Sep 07, 2020
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]
The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.
Note: Some of the underlying instruments cited within this material may be restricted to certain customer categories in certain jurisdictions.
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