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Mar 21, 2022

Announcement of Methodology Change Consultation for Benchmarks within the CF Digital Asset Index Family

The Administrator wishes to inform benchmark users that it will be launching a consultation process to a methodology change to the following benchmarks within the CF Digital Asset Index Family:

  • CF Chainlink- Dollar Settlement Price
  • CF Tezos - Dollar Settlement Price
  • CF Stellar Lumens – Dollar Settlement Price

The methodology of calculation for these benchmarks utilises an observation window during which the Administrator collects data associated with transactions that have taken place on the venues it utilises as input data sources (CF Constituent Exchanges). All the above benchmarks within the CF Cryptocurrency Index Family are currently calculated in accordance with the CF Settlement Prices Methodology utilising the below parameters:

Parameter

Parameter Level

Observation Window

1430 to 1600 London Time

Partition Length

10 minutes

Partition Number

9

Rationale for Methodology Change

The Administrator has observed that data sufficiency is amply fulfilled by the available liquidity through the transactions conducted on CF Constituent Exchanges and in the interests of promoting representativeness of the benchmarks and their replicability without undue risks to benchmark users that the parameters be changed to the following:

Parameter

Parameter Level

Observation Window

1500 to 1600 London Time

Partition Length

5 minutes

Partition Number

12

Implementation Timeline

The Administrator intends to implement this change at 1100 London time on April 25thmeaning that the Settlement Prices for April 25th and all subsequent dates will be calculated in accordance with the new parameters.

Consultation Process
The consultation will begin on March 21st 2022, ending on March 28th2022. All responses will be treated confidentially in accordance with the Administrators policies and procedures and be overseen by the CF Oversight Function in accordance with UK BMR.

Should any market participants have any questions or queries please do not hesitate to contact [email protected]

Should any users wish to file a complaint regarding this consultation process this can be done  so confidentially at [email protected]