Implementation Change to the Potentially Erroneous Data Parameter for all CME CF Real Time Indices

The Administrator announces a change to the implementation of the Potentially Erroneous Data Parameter as described in section 5.3 of the CME CF Real Time Indices Methodology Guide that will become effective September 14th c. 1630 London time.

Exclusion of a constituent exchange orderbook from the calculation continues to be triggered by it exhibiting a mid-price that is deviated from the other valid exchanges by a percentage that exceeds the Potentially Erroneous Data Parameter. However, from this time onwards any constituent exchange that has been excluded for exceeding the Potentially Erroneous Data Parameter must exhibit an orderbook mid-price that is deviated by less than 50% of the Potentially Erroneous Data Parameter from the median of the other valid constituent exchanges to be re-included in the index calculation.

This revised implementation of the Potentially Erroneous Data Parameter is intended to promote the aims of the benchmark and was approved by the CME CF Oversight Committee at a meeting on July 31st 2020.

The revised methodology will be available on the Administrators website www.cfbenchmarks.com once the change has been implemented.

Should any index users or stakeholders have any questions or queries to this change they can contact the Administrator at [email protected]