Announcement of a Consultation on changes to the CF Digital Asset Classification Structure (CF DACS) Methodology

The Administrator announces that it is launching a consultation on proposed changes to the CF Digital Asset Classification Structure (CF DACS) Methodology.

• The Administrator proposes changes to definitions and structure. Suggested changes will be reflected within Section 3 of the CF Digital Asset Classification Structure Methodology Guide. (Access the current version of the Methodology Guide by clicking here.) Changes are proposed specifically in the subsections titled 'Examples' and 'Definitions'. Please refer to the document that can be downloaded from this link for details of the proposed changes.

The most recent review of the CF investable universe as well as the evolution of the CF DACS Definitions resulted in changes to the CF DACS structure and hierarchy, and to the introduction of more granular Definitions for different levels within the CF DACS.

• Accordingly, the Administrator proposes to amend the “Asset Eligibility & Classification Maintenance” section of CF Digital Asset Classification Structure Methodology Guide. Please see the excerpt of the “Asset Eligibility & Classification Maintenance” section reproduced below. Changes proposed are indicated by the parts that have been struck out in the excerpt.

The Administrator and CF Oversight Function concluded that instances of Digital Asset classifications undertaken for the first time would not be subject to consultation. All Digital Assets are classified using the existing framework and rules.

3 Asset Eligibility & Classification Maintenance

CF DACS is intended to assist investors in better understanding portfolio returns and allows portfolios to be constructed that can capture entire value chains or blockchain economic categories. To fulfil these twin aims the CF DACS shall seek to classify any and all Digital Assets for which there is a pricing source calculated by CF Benchmarks. These will include but are not limited to:

• Digital Assets which are deemed to be within the CF investable universe and that are eligible for inclusion as constituents in members of the CF Digital Asset Index Family - Multi Asset Series (determination of the Investable Universe is done in accordance with CF Digital Asset Index Family – Multi Asset Series Ground Rules)
• Digital Assets which are deemed to be within the CME CF Cryptocurrency Pricing Products Index Family
• Digital Assets which are deemed to be within the CF Digital Asset Index Family

Many Digital Assets are currently not part of any CF Benchmarks products. However, those assets may be considered for inclusion within CF DACS if there is specific interest expressed by market participants or clients to classify those.

Such requests will undergo an in-depth review process and will be subject to a consultation process with users and relevant stakeholders.

CF Benchmarks is under no obligation to include any such Digital Assets within CF DACS if the CF Benchmarks Product Management function is unable to determine their classification and re-evaluate them on an ongoing basis through the existing review process. Any such Digital Assets which are deemed eligible for inclusion will be clearly identified.

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Implementation Timeline

The Administrator proposes to implement the proposed changes to the CF Digital Asset Classification Structure Methodology at 1600 London Time on July 5th, 2023, meaning that all products will begin utilizing the CF DACS’s new structure and Definitions from that date forward.

Consultation Process

The consultation will begin on June 20th, 2023, and end on July 4th, 2023, at 1600 London Time. All responses will be treated confidentially, in accordance with the Administrator’s policies and procedures, and will be overseen by the CF Oversight Function, in accordance with CF Benchmarks' Consultation Process and Procedures.

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].