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Dec 27, 2023

Calculation Failure for CF Rolling CME Bitcoin Ether Basket Futures Index on Tuesday, December 26th, 2023

The Administrator reports the occurrence of a Calculation Failure for the CF Rolling CME Bitcoin Ether Basket Futures Index (Excess Return) (CFCMEBEF_BE) on Tuesday, December 26th, 2023, due to a delay in the calculation and dissemination of the CF Rolling CME Ether Futures Index Price on that Calculation Day.

In accordance with the CF Rolling CME Bitcoin Ether Basket Futures Index (Excess Return) Methodology Guide (Section 5.2, page 10, 'Calculation Failure'), the CF Rolling CME Bitcoin Ether Basket Futures Index (Excess Return) Price for that Calculation Day is given by the Index Price for the previous Calculation Day (Friday, December 22nd, 2023).

The occurrence of any Index Price Calculation Failure is reported to the CF Oversight Function.

Questions or queries regarding this process and decision should be directed to [email protected].

Complaints regarding this process and decision may be made confidentially by writing to [email protected].