The consultation process to a methodology change to the following benchmarks within the CF Digital Asset Index Family are now open:
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 (there is no change to the calculation algorithm):
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
This consultation is now open and will end at 1630 London Time 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]
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.
CF Benchmarks
CF Benchmarks
Gabriel Selby