for handling complaints. Additionally, it provides a glossary of key terms and definitions relevant to the benchmarks.