Announcement of Consultation Regarding Changes to Methodology Parameters of CF Ripple-Bitcoin Settlement Price

1400 LDN

The Administrator announces that it will initiate a consultation on proposed changes to the methodology parameters of the CF Ripple-Bitcoin Settlement Price, a member of the CF Cryptocurrency Index Family. The proposed change is to amend both the observation window parameters and partition lengths that are utilised for the calculation of the index.

The proposed change and implementation date

Current Parameters Utilised

• Observation Window (LDN): 1500 to 1600 LDN
• Partition Length: 5 mins

Proposed Parameters

• Proposed Observation Window: 1430 to 1600 LDN
• Proposed Partition Length: 10 mins

Proposed Date of Implementation

The Administrator proposes to implement this change at 1630 on May 31st, 2019. This means that the CF Ripple-Bitcoin Settlement Price for June 1st, 2019 would be calculated utilising the new methodology parameters.

Methodology Algorithm

There will be no change to the methodology algorithm.

Rationale

The proposed parameter changes will extend the observation window and promote data sufficiency for the CF Ripple-Bitcoin Settlement Price. In accordance with its policies the Administrator conducted detailed analysis of the proposed changes and presented this to the CF Cryptocurrency Index Family Oversight Function which shall provide oversight to this consultation process.

Likely Impacts

The proposed parameter changes will mean a greater number of transactions will be utilised as input data that will enhance data sufficiency with minimal impact on the properties of the index, including manipulation resistance, as described in the methodology guide.

Consultation Process

The consultation for all aspects of this proposed change and its proposed date of implementation will open at 0900 LDN on Friday May 10th, 2019 and close at 1600 LDN on Friday May 24th, 2019. All responses will be treated in confidence unless a respondent specifies that it wishes its identity to be known to the Administrator.

Further to general comments the Administrator will seek to understand from index users what the likely impacts could be in vis a vis:

Timeframe of Proposed Change
Whether the proposed change allows market participants to make the necessary arrangements to potentially accommodate the methodology change

Financial Impact of Proposed Change
The financial value of contracts, instruments, funds that directly reference or are settled according to the benchmark that shall be impacted by the proposed change.

Market Impact of Proposed Change
The number of counterparties and types of counterparties that could be adversely impacted and the scale of the disruption they would face as a result of the proposed change.

Should the consultation result in the Administrator not implementing any of the proposed changes or the implementation date being changed then this and any further shall be announced by the Administrator.
Any queries regarding the consultation process should be addressed to [email protected]