Cross-post from another thread, more details there:

https://www.sqlservercentral.com/forums/topic/bankers-rounding-in-t-sql-like-math-round-in-net/page/4#post-4258087

This is the function we currently use, with some assumptions and simplifications.

We only need to represent values below 1M and we always round...

I'm amazed I still can't find an official or widely endorsed solution to this, but CodeMuddler's solution is the best I have found so far. CLR is not an option...