Announcement of Consultation on Changes to the CME CF Real Time Indices Methodology

The Administrator is launching a consultation on proposed changes to the CME CF Real Time Indices Methodology.

The Administrator proposes changes to 4 (Methodology and Rules) as outlined in the table below. In summary the CME CF Real Time Indices (RTI) are computed from a consolidated order book that aggregates limit order data from CME CF Constituent Exchanges. When these individual books are combined, the resulting consolidated book can become crossed: the best bid price at or above the best ask. Under the current methodology, crossed levels are retained and contribute to the price-volume (PV) curve calculation. This is noted in Section 4.2 of the methodology: “utilized depth will always include any crossing section of the consolidated order book”. Proposed methodology changes introduce an uncrossing step to resolve this. Enabling it requires a methodology amendment with no changes to any other calculation parameters.

The proposed methodology changes mean that product providers that replicate or utilize the CME CF Real Time Indices Methodology may need to factor the changes into their processes and products when transacting in instruments that are linked to any index subject to this methodology. The financial value of contracts, instruments and funds that directly reference or are settled using any index subject to this methodology may be impacted by the proposed changes.

Implementation Timeline
The Administrator proposes to implement the changes to the CME CF Real Time Indices Methodology at 11:00 London Time on June 29th, 2026.

Consultation Process
The consultation will begin on June 10th, 2026, and end on June 24th, 2026, at 16:00 London Time. All responses will be treated confidentially in accordance with the Administrator’s policies and procedures. The consultation will be overseen by the CME CF Oversight Committee, in accordance with UK BMR.

In case of any questions or queries please do not hesitate to contact [email protected].

Any users wishing to file a complaint regarding this consultation process can do so confidentially by writing to [email protected].