CME EUR/USD Cross Currency Basis Index (XEURBI)
Measure the basis point deviation from the covered interest rate parity implied forward FX price.
Transparent
Utilizes the 4pm London Markers for the Euro FX, three-month SOFR and three-month ESTR Futures Markets.
Representative
Provides an easy to understand measure of the deviation from covered interest rate parity in the EUR/USD Market.
Robust
Administered by CBA, regulated under BMR and adheres to the IOSCO Principles.
CME EUR/USD Cross Currency Basis Index
The CME EUR/USD Cross Currency Basis Index measures the basis point deviation from the covered interest parity implied forward FX price. This is established by calculating the difference between the next ESTR quarterly IMM futures interest rate and the implied ESTR interest rate from the next Euro FX and SOFR quarterly IMM futures.
The calculation utilizes the 4pm London Markers for the following contracts:
- Three-month SOFR Futures
- Three-month ESTR Futures
- EUR/USD FX Futures
The index calculation will be expressed in basis points on the ESTR interest rate.
Index Ticker: XEURBI
End of Day Index Value
Resources
Methodology & Statements
Licensing
Additional Resources
How to access
Direct from CME Group
Real-time data via CME Market Data Platform and Smart Stream on Google Cloud Platform.
The CME Benchmark Administration Oversight Committee
The oversight committee will provide independent governance, and challenge to the Administrator on all aspects of the benchmark determination process in accordance with the Oversight Committee Terms of Reference.
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