Indices Calculation Methodology

Changes to the Indices Calculation Methodology, effective 1 January 2017, have been published.

Changes are summarised below:

  • Change to the treatment of off-exchange trades. The calculation methodology has been changed to include off-exchange trades in the indices if, and only if, the buyer and seller are not known to one another at time of trade confirmation. Currently both indices exclude all off-exchange trades.
  • Changes will not be applied retrospectively.
  • Changes to the methodology will apply from 01 January 2017.
  • The published calculation methodology is available here [PDF, 268 KB]. A marked-up version of the current methodology is available here [PDF, 374 KB].