CCi30 Cryptocurrency Index: Methodology Manual

Version 2.0 · Effective date: 10 October 2026 · Replaces the version dated 3 August 2026

Administrator: CSP DAO LLC · https://cci30.com · info@cci30.com

0. Document control

0.1 This document

0.1.1 Title: CCi30 Cryptocurrency Index Methodology Manual.

0.1.2 Version: 2.0.

0.1.3 Effective Date: 10 October 2026. From this date version 2.0 governs the Index and replaces the version dated 3 August 2026.

0.1.4 Published by: CSP DAO LLC, the Administrator, on 10 October 2026.

0.1.5 Owner: CSP DAO LLC, the Administrator.

0.1.6 The version dated 3 August 2026 was published as a PDF at https://cci30.com/wp-content/uploads/2026/07/CCi30-Cryptocurrency-Index-Methodology-Manual.pdf. It stays online as a superseded version, for reference. From the Effective Date it no longer governs the Index; this version 2.0 does.

0.2 Changes from the 3 August 2026 version

0.2.1 The table lists every change and the reason for it.

0.4 How to read this Manual

0.4.1 Sections 1 to 3 describe the Index. Sections 4 to 10 contain the rules for selection, data, calculation and maintenance. Section 11 covers extraordinary events, Section 12 corrections, Section 13 the published statistics and Section 14 publication. Sections 15 to 20 cover governance, IOSCO alignment, limitations, intellectual property, disclaimers and contact. The appendices give parameters, worked examples and the Exclusion List.

0.4.2 Formulas use the notation of Section 2.2. Clause references such as "Section 6.6.1" point to numbered clauses.

1. Introduction and scope

1.1 Purpose of this Manual

1.1.1 This Manual sets out the rules that the Administrator uses to select, weight, calculate, maintain and publish the CCi30 Cryptocurrency Index (the "Index").

1.1.2 The rules are written so that a person who holds the same input data can reproduce every value the Index publishes from version 2.0 onward. Where a past value cannot be reproduced from data that still exists, the Manual says so and says why (Sections 5.8 and 12.9).

1.1.3 Every formula in this Manual is the formula the Calculation System uses. Where the Calculation System and an earlier text of this Manual differed, this version follows the Calculation System and records the change in Section 0.2.

1.2 What the Index measures

1.2.1 The Index measures the performance, in US dollars, of the 30 largest cryptocurrencies by Adjusted Market Capitalisation, after stablecoins and other pegged assets are excluded.

1.2.2 Each Constituent's weight at a Rebalance is proportional to the square root of its Adjusted Market Capitalisation. No caps and no floors apply.

1.2.3 The Index is a price return index. It does not reinvest income of any kind: no staking rewards, interest, airdropped tokens or forked tokens are added to it.

1.2.4 The Index is calculated every 10 seconds, 24 hours a day, every day of the year. It observes no holidays.

1.3 Design aims

1.3.1 The 3 August 2026 version listed five main characteristics. They remain the design aims of the Index. This version states each one as a property that a reader can check.

(a) Diversified. The Index holds 30 Constituents, and square-root weighting limits the share of the largest ones. At the Rebalance of 1 October 2026 the largest target weight was 26.6292% (Bitcoin) and the smallest was 1.01575% (Ondo).

(b) Replicable. The Administrator publishes the target weights of every Rebalance and the membership of every Reconstitution since 1 January 2015. Prices come from one commercial data feed (Section 5.2), which a replicating party can license.

(c) Stated in full. The selection and weighting rules are fully stated in this Manual. The Calculation System records the inputs and the result of every Rebalance (Section 8.9).

(d) Broad coverage. The Constituents are chosen from a ranked list of up to 200 Candidates (Section 8.2), so the Index follows the largest part of the market and not one asset.

(e) Risk-adjusted profile. Square-root weighting was chosen as a compromise between market capitalisation weighting, which the two largest assets would dominate, and equal weighting, which would give too much weight to small and illiquid assets (Section 9.2). The Administrator publishes risk-adjusted statistics so that users can judge the result (Section 13).

1.3.2 The 3 August 2026 version described the fifth characteristic as "the best risk-adjusted performance profile possible". This version drops that claim, because no rule in the Manual can prove it.

1.4 Intended use

1.4.1 The Index is intended as a benchmark for the cryptocurrency market, as a reference for portfolios that replicate it, and as the underlying of licensed products.

1.4.2 The Index is not itself an investable instrument. Exposure to it requires a replicating portfolio or a licensed product.

1.4.3 Nothing in this Manual is investment advice (Section 19).

1.5 Scope of this Manual

1.5.1 This Manual governs the calculation, maintenance, correction and publication of the Index and the statistics derived from it.

1.5.2 The use of the Index, its data and its name is governed by the Administrator's terms of use, published at https://cci30.com/terms/, and by its licences. Section 18 summarises them. In case of conflict on a licensing or liability matter, the terms of use prevail. In case of conflict on a calculation matter, this Manual prevails.

1.5.3 Summaries of the methodology on the website, in the whitepaper, in the frequently asked questions, in data files and in machine-readable feeds are for information. Where a summary differs from this Manual, this Manual prevails, and the Administrator corrects the summary.

1.6 History of the Index

1.6.1 The Index was created by Carlo Scevola, economist, and Igor Rivin, mathematician.

1.6.2 The base value is 100.00 at the Close of 1 January 2015, which is 24:00 GMT on 1 January 2015, the same instant as 00:00 GMT on 2 January 2015 (Section 6.15).

1.6.3 Real-time publication began on 1 January 2017. Values dated before 1 January 2017 were calculated after the fact. Section 5.8 states what the records show about their sources.

1.6.4 From 1 January 2017 to 4 October 2026 a previous calculation system (PHP and Python programs with a MySQL database) calculated the Index. Since 5 October 2026 the Index has been calculated by the current Calculation System (Section 3.4).

1.6.5 On 9 October 2026 the Administrator restated the published daily history from 2018 onward to remove errors made by the previous calculation system. Section 12.8 describes the restatement.

1.7 Language and versions

1.7.1 This Manual is written in English. A translation has no authority.

1.7.2 This version 2.0 replaces the version dated 3 August 2026 from its Effective Date (Section 0.1). Section 15.9 sets out how the Manual is changed.

2. Definitions, notation and time conventions

2.1 Definitions

In this Manual the following terms have the meanings below. Defined terms start with a capital letter.

2.1.1 Adjusted Market Capitalisation ($M_i^{*}$): the exponentially weighted moving average of a coin's daily Market Capitalisation, defined in Section 7.

2.1.2 Administrator: CSP DAO LLC, a limited liability company formed in Wyoming, United States, on 2 March 2022 (Wyoming filing number 2022-001086782), with Legal Entity Identifier 9845006BE86C7D0ZBC50.

2.1.3 Calculation Agent: the person that runs the Calculation System. The Administrator acts as its own Calculation Agent.

2.1.4 Calculation System: the software and server that compute the Index. Since 5 October 2026 this is the program "cci30d", operated by the Administrator.

2.1.5 Candidate: a coin that is considered for selection at a Reconstitution, as defined in Section 8.2.

2.1.6 Close of a coin on a Day: the last Price of that coin that the Calculation System received for that Day. Close of the Index on a Day: the value defined in Section 6.8.

2.1.7 Coin: any cryptocurrency or crypto token that the Market Data Provider lists.

2.1.8 Composition: the set of Constituents together with their Units, in force from one Effective Time until the next.

2.1.9 Constituent: a Coin that is a member of the Index.

2.1.10 Day, or Index Business Day: a calendar day from 00:00:00 to 24:00:00 GMT. Every calendar day is an Index Business Day. The Index has no holidays and no weekends.

2.1.11 Drifted Weight ($w_i(t)$): the share of Constituent $i$ in the Index at time $t$, defined in Section 6.3.

2.1.12 Effective Time: the time from which a new Composition applies. For a scheduled Rebalance it is 00:00 GMT on the Rebalance Day (Section 10.3).

2.1.13 Exclusion List: the list of Coins that the Administrator has excluded from the Index by name, with the recorded reason for each (Section 4.4 and Appendix G).

2.1.14 Extraordinary Event: an event listed in Section 11 that the scheduled rules do not handle alone.

2.1.15 GMT: Greenwich Mean Time. For this Manual GMT is the same as Coordinated Universal Time (UTC). No daylight saving time applies.

2.1.16 Index: the CCi30 Cryptocurrency Index.

2.1.17 Index Committee: a term of the 3 August 2026 version. In this version the Administrator decides every matter that the earlier version gave to an Index Committee or a board (Section 15.2).

2.1.18 Level: a value of the Index, in index points.

2.1.19 Market Capitalisation ($M_i$): the US dollar market capitalisation of a Coin as reported by the Market Data Provider (Section 5.4). The Market Capitalisation of a Day is defined in Section 5.5.

2.1.20 Market Data Provider: CoinMarketCap, the source of Market Capitalisations, 24-hour trading volumes, ranks and classification tags.

2.1.21 Official Close: the Index Close of a Day as calculated at 03:15 GMT on the following Day (Section 6.12).

2.1.22 Price ($P_i(t)$): the US dollar price of a Coin at time $t$ as obtained from the Price Provider (Section 5.2).

2.1.23 Price Age: the time between the timestamp that the Price Provider reports for a Price and the moment of calculation.

2.1.24 Price Provider: CoinAPI, the source of all Constituent Prices.

2.1.25 Provisional Close: the Index Close of a Day as calculated at 00:00:05 GMT on the following Day (Section 6.12).

2.1.26 Real-Time Value: a Level calculated during the Day from the latest Prices (Section 6.5).

2.1.27 Rebalance: the monthly recalculation of the target weights of the existing Constituents. The term also covers a Reconstitution when the context is the procedure in Section 10.

2.1.28 Rebalance Day ($D$): the first Day of a calendar month, on which a Rebalance or a Reconstitution takes effect.

2.1.29 Reconstitution: the quarterly review of membership, which selects the Constituents and their target weights (Section 8).

2.1.30 Restatement: the replacement of published Official Closes or statistics by corrected values (Section 12).

2.1.31 Stale Price: a Price whose Price Age is more than 900 seconds.

2.1.32 Target Weight ($f_i$): the weight given to Constituent $i$ at a Rebalance (Section 9.1). The weights published in the weights file are Target Weights.

2.1.33 Units ($u_i$): the quantity of Constituent $i$ that the Index holds. Units change only at an Effective Time.

2.1.34 Withheld: a Real-Time Value is withheld when the Calculation System calculates it but does not publish it, under Section 6.6.

2.2 Notation

2.2.1 The symbols below are used throughout. Each is also defined where it first appears.

2.3 Time conventions

2.3.1 All times in this Manual are GMT (Section 2.1.15).

2.3.2 A daily value is dated with the Day it covers. The row dated $D$ describes the period from 00:00 GMT to 24:00 GMT on $D$. Its Close is the Level at 24:00 GMT on $D$, which is the same instant as 00:00 GMT on $D+1$.

2.3.3 The Calculation System closes a Day by a "day rollover" at 00:00:05 GMT on the next Day. Prices and Real-Time Values received between 00:00:00 and the rollover belong to the Day that is ending.

2.3.4 $T_0$ always denotes the Effective Time of the Composition in force. For a scheduled Rebalance on Day $D$, $T_0$ is 00:00 GMT on $D$, and the Prices "at $T_0$" are the Closes of the Constituents on $D-1$: $P_i(T_0)=c_i(D-1)$.

2.3.5 The 3 August 2026 version used $t$, $T$ and $T_0$ in different senses in different formulas. This version uses $t$ only for a point in time, $T_0$ only for an Effective Time, $D$ only for a Day, and $k$ only for an observation lag (Section 7).

3. Index identification and roles

3.1 Identification

3.1.1 The Index is identified as follows.

3.2 Tickers and other identifiers

3.2.1 The Index is published under the vendor code CCI30.

3.2.2 The word mark CCI30 is registered in the United States (Reg. No. 5,640,753, class 35) and in the European Union (EUTM 017282351, class 36). Section 18.2 states the registered owner.

3.2.3 The table of contents of the 3 August 2026 version listed a "Tickers" section that the document did not contain. This version has no separate Tickers section. Identifiers are given in this Section 3.

3.3 Roles

3.3.1 Administrator. The Administrator has overall responsibility for the Index: its methodology, its calculation, its publication, its governance and its records.

3.3.2 Decisions. The Administrator decides the matters listed in Section 15.3. It does not decide the selection or the weights in normal operation, which follow the rules alone (Section 15.4).

3.3.3 Calculation Agent. The Administrator calculates the Index itself, with the Calculation System.

3.3.4 Data providers. CoinAPI supplies Prices. CoinMarketCap supplies Market Capitalisations, volumes and classification tags. The European Central Bank and Yahoo supply benchmark prices used only for statistics (Section 5.7). The data providers are third parties. They do not take part in the governance of the Index.

3.4 The Calculation System

3.4.1 Since 5 October 2026 the Calculation System is a single program, "cci30d", that runs on a server operated by the Administrator. It requests Prices and Market Capitalisations, calculates Real-Time Values, closes each Day, runs Rebalances, computes the statistics, stores every input and output in one database, and serves the published data.

3.4.2 The index calculations in the Calculation System are pure functions: the same inputs always give the same outputs. Its test suite reproduces published history from stored data. For example, from stored Units and Coin prices it reproduces 685 of 700 published Closes from June 2022 to April 2024 within 0.001% (the worst day differs by 0.12%). With the previous system's exclusion list alone, it selects the same 30 Constituents as the previous system's first calculation of the Reconstitution of 1 October 2026, the one that included Ripple USD (Section 11.12.2), with every weight within 0.00005. With all the rules of this Manual, a test run on a copy of the database on 10 October 2026 reproduced the corrected Reconstitution of 1 October 2026: the same 3 entrants (Ethena, OKB, Ondo), the same 3 exits and the same 30 Target Weights, the largest difference being 3.7 × 10⁻⁷.

3.4.3 The Calculation System never rounds an intermediate value. Rounding is applied only to published figures (Section 6.14).

4. Eligible universe and exclusions

4.1 The universe

4.1.1 A Coin belongs to the universe for a Reconstitution on Day $D$ if the Market Data Provider reports a positive Market Capitalisation for it on $D-1$ (Section 5.5).

4.1.2 In practice the universe is the set of Coins in the Market Data Provider's listing of the 250 largest Coins by Market Capitalisation, which the Calculation System retrieves every 10 minutes (Section 5.4). A Coin outside that listing on every snapshot of $D-1$ has no Market Capitalisation for $D-1$ and cannot be a Candidate.

4.1.3 A Coin in the universe is eligible unless it is excluded under Sections 4.3 to 4.6.

4.2 Data requirements

4.2.1 A Candidate is selected only if it has more than 10 daily Market Capitalisation observations in the window of Section 7.2, that is, at least 11 (Section 8.3).

4.2.2 A Coin can become a Constituent only if the Price Provider supplies a Price for it, because its Units are set from its Close on $D-1$ (Section 10.5). A Coin that the Price Provider does not cover cannot be a Constituent.

4.2.3 The Calculation System stores daily Prices only for current Constituents. A Coin selected at a Reconstitution therefore normally has no stored Close for $D-1$. In that case the Calculation System requests the Coin's daily bar for $D-1$ from the Price Provider's exchange-rate history, stores it as the Coin's daily values for $D-1$, and completes the Rebalance with that Close (Section 10.5.4). If the Price Provider supplies no bar, the Rebalance is not completed (Section 10.9). This rule applies from 10 October 2026.

4.3 Automatic exclusion by classification tag

4.3.1 A Coin is excluded if any classification tag that the Market Data Provider gives it contains one of the following strings, compared without regard to upper or lower case:

(a) "stablecoin";

(b) "wrapped-tokens";

(c) "liquid-staking-derivatives".

4.3.2 This test runs at every Reconstitution on the tags recorded for each Coin. It needs no decision by any person.

4.3.3 The Administrator may add strings to the list in Section 4.3.1 by a methodology change under Section 15.9.

4.4 The Exclusion List

4.4.1 The Administrator keeps an Exclusion List of Coins excluded by name, with the reason for each. A Coin on the Exclusion List is excluded whatever its tags.

4.4.2 The Exclusion List exists because tags can be missing or late. On 1 October 2026 Ripple USD (RLUSD), a stablecoin, entered the Index because the previous system matched exclusions only by exact identifier and the Coin was not on the list (Section 11.12).

4.4.3 Appendix G reproduces the Exclusion List as it stood on 1 October 2026: 21 entries.

4.4.4 The Administrator decides every addition to and removal from the Exclusion List, and publishes the change and the reason before the next Reconstitution. Two entries, "ftx-token" and "toncoin", are neither stablecoins nor pegged assets. The previous system's table records "ftx-token" under the category "stablecoin", which FTX Token is not, and gives no category for "toncoin". The records give no other reason for either entry.

4.5 Stablecoins and pegged assets

4.5.1 The Index excludes Coins whose price is designed to follow the price of something else. These are:

(a) stablecoins, whose price is designed to follow a fiat currency;

(b) Coins designed to follow the price of a commodity, such as gold;

(c) wrapped or bridged representations of another Coin;

(d) liquid-staking derivatives, which represent a staked position in another Coin;

(e) any other Coin designed to follow the price of another asset.

4.5.2 The reason is that the price of such a Coin carries no independent information about the cryptocurrency market.

4.5.3 Stablecoins pegged to the US dollar have been excluded since the Reconstitution of 1 January 2019. Before that date Tether was a Constituent. The published composition file records this change.

4.5.4 The exclusion of pegged assets was not applied in every period. Wrapped Bitcoin was a Constituent from October 2020 to October 2021, and Bitcoin BEP2 in October 2021. Both left the Index on 1 November 2021 (Section 11.16). The current tag test in Section 4.3 would have excluded both.

4.6 Peg review rule

4.6.1 At each Reconstitution the Calculation System flags for review any ranked Coin whose daily Close stayed within 3% of USD 1.00 (that is, between USD 0.97 and USD 1.03) on each of its last 30 recorded daily Closes in the period from $D-46$ to $D-1$. A Coin with fewer than 30 recorded Closes in that period is not flagged.

4.6.2 A flagged Coin is not excluded automatically, because a Coin that is not pegged can trade near USD 1.00 for some weeks. The flag is reported to the Administrator with the Reconstitution result (Section 5.10.1(g)).

4.6.3 The Administrator decides whether a flagged Coin is a pegged asset under Section 4.5. If it is, the Administrator adds it to the Exclusion List. If the Coin was selected, Section 11.12 applies.

4.6.4 The flag is raised when the Reconstitution runs at 00:00:05 GMT on $D$, the moment the new Composition takes effect. No review takes place before the Effective Time. A decision on a flagged Coin that was selected therefore takes effect after it, under Section 11.12.

4.6.5 The test uses the daily Closes stored by the Calculation System, which stores daily Closes only for Constituents (Section 4.2.3). The request of Section 10.5.4 adds one Close, for $D-1$ only, and only for Coins already selected. A Coin that was not a Constituent on at least 30 Days of the period from $D-46$ to $D-1$ therefore has fewer than 30 recorded Closes and is not flagged. In practice the test can flag only Coins that are already Constituents.

4.7 Additional eligibility criteria

4.7.1 The 3 August 2026 version listed four eligibility criteria that the Calculation System does not test automatically: the Coin must be traded on at least 3 public centralised exchanges that report the last traded price and the last 24-hour volume; its average daily trading volume over the last 30 days must exceed USD 1 million on at least one supported exchange; an accurate circulating supply figure must exist; and the Coin must serve as a means of exchange, a unit of account and a store of value.

4.7.2 The four criteria are withdrawn. Eligibility is defined only by Sections 4.1 to 4.6: a positive Market Capitalisation, a Price from the Price Provider, no excluding tag, no entry on the Exclusion List, and the minimum number of observations.

4.7.3 The website describes the eligible universe in different words on different pages. Where the website differs from this Section, this Section prevails (Section 1.5.3).

4.8 Forks, airdrops and new tokens

4.8.1 When a Constituent's blockchain splits (a "fork"), the Constituent remains the Coin that the Market Data Provider continues to list under the Constituent's identifier. The new Coin created by the fork is not added to the Index outside the schedule. It can enter at a later Reconstitution if it qualifies under Section 8 like any other Coin.

4.8.2 Tokens distributed to holders of a Constituent (an "airdrop") are not added to the Index and their value is not credited to it, because the Index is a price return index (Section 1.2.3).

4.8.3 The 3 August 2026 version gave the Index Committee responsibility for "the legitimacy of Hard Forks". Under this version the Administrator decides only where the identity of the continuing Coin is unclear, for example when the Market Data Provider moves the identifier to the new chain. The Administrator records its decision and the reason.

4.9 Eligibility decisions by the Administrator

4.9.1 The Administrator may decide on the eligibility of a Coin only in the cases listed in Sections 4.4.4, 4.6.3 and 4.8.3. Each decision names the Coin, the rule applied, the evidence and the date, and is published.

5. Data sources

5.1 Overview

5.1.1 The Index uses the following data.

5.1.2 The Index uses Prices from one source and Market Capitalisations from another. The Price Provider sets the Level. The Market Data Provider sets the selection and the weights. A difference between the two providers' prices for the same Coin does not enter the Level.

5.2 Prices

5.2.1 For each Constituent the Calculation System requests from CoinAPI the exchange rate between the US dollar and the Coin. CoinAPI returns $q_i(t)$, the number of units of Coin $i$ that one US dollar buys, with a timestamp. The Price is

5.2.2 The rate is a cross-exchange rate that CoinAPI computes from trading on the exchanges and trading pairs it covers. The Administrator does not compute, filter or re-weight it.

5.2.3 One request returns the rates of all Constituents. The Calculation System sends one request every 10 seconds.

5.2.4 A rate that is zero, negative or not a number is discarded. The Constituent then keeps its previous Price and that Price ages (Section 6.6).

5.2.5 The timestamp of a Price is the time that CoinAPI reports for the rate, or the time of receipt if that is earlier. It is used to measure Price Age.

5.2.6 The 3 August 2026 version described a price "calculated every 10 seconds by averaging market prices across the full universe of supported exchanges ... weighted by volume", with prices in other currencies converted at foreign exchange rates. That described the previous system, which averaged trades itself. Since 5 October 2026 the Administrator takes the cross-exchange rate from CoinAPI as described in Section 5.2.1.

5.3 One price source, no substitute

5.3.1 The Price Provider is the only source of Constituent Prices. The Administrator does not substitute prices from the Market Data Provider or from any other source.

5.3.2 If the Price Provider is unavailable, or refuses requests (for example because a request allowance is used up), the Real-Time Value is Withheld under Section 6.6 and the missing interval is rebuilt later under Section 6.7.

5.3.3 One price source with no substitute is the rule of this Manual. When the source fails, Real-Time Values are Withheld (Section 6.6) and the gap is later rebuilt from the same source (Section 6.7), so every published Level comes from one price source. IOSCO Principles 7 and 8 (Section 16) ask an administrator to explain how it handles the loss of an input source; this clause and Section 5.3.2 give that explanation.

5.4 Market Capitalisation

5.4.1 The Market Capitalisation of a Coin is the figure that the Market Data Provider reports in US dollars. The Market Data Provider computes it as its own price of the Coin times its estimate of the Coin's circulating supply. The Administrator does not recompute or adjust it.

5.4.2 Circulating supply excludes coins that are locked, reserved or otherwise unable to be sold on the public market. Such coins cannot affect the price and would distort the measure of value. The circulating supply method is analogous to the public float used for listed companies.

5.4.3 The Calculation System requests the Market Data Provider's listing of the 250 largest Coins by Market Capitalisation every 10 minutes. Each request is a "snapshot".

5.5 The Market Capitalisation of a Day

5.5.1 The Market Capitalisation of Coin $i$ on Day $d$, $M_i(d)$, is the value from the last snapshot taken during Day $d$ in which the Coin appears. Normally that is the snapshot taken between 23:50 and 24:00 GMT.

5.5.2 Each later snapshot of the same Day replaces the earlier value. A snapshot in which the Coin does not appear leaves the earlier value in place.

5.5.3 A Day on which no snapshot contains the Coin has no Market Capitalisation for that Coin. Section 7.5 sets out how such a gap is treated.

5.6 Identification of Coins

5.6.1 Each Coin is identified by the Market Data Provider's text identifier (its "slug"), for example "bitcoin" or "near-protocol". Published files use this identifier.

5.6.2 To request a Price, the Calculation System uses the Price Provider's asset identifier for the Coin. By default this is the Coin's ticker symbol in upper case, as the Market Data Provider reports it. Where a symbol is ambiguous, the Administrator records an explicit mapping from the Coin identifier to the Price Provider's asset identifier.

5.6.3 Constituents are keyed by the Market Data Provider's text identifier, not by its numeric identifier. Identifier changes in the data sources are a known source of error (Section 11.10).

5.7 Benchmark prices for statistics

5.7.1 The statistics in Section 13 use three benchmarks: the euro, the SPDR Gold Shares fund (GLD) and the SPDR S&P 500 ETF (SPY). They are not used in the Index itself.

5.7.2 The euro series is the European Central Bank's daily reference rate, stored as euros per US dollar. For statistics it is inverted, so that its return is the return of one euro measured in US dollars.

5.7.3 GLD and SPY are adjusted closing prices from Yahoo's chart service.

5.7.4 New benchmark prices are added once a day at 23:00 GMT, after the US market close. Before appending, the Calculation System scales the new prices so that they agree with the last stored price on the last stored day. A change of source, or a re-basing of adjusted closes after a dividend, therefore never appears as a return. Stored benchmark prices are never rewritten.

5.7.5 The previous system downloaded benchmark prices from Yahoo until 29 May 2024, when the download stopped. The present sources replaced it in October 2026, and the gap has been filled: the stored series of all three benchmarks continue without a break from 30 May 2024, joined to the earlier prices under Section 5.7.4. The regressions in Section 13.10 use these prices for every stored Day; Section 13.10.4 describes the recalculation.

5.7.6 On 11 October 2026 the stored history of all three benchmarks was rebuilt from these sources for every day from 1 January 2015. The rows before 30 May 2024, from the previous system's download, disagreed with the sources on several hundred days (for GLD and SPY, whole runs of daily returns were shifted by one day), which understated the published betas and R². Every stored statistics row was recalculated from the rebuilt series the same day.

5.8 History of data sources

5.8.1 The sources of the published history differ by period.

5.8.2 Before 2019 the previous system did not keep daily Coin prices in its database in a form that allows the daily history to be recalculated: there are none for 2015 to 2017, and many of the stored 2018 prices are snapshots taken at the time of download rather than daily closes. Section 12.8 explains how this limited the Restatement of 9 October 2026.

5.9 Request limits

5.9.1 The Price Provider and the Market Data Provider limit the number of requests in a day or a month. The Calculation System enforces its own daily and monthly ceilings below those limits. It refuses to start with a request frequency that would exceed a ceiling, and it stops requesting, rather than exceed a ceiling, if one is reached.

5.9.2 When the Calculation System stops requesting Prices, Section 5.3.2 applies. When the Price Provider refuses requests because its allowance is used up, the Calculation System asks again every 10 minutes.

5.9.3 The Calculation System requests Prices every 10 seconds (Section 5.2.3). That frequency depends on the Price Provider's allowance: when the allowance is used up, Section 5.9.2 applies.

5.10 Data quality controls

5.10.1 The Calculation System applies these automatic controls:

(a) it discards a Price that is zero, negative or not a number (Section 5.2.4);

(b) it measures the Price Age of every Constituent at every calculation and withholds the Real-Time Value under Section 6.6;

(c) it records a warning when no new Real-Time Value has been published for 10 minutes; a separate monitoring program on the same server checks the Calculation System every minute and alerts the Administrator when, on two checks in a row, the latest Real-Time Value is more than 5 minutes old or its status (Section 6.6.4) is neither "ok" nor "degraded", and when the Level moves more than 8% in about 5 minutes;

(d) it alerts the Administrator when a Constituent's Price has moved more than 50% from its last Price of the previous Day;

(e) it alerts the Administrator when a daily Close used a Price from an earlier Day for any Constituent (Section 6.11);

(f) it alerts the Administrator when, after 04:00 GMT, the daily row for the previous Day or the statistics for the current Day are missing, the daily Close is zero, or the daily row has no volume figure (Section 6.13);

(g) it reports the result of every Rebalance, with the Level, the Constituents added and removed, and the number of Coins flagged for peg review.

5.10.2 The Calculation System does not remove or alter a Price because it looks abnormal. An alert under Section 5.10.1(d) goes to the Administrator. Any action that follows is taken under Section 11 or Section 12.

5.10.3 The 3 August 2026 version said that the Administrator filters "any subpar information that might have been disseminated by the exchanges" before the Official Close. No such filter exists in the Calculation System. This version replaces that sentence with Sections 5.10.1 and 5.10.2.

6. Calculation of the Index

6.1 The index formula

6.1.1 At any time $t$ the Level of the Index is the value of the Units it holds:

where $N$ is the number of Constituents, $u_i$ are the Units of Constituent $i$ fixed at the last Effective Time $T_0$, and $P_i(t)$ is the Price of Constituent $i$ at time $t$ (Section 5.2).

6.1.2 Units change only at an Effective Time (Section 10). Between two Effective Times the Level moves only with Prices.

6.2 The same formula with the level factor

6.2.1 At an Effective Time the Units are set to

where $I(T_0)$ is the Level at the Effective Time, $f_i$ is the Target Weight of Constituent $i$ (Section 9) and $P_i(T_0)$ is its Price at the Effective Time, which for a scheduled Rebalance is its Close on the Day before: $P_i(T_0)=c_i(D-1)$ (Section 2.3.4).

6.2.2 Substituting Section 6.2.1 into Section 6.1.1 gives the equivalent form

The Level is the Level at the last Effective Time, multiplied by the weighted average of the Constituents' price ratios since then.

6.2.3 The formula in the 3 August 2026 version, $I(t)=\sum w_{i}P(t)/P(T_0)$, omitted the level factor $I(T_0)$ and the Constituent subscript on the prices. Read literally, it would put the Index back to 1 at every Rebalance. Section 6.2.2 corrects it.

6.3 Drifted weights

6.3.1 Between Effective Times the share of each Constituent changes with its Price. The Drifted Weight of Constituent $i$ at time $t$ is

6.3.2 At the Effective Time the Drifted Weights equal the Target Weights: $w_i(T_0)=f_i$.

6.3.3 The weights file publishes Target Weights. The live constituent table on the website shows Drifted Weights.

6.4 No separate divisor

6.4.1 The Index has no separate divisor. The Units carry the scaling.

6.4.2 A divisor form is equivalent. Choose any base quantities $q_i$ proportional to $f_i/P_i(T_0)$, and set $\text{Divisor}={\sum }_i{q}_i{P}_i(T_0)/I(T_0)$. Then $I(t)={\sum }_i{q}_i{P}_i(t)/\text{Divisor}$ gives the same Level at every $t$. The 3 August 2026 version described the Rebalance as a divisor adjustment; Section 10.6 restates that description in terms of Units.

6.5 Real-Time Values

6.5.1 Every 10 seconds the Calculation System requests Prices for all Constituents (Section 5.2.3). When the response arrives, it updates each Constituent's Price and calculates $I(t)$ with Section 6.1.1.

6.5.2 The Real-Time Value is timestamped with the time of calculation.

6.5.3 If Section 6.6 allows, the Real-Time Value is published at once on the website and through the data channels in Section 14. Published Real-Time Values are rounded to 2 decimal places.

6.5.4 Real-Time Values are indicative. They are not restated (Section 12.1.3).

6.6 Withholding rules

6.6.1 A Real-Time Value is published only if both conditions hold at the time of calculation:

(a) every Constituent has a Price; and

(b) no more than 3 Constituents have a Stale Price, that is, a Price older than 900 seconds.

6.6.2 If either condition fails, the value is Withheld: it is not published, and the last published Real-Time Value stays on display with its own timestamp. A Constituent's Price is never replaced by zero.

6.6.3 When 1, 2 or 3 Constituents have a Stale Price, the Real-Time Value is published using their last Prices.

6.6.4 The live data feed carries a status with each value:

6.6.5 The 3 August 2026 version said that the Index "will be calculated using the most recently updated prices" when prices are unavailable. Section 6.6 keeps that rule for up to 3 Constituents and adds a limit, because a value built mostly from old Prices would mislead. For example, on 1 October 2026 the previous system priced MemeCore with a Price that was 10 hours old.

6.6.6 The previous system counted a Constituent without a Price as zero in its real-time value. The Calculation System never does this (Section 12.8.3).

6.7 Reconstruction of a gap

6.7.1 When Prices arrive again after more than 180 seconds without a published Real-Time Value, the Calculation System rebuilds the missing interval from the Price Provider's history of one-minute exchange rates.

6.7.2 For each minute of the gap it takes, for each Constituent, the closing rate of the latest one-minute bar that started at or before that minute, within the gap. When every Constituent has such a rate, it calculates one Level with the Units in force and stamps it at the end of the minute. Minutes before every Constituent has a rate get no value.

6.7.3 It also updates the Day's open, high and low of each Constituent from hourly bars since 00:00 GMT: the open is set from the first hourly bar of the Day, and the high and low widen to cover the gap. When the rebuilt interval reaches 24:00 GMT, the Constituent's Close for that Day is also set from the bars.

6.7.4 If the gap lies in a Day whose Official Close has already been calculated, the Calculation System calculates that Official Close again and recalculates the statistics of the following Day. Section 12.6 applies to the result.

6.7.5 If rebuilding the gap would use more than 600 credits of the Price Provider's allowance, or would leave too little allowance for the rest of the Day's Price requests, the Calculation System does not rebuild it and alerts the Administrator, who decides whether to rebuild it by hand.

6.8 Daily open, high, low and close

6.8.1 For each Day $D$ the Calculation System records, for each Constituent $i$, its first Price $o_i(D)$, its highest Price $h_i(D)$, its lowest Price $l_i(D)$ and its last Price $c_i(D)$ among the Prices received during that Day (Section 2.3.3).

6.8.2 With $u_i(D)$ the Units of the Composition in force on Day $D$ (the Composition whose Effective Time is the latest one on or before 00:00 GMT on $D$), the daily values of the Index are:

$O$, $H$, $L$ and $C$ are the published Open, High, Low and Close of Day $D$. ($L(D)$, the daily Low, is not the same symbol as $L$, the Level at a Rebalance; the context and the argument $(D)$ distinguish them.)

6.8.3 On a Rebalance Day the Units in force are the new Units, so the Open, High, Low and Close of that Day use the new Composition.

6.9 Meaning of the daily High and Low

6.9.1 The daily High is the sum of each Constituent's own highest Price, weighted by its Units. The Constituents do not all reach their highs at the same moment. The daily High is therefore greater than or equal to the highest Real-Time Value of the Day, and is greater whenever the Constituents reach their highs at different moments. In the same way the daily Low is less than or equal to the lowest Real-Time Value of the Day.

6.9.2 This follows from Section 6.8.2. At any time $t$ in Day $D$, $I(t)=\sum u_i{P}_i(t)\le \sum u_i{h}_i(D)=H(D)$, and $I(t)\ge L(D)$ in the same way.

6.9.3 This definition matches the published history of the Index and is the rule of this Manual. Appendix E shows on an example how the daily High and Low differ from the highest and lowest Real-Time Values of the Day.

6.9.4 The "session high" and "session low" that the website shows during a Day are the highest and lowest published Real-Time Values since 00:00 GMT. They are a different measure from the daily High and Low of Section 6.8.2.

6.10 The Open and the previous Close

6.10.1 The Open of Day $D$ uses the first Prices received after the day rollover. The Close of Day $D-1$ uses the last Prices received before it. The two can differ by the price moves of the few seconds in between. The Open of a Day is therefore close to, but not necessarily equal to, the Close of the Day before. Section 10.7 discusses Rebalance Days.

6.10.2 The published history follows two conventions. In the rows from 1 January 2018 to 8 October 2026, which were restated on 9 October 2026, every Open equals the Close of the Day before (Section 12.8.13). From the row dated 9 October 2026 the Open is calculated under Section 6.10.1. The rows from 1 January 2015 to 31 December 2017 keep their originally published Opens.

6.11 Prices carried from an earlier Day

6.11.1 If a Constituent has no Prices for Day $D$, the Calculation System uses its open, high, low and close of the latest earlier Day that has them, provided that Day is no more than 10 Days before $D$ (that is, on or after $D-10$).

6.11.2 Each use of an earlier Day's Prices in a daily Close is reported to the Administrator (Section 5.10.1(e)).

6.11.3 If a Constituent has no Prices on any Day from $D-10$ to $D$, the Calculation System does not calculate a Close for $D$ and alerts the Administrator. Section 11.5 then applies.

6.12 Provisional Close and Official Close

6.12.1 At 00:00:05 GMT on Day $D+1$ the Calculation System calculates the daily values of Day $D$ with Section 6.8.2 and publishes them as the Provisional Close.

6.12.2 At 03:15 GMT on Day $D+1$ it calculates them again from the stored data and publishes the result as the Official Close.

6.12.3 The Official Close differs from the Provisional Close only if the stored data for Day $D$ changed between 00:00:05 and 03:15 GMT, for example because a gap was rebuilt under Section 6.7.

6.12.4 The Official Close is the sole official value for Day $D$. All published statistics, performance figures and licensed reporting use Official Closes.

6.12.5 Immediately after the Official Close, the Calculation System computes the statistics of Section 13 for Day $D+1$.

6.12.6 After 03:15 GMT an Official Close changes only under Section 6.7.4 or Section 12.

6.13 Daily volume

6.13.1 Each daily row also carries a volume figure. It is the sum of the rolling 24-hour trading volumes in US dollars that the Market Data Provider reports for the Constituents, taken once, from the first snapshot after the daily row of Day $D$ is created (normally between 00:00 and 00:10 GMT on $D+1$), and rounded to whole US dollars. Only Constituents with a positive price in that snapshot are counted. The Constituents are those in force at that moment. For the last Day of a month the snapshot falls on the next Rebalance Day, so the figure counts the new Constituents.

6.13.2 In the published history the volume figure is 0 for every Day from 1 January 2015 to 28 February 2018, and it is blank for 30 November 2020, 23 and 24 March 2023, 1 January 2025 and 1 July 2025.

6.13.3 The volume figure is for information only. It is not used in any calculation in this Manual.

6.14 Rounding

6.14.1 No input and no intermediate value is rounded during calculation. Units, Target Weights and Levels are carried at full double precision.

6.14.2 Published figures are rounded as follows:

Other channels in Section 14.1 can show the same values with a different number of digits. The stored value behind them is the same in every channel.

6.14.3 Rounding of a published figure never feeds back into a calculation, with the exceptions stated in Section 13.12 for the Market Efficiency Ratio, the 52-week figures and the bases of the month-to-date, year-to-date and 12-month changes, which are computed from Closes rounded to 2 decimal places.

6.14.4 The 3 August 2026 version said that market capitalisations were rounded to 3 decimal places and weighting factors to 4 decimal places in the calculation. The Calculation System does not round them. The previous system stored Target Weights with 6 significant digits, so the weights file shows the weights of every Rebalance up to and including 1 October 2026 in that form (for example 26.6292% and 6.57166%). Target Weights set by the Calculation System, from the Rebalance of 1 November 2026, are stored at full precision and printed with up to 14 significant digits. The previous system also stored daily values with 6 significant digits; the daily history file prints every row in that form, including the rows written by the Calculation System.

6.15 Base value and start of the series

6.15.1 The Index has a value of 100.00 at the Close of 1 January 2015, that is, at 24:00 GMT on 1 January 2015, which is 00:00 GMT on 2 January 2015 (the form used on the index-data page of the website).

6.15.2 The daily row dated 1 January 2015 opens at 101.36 and closes at 100.00. The base is the Close of that Day, not its Open. Some pages of the website say "100 on 1 January 2015" without saying which. This clause settles it.

7. Adjusted Market Capitalisation

7.1 Purpose

7.1.1 The Index does not select or weight Constituents on a single day's Market Capitalisation. Prices of cryptocurrencies move so much from day to day that a single observation would change the Composition too often, and a single day can be moved on purpose.

7.1.2 The Index uses instead an exponentially weighted moving average of daily Market Capitalisations, the Adjusted Market Capitalisation. Recent days count most and the influence of each day halves every 3 observations.

7.2 Input observations

7.2.1 For a Rebalance on Day $D$, the input of Coin $i$ is the set of its daily Market Capitalisations $M_i(d)$ (Section 5.5) for the Days $d$ from $D-61$ to $D-1$, both included. This is the "60-day window": it runs from 60 Days before $D-1$ to $D-1$. It holds at most 61 observations.

7.2.2 Only Days with a positive recorded Market Capitalisation are observations. Days with none are skipped (Section 7.5).

7.2.3 The last observation is $D-1$. No data from Day $D$ is used.

7.3 Formula

7.3.1 Let $K_i$ be the number of observations of Coin $i$ in the window. Number them from the most recent: $d_0$ is the most recent observation date, $d_1$ the one before, and so on to $d_{K_i-1}$. Then

7.3.2 Numerically, $\lambda =0.7937005\dots$ and $\alpha =0.2310491\dots$. The weight ${\lambda }^k$ of an observation is 1 for the most recent, 0.793701 for the one before, 0.629961 for the third, 0.5 for the fourth ($k=3$), and 0.25 for the seventh ($k=6$).

7.3.3 The denominator makes the weights sum to 1 over the observations actually available, however many there are.

7.3.4 The calculation is the same as the last value of the pandas function Series.ewm(halflife=3, adjust=True).mean() applied to the series of available observations in date order.

7.4 The half-life parameter

7.4.1 The half-life is $h=3$ observations. With no missing Days, this is 3 Days: the weight of a Day's Market Capitalisation is half the weight of the Day 3 Days later.

7.4.2 The 3 August 2026 version wrote the formula with an undefined parameter $\alpha$, "calibrated so the moving average responds to genuine shifts". The website already stated the 3-day half-life. This version states the parameter: $\alpha =\ln 2/3$.

7.4.3 The 3 August 2026 version also wrote the sum from $i=0$ to infinity, with $M(T-i)$ in the numerator and $t$ on the left side. This version replaces it with the finite sum of Section 7.3.1, which is what the Calculation System computes, and uses $k$ for the lag.

7.5 Missing observations

7.5.1 If a Day in the window has no Market Capitalisation for the Coin, that Day is skipped. It is not counted as zero, and the next older observation takes the next value of $k$.

7.5.2 As a result, $k$ counts observations, not calendar Days. When no Day is missing, $k$ equals the number of Days between $d_k$ and $D-1$. When Days are missing, an older observation gets more weight than its calendar distance alone would give it. Appendix B shows an example.

7.6 Minimum number of observations

7.6.1 At a Reconstitution, a Candidate needs more than 10 observations in the window, that is $K_i\ge 11$. A Candidate with 10 or fewer is not ranked (Section 8.3).

7.6.2 At a monthly Rebalance, each Constituent needs at least one observation in the window. If a Constituent has none, Section 10.9 applies.

7.7 Properties

7.7.1 With a full window of 61 observations:

(a) the most recent observation carries 20.6% of the total weight;

(b) the three most recent observations carry 50.0% of the total weight;

(c) the observations 10 or more steps back together carry 9.9%;

(d) the oldest observation ($k=60$) carries about 0.00002% (2 × 10⁻⁷ of the total), so the exact length of the window makes almost no difference.

7.7.2 A one-day jump in a Coin's Market Capitalisation therefore moves its Adjusted Market Capitalisation by about one fifth of the jump. A move that lasts for three or more Days moves it by about half or more.

7.8 Where the Adjusted Market Capitalisation is used

7.8.1 The Adjusted Market Capitalisation is used at every Reconstitution, to rank Candidates (Section 8.4) and to set Target Weights (Section 9.1), and at every monthly Rebalance, to set Target Weights for the existing Constituents (Section 10.1).

7.8.2 The previous system used the Adjusted Market Capitalisation at Reconstitutions only. At the other eight Rebalances of each year it used the unsmoothed Market Capitalisation of the last Day of the month, truncated to a whole number of dollars. The published monthly weights up to and including September 2026 reflect that practice and are kept as published. The first monthly Rebalance calculated with the Adjusted Market Capitalisation is that of 1 November 2026.

8. Constituent selection (quarterly Reconstitution)

8.1 Dates

8.1.1 A Reconstitution takes effect at 00:00 GMT on 1 January, 1 April, 1 July and 1 October of each year. On those Days it replaces the monthly Rebalance.

8.1.2 The Reconstitution taking effect on Day $D$ uses data up to and including $D-1$, the last Day of the previous quarter (Section 10.2).

8.2 Candidate list

8.2.1 The Calculation System ranks all Coins with a positive Market Capitalisation on $D-1$ in descending order of that Market Capitalisation. This ranking uses the single Day $D-1$, not the Adjusted Market Capitalisation. The Calculation System reads at most the 400 largest; because each snapshot lists 250 Coins (Section 5.4.3), in practice this is every Coin with a Market Capitalisation on $D-1$.

8.2.2 It removes every Coin that is excluded under Section 4.3 (tags) or Section 4.4 (Exclusion List).

8.2.3 The first 200 Coins that remain are the Candidates. If fewer than 200 remain, all of them are Candidates.

8.2.4 The cutoff of 200 limits the Candidates to Coins large enough to have a realistic chance of entering the top 30 on the smoothed measure. It came from the previous system and is kept.

8.3 Observation filter

8.3.1 A Candidate with 10 or fewer Market Capitalisation observations in the window of Section 7.2 is rejected with the reason "too few observations". This stops a newly listed Coin from entering on a few days of data.

8.4 Ranking and selection

8.4.1 For each remaining Candidate the Calculation System computes the Adjusted Market Capitalisation $M_i^{*}$ (Section 7.3).

8.4.2 It ranks the Candidates in descending order of $M_i^{*}$. If two Candidates have exactly the same $M_i^{*}$, the one whose identifier comes first in alphabetical order ranks higher.

8.4.3 The 30 highest-ranked Candidates are the Constituents from the Effective Time. Their Target Weights are set under Section 9.

8.4.4 Because the ranking uses $M_i^{*}$ and the Candidate list uses the single Day $D-1$, a Coin can rank higher on $D-1$ than another Coin and still rank lower on $M^{*}$. Appendix D shows an example.

8.5 Coins flagged for peg review

8.5.1 A Candidate flagged under Section 4.6 remains a Candidate unless it is on the Exclusion List. If it is selected and the Administrator later decides that it is a pegged asset, Section 11.12 applies.

8.6 Rejections are recorded

8.6.1 For every ranked Coin that is excluded, and for every Candidate that is not selected, the Calculation System records why: excluded (with the tag or the Exclusion List reason), too few observations, or below the 30th place. Ranked Coins beyond the first 200 that remain after exclusions are not Candidates. They count towards the number of ranked Coins in the record (Section 8.9.1) but get no individual entry.

8.7 Fewer than 30 eligible Candidates

8.7.1 If fewer than 30 Candidates pass Sections 8.2 and 8.3, all of them become Constituents and $N$ is the number selected. The Calculation System reports the number of Constituents with the result (Section 5.10.1(g)), and the Administrator decides whether further action is needed.

8.8 Why 30 Constituents

8.8.1 The number of Constituents is 30. The index whitepaper sets out the reasoning: 30 is the smallest number at which the Index remains a statistically significant estimator of the market as a whole; more Constituents would raise the cost of replication with no material gain in accuracy; fewer would reduce diversification.

8.8.2 The 3 August 2026 version gave a confidence level of 99% and a margin of error of 1.11% for an index of 30 Constituents. This version does not repeat those figures.

8.8.3 The 3 August 2026 version said that the 30 Constituents captured "approximately 90% of the cryptocurrency market capitalization". This version does not state a share, because the share changes with the market.

8.9 Record of each selection

8.9.1 For each Reconstitution the Calculation System stores: the Day; the Level at the switch; the Close on $D-1$ of each Constituent of the new Composition; the number of ranked Coins considered; the excluded Coins with reasons; the rejected Candidates with reasons; the Adjusted Market Capitalisation of each Constituent; the Coins flagged for peg review; the Target Weights; and the Units. The Closes of the outgoing Constituents, which set the Level, remain in the stored daily Coin data.

8.9.2 The same record, without the selection details, is stored for each monthly Rebalance, together with the Market Capitalisation inputs used.

8.9.3 These records are kept under Section 15.10 and are available to auditors.

8.10 Membership between Reconstitutions

8.10.1 No Constituent is added to or removed from the Index between two Reconstitutions, except under Section 11.

8.10.2 The 3 August 2026 version said that no constituents would be added or removed "inter-monthly". The correct term is inter-quarterly: membership changes at Reconstitutions, which are quarterly. A Coin that enters the top 30 during a quarter does not join the Index until it qualifies at the next Reconstitution.

9. Weighting

9.1 Square-root rule

9.1.1 At each Rebalance the Target Weight of Constituent $i$ is

where $M_i^{*}$ is its Adjusted Market Capitalisation (Section 7) and the sum runs over the $N$ Constituents that hold weight after the Rebalance.

9.1.2 The Target Weights are positive and sum to 1.

9.1.3 The 3 August 2026 version wrote the denominator as a sum from 0 to $N$, which has $N+1$ terms. The sum runs over the $N$ Constituents, from 1 to $N$.

9.2 Why the square root

9.2.1 A weight proportional to Market Capitalisation would let the two largest Coins dominate the Index. Equal weights, or any scheme much flatter than the square root, would give too much weight to small and illiquid Coins at the bottom of the range.

9.2.2 The square root sits between the two. On 1 October 2026 the largest Constituent had 26.6292% of the Index; the smallest had 1.01575%.

9.3 No caps or floors

9.3.1 No cap and no floor applies to any weight. The weights follow from the formula alone.

9.4 Target Weights and Drifted Weights

9.4.1 The Target Weights apply at the Effective Time only. From then on each Constituent's share drifts with its Price (Section 6.3).

9.4.2 A replicating portfolio that holds quantities proportional to the Units, not to the Target Weights, follows the Index without trading between Rebalances.

10. Rebalancing and Reconstitution

10.1 Schedule

10.1.1 The Index is rebalanced on the first Day of every month.

10.1.2 At a monthly Rebalance the Constituents stay the same. For each of them the Calculation System computes the Adjusted Market Capitalisation over the window of Section 7.2 and sets new Target Weights under Section 9.1.

10.2 Data cut-off

10.2.1 Every input to the Rebalance taking effect on Day $D$ is dated $D-1$ or earlier:

(a) Market Capitalisations: Days $D-61$ to $D-1$, each the last snapshot of its Day (Section 5.5);

(b) the Candidate ranking: the Market Capitalisations of $D-1$;

(c) tags and the Exclusion List: as recorded when the Rebalance runs;

(d) Prices: the Close $c_i(D-1)$ of each outgoing and incoming Constituent, with the rule of Section 6.11 if a Constituent has no Prices on $D-1$. For a Coin of the new Composition with no stored Close on any Day from $D-11$ to $D-1$, the Close is the close of the Price Provider's daily bar for $D-1$ (Section 10.5.4).

10.3 Calculation time and Effective Time

10.3.1 The Calculation System calculates the Rebalance at 00:00:05 GMT on Day $D$, in the day rollover, immediately after the Provisional Close of $D-1$.

10.3.2 The new Composition takes effect at 00:00 GMT on Day $D$. The daily values of $D$, and every Real-Time Value calculated after the Rebalance completes, use the new Units. Real-Time Values calculated between the day rollover and the completion of the Rebalance use the outgoing Units. That interval normally lasts a second or two; when Closes must first be requested under Section 10.5.4 it lasts a few seconds, and up to about a minute for each Coin whose daily bar is not yet available. Publication of Real-Time Values is not held during that interval.

10.3.3 The Rebalance therefore applies to the month (or quarter) that begins on Day $D$, not to the next month or quarter. The 3 August 2026 version said "the first Index Business Day of the next month" and "of the next quarter"; the website said the current month or quarter. The website was right, and this version says so.

10.3.4 Because every Day is an Index Business Day (Section 2.1.10), the first Index Business Day of a month is always the first calendar day of that month.

10.4 The Level at the switch

10.4.1 The Level at the switch is the value of the outgoing Units at the Closes of $D-1$:

10.4.2 $L$ equals the Close of $D-1$ calculated in the same run (Section 6.8.2). It equals the Official Close of $D-1$ unless the stored data for $D-1$ change between 00:00:05 and 03:15 GMT (Section 6.12.3). If they do, the Rebalance is not calculated again: the Units set at 00:00:05 GMT stay in force.

10.5 New Units

10.5.1 For each Constituent of the new Composition,

10.5.2 The new Units give the same Level at the Closes of $D-1$ as the old ones:

The Level is therefore continuous at the switch. A Rebalance changes what the Index holds but not what it is worth.

10.5.3 The previous system applied this rule at Reconstitutions. At monthly Rebalances it scaled the new Units to the Close of the Day before the last Day of the month, which caused breaks in the Level. Since 5 October 2026 every Rebalance uses Section 10.5.1. The Restatement of 9 October 2026 removed the breaks from the history from 2018 onward (Section 12.8).

10.5.4 Closes of incoming Coins. The Calculation System stores daily Prices only for the Constituents in force (Section 4.2.3). When a Coin of the new Composition has no stored Close on any Day from $D-11$ to $D-1$, the Calculation System proceeds as follows:

(a) it requests from the Price Provider the Coin's daily exchange-rate bar that starts at 00:00 GMT on $D-1$, using the Coin's Price Provider identifier (Section 5.6.2); each request uses 1 credit of the Price Provider's allowance;

(b) if the bar is not yet available, because the Day ended a few seconds earlier, it asks again 20 seconds later, up to 3 requests in all;

(c) it stores the bar's open, high, low and close as the Coin's daily values for $D-1$;

(d) it completes the Rebalance with $c_i(D-1)$ equal to the close of that bar.

10.5.5 The close of the daily bar is the Price Provider's closing rate for $D-1$. For a continuing Constituent, $c_i(D-1)$ is instead the last Price that the Calculation System received on $D-1$ (Section 6.8.1). The two can differ slightly.

10.5.6 The rule of Section 10.5.4 applies from 10 October 2026. In a test on a copy of the database made that day, the Reconstitution of 1 October 2026 recalculated under it gave the same 3 entrants (Ethena, OKB, Ondo), the same 3 exits and the same 30 Target Weights as published (largest difference 3.7 × 10⁻⁷). The Close of Ethena for 30 September 2026 fetched in the test was USD 0.264739, against USD 0.264066 in the previous system's records.

10.6 Divisor view

10.6.1 The 3 August 2026 version said that at a Rebalance "the divisor is adjusted by a normalization factor computed in such a way that the value of the index on rebalance day is the same when computed with the old or the new weights". Section 10.5 achieves the same result by recomputing the Units, with no separate divisor (Section 6.4).

10.7 The Open on a Rebalance Day

10.7.1 The Open of the Rebalance Day $D$ is calculated with the new Units and the first Prices of $D$ (Section 6.8.2). It is therefore close to, but not necessarily equal to, the Close of $D-1$ (Section 6.10). Prices of an incoming Constituent are requested only from the moment its Units are in force, so its first Price of $D$ is the first one received after the Rebalance completes (Section 10.3.2).

10.7.2 The restated rows from 1 January 2018 to 8 October 2026 show every Open equal to the Close of the Day before (Section 6.10.2). That is a result of the Restatement of 9 October 2026 (Section 12.8.13). From 9 October 2026 the Open of every Day, including a Rebalance Day, follows Sections 6.10.1 and 10.7.1.

10.8 Announcement and publication

10.8.1 The Administrator publishes the new Target Weights, and at a Reconstitution the new membership, in the weights file and the composition file (Section 14) and in the live data feed as soon as the Rebalance completes, normally within seconds of the Effective Time (Section 10.3.2).

10.8.2 There is no advance announcement. The inputs end at the Close of $D-1$, 24:00 GMT, and the new Composition takes effect at 00:00 GMT on $D$, so no time exists between the final calculation and the Effective Time in which to announce it.

10.8.3 The 3 August 2026 version said that changes were "calculated, announced and implemented at 00.00 GMT". The words described one instant and left no announcement window. This version states what happens.

10.8.4 The Administrator publishes no preliminary or informational Reconstitution before the Effective Time. Anyone can estimate the result in advance from public data and the rules of this Manual (Section 15.7.3).

10.9 A Rebalance that cannot be completed

10.9.1 The Calculation System does not complete a Rebalance, and the previous Units stay in force, if any of the following holds:

(a) an outgoing Constituent has no Close on any Day from $D-11$ to $D-1$;

(b) a Coin of the new Composition has no stored Close on any Day from $D-11$ to $D-1$, and the request of Section 10.5.4 does not give one (no Price Provider identifier for the Coin, no bar after 3 requests, an error, or no allowance left);

(c) at a monthly Rebalance, a Constituent has no Market Capitalisation observation in the window.

10.9.2 The Administrator is alerted at once. It decides how to complete the Rebalance and from which Effective Time (Section 15.5), and publishes the decision (Section 11.15).

10.10 Checks before publication

10.10.1 Before it stores and publishes a new Composition, the Calculation System checks that every outgoing Constituent has a Close for $D-1$ under Section 6.11, that every Constituent of the new Composition has a positive Close for $D-1$, and, at a monthly Rebalance, that every Constituent has a Market Capitalisation observation in the window. If a check fails, Section 10.9 applies. No other automatic check is run before publication. Every result is reported to the Administrator (Section 5.10.1(g)).

11. Extraordinary events and stress events

11.1 Principles

11.1.1 The rules of Sections 6 to 10 handle most events without a decision by anyone. This Section covers events that need more.

11.1.2 In every case the Administrator applies the rule in this Section first. Where this Section leaves a choice, the Administrator decides under Section 15.5, records its decision and the reason, and publishes it.

11.1.3 No action under this Section is taken with hindsight to improve the past performance of the Index. A Constituent is not removed after the fact because its price fell.

11.2 Missing or stale Prices during the Day

11.2.1 If a Constituent's Price is stale, the Real-Time Value uses its last Price, as long as no more than 3 Constituents are stale (Section 6.6).

11.2.2 If more than 3 Constituents are stale, or any Constituent has no Price at all, Real-Time Values are Withheld until the condition ends. When Prices return, the gap is rebuilt under Section 6.7.

11.2.3 A Constituent's Price is never set to zero, and a Constituent is never left out of the sum, because it lacks a Price.

11.3 Missing Prices in the daily values

11.3.1 If a Constituent has no Prices on a Day, its daily values come from its latest earlier Day with Prices, for up to 10 Days (Section 6.11).

11.3.2 If a Constituent has had no Prices for more than 10 Days, no Close can be calculated until the Constituent is removed under Section 11.5 or its Prices return.

11.4 Market emergencies and provider outages

11.4.1 A market emergency includes the closure or failure of major exchanges, a general halt in trading of a Constituent, a failure of the Price Provider or the Market Data Provider, and any event that makes Prices unreliable for a large part of the Index.

11.4.2 During such an event the rules of Sections 6.6, 6.7 and 6.11 apply. In addition the Administrator may:

(a) suspend the publication of Real-Time Values, with a notice on the website;

(b) delay an Official Close beyond 03:15 GMT until the data for the Day are complete, with a notice;

(c) postpone a Rebalance under Section 10.9;

(d) remove a Constituent under Section 11.5.

11.4.3 The Administrator may not use a different price source (Section 5.3), change a parameter of this Manual, or change a published Official Close except under Section 12.

11.5 Removal of a Constituent outside the schedule

11.5.1 The Administrator may remove a Constituent outside the schedule if:

(a) the Price Provider supplies no valid Price for it for more than 3 consecutive Index Business Days;

(b) the Price Provider stops covering it with no expectation that coverage will resume;

(c) it ceases to trade on the exchanges that the Price Provider covers, for example after a delisting;

(d) it is found to be a stablecoin or other pegged asset under Section 4.5 (see Section 11.12);

(e) a fraud, hack, protocol failure or similar event means that its Price no longer represents a market in a working asset.

11.5.2 Under (a), "3 consecutive Index Business Days" means 72 hours, counted from the timestamp of the last valid Price, because every calendar day is an Index Business Day. The 3 August 2026 version used this trigger without defining "Index Business Day"; Section 2.1.10 now defines it.

11.5.3 Under (a), the Administrator decides before the 10-Day limit of Section 6.11, after which no Close can be calculated. The Calculation System does not remove a Constituent automatically.

11.5.4 A removal outside the schedule takes effect at 00:00 GMT on a Day set by the Administrator. It is announced on the website before it takes effect where this is possible, and otherwise as soon as practicable afterwards (Section 11.15).

11.6 Replacement of a removed Constituent

11.6.1 When a Constituent is removed under Section 11.5, it is replaced so that the Index again holds 30 Constituents. On the Effective Day $D$ of the removal:

(a) the Calculation System runs the selection procedure of Section 8 with data up to $D-1$, with the removed Coin excluded;

(b) the 29 remaining Constituents stay in the Index;

(c) the highest-ranked Candidate by Adjusted Market Capitalisation that is not one of the 29 enters the Index;

(d) the Target Weights of all 30 Constituents are recalculated under Section 9.1 with data up to $D-1$;

(e) the Units are set under Section 10.5, with $L$ the value of the outgoing Units at the Closes of $D-1$, so the Level does not change.

11.6.2 This rule matches what the website says ("the next qualifying asset by adjusted market capitalization is admitted in its place ... so that the substitution has no effect on the index level") and the published note on the removal of Bitconnect in January 2018, which was followed by "a full recomputation of the components".

11.6.3 The Calculation System runs Rebalances automatically only on the first Day of a month, and selects Constituents only at a quarterly Reconstitution. It has no automatic procedure for a removal on any other Day.

11.7 Price used for a removed Constituent

11.7.1 The removed Constituent is valued in $L$ at its last valid Price, carried forward under Section 6.11.

11.8 Forks and airdrops

11.8.1 Section 4.8 applies. A fork or an airdrop causes no change in Units and no change outside the schedule, unless the identity of the continuing Coin is unclear.

11.8.2 If the Market Data Provider or the Price Provider moves the Constituent's identifier to the new chain, the Administrator decides which Coin continues as the Constituent, and the identifier mapping of Section 5.6 is changed accordingly. The change takes effect at an Effective Time, with Units set so that the Level does not change.

11.9 Token migrations and redenominations

11.9.1 When a Constituent is replaced by a new token at a fixed conversion ratio, or its unit is redenominated, the Units change once, at the time of the migration, so that the value held does not change:

where $R$ is the number of old tokens exchanged for one new token.

11.9.2 Example: in October 2020 LEND was replaced by AAVE at 100 LEND for 1 AAVE. A holding of $u$ LEND became $u/100$ AAVE. The price of one AAVE was about 100 times the price of one LEND, so the value did not change.

11.9.3 The adjustment is made once and recorded with its date, the ratio and the source. The previous system applied the LEND to AAVE division by 100 again whenever AAVE was a Constituent, because of a faulty date check. This caused a large part of the errors corrected in the Restatement of 9 October 2026 (Section 12.8.3).

11.9.4 AAVE entered the Index at the Reconstitution of 1 October 2020, while the migration from LEND was under way. In the stored daily data the Coin's Close is a LEND price up to 2 October 2020 (USD 0.52) and an AAVE price from 3 October 2020 (USD 53.15).

11.10 Changes of name, symbol or identifier

11.10.1 A change of name, ticker symbol or identifier of a Constituent does not change its Units. The Administrator updates the identifier mapping (Section 5.6) and records the change.

11.10.2 Two identifier changes in the data sources are on record: AAVE's predecessor LEND moved to a different identifier at the Market Data Provider, and in late May 2022 the Market Data Provider renamed Terra to Terra Classic and listed a new Coin under the name LUNA. Both are possible causes of missing Prices in the previous system. The Administrator checks the mapping of every Constituent at every Rebalance.

11.11 Fraud, hacks and protocol failures

11.11.1 If a Constituent suffers a fraud, a hack or a protocol failure, Section 11.5.1(e) applies only if its Price no longer represents a market in a working asset. A sharp fall in price is not, by itself, a reason for removal.

11.11.2 Example: in May 2022 the TerraUSD stablecoin lost its peg and the price of Terra (now Terra Classic) collapsed. Terra itself was not a pegged asset, and the Market Data Provider priced it on every day of May and June 2022, so the trigger in Section 11.5.1(a) was never met. Removing it from the history after the fact would make the Index look better than a real portfolio could have done. It stays in the history at its published weight. In the published Composition for June 2022 it holds 6.89 Units, which at its stored Closes of about USD 0.0001 give it almost no weight. The Restatement of 9 October 2026 changed only the return of 1 June 2022, from -8.02% to -7.10%, and kept every other daily return of June 2022 as published.

11.12 A pegged asset found after selection

11.12.1 If a Constituent is found to be a pegged asset under Section 4.5 after it was selected, the Administrator adds it to the Exclusion List and removes it under Section 11.5.1(d). If the finding is made on the Effective Day of the Reconstitution that selected it, the Reconstitution is calculated again with the Coin excluded, with the same Effective Time.

11.12.2 Example: on 1 October 2026 Ripple USD (RLUSD), a stablecoin, entered the Index because it was not on the previous system's exclusion list. In that first calculation it had the 28th largest of the 30 Target Weights (1.02364%). Later the same day the Reconstitution was calculated again by hand: RLUSD was removed and MemeCore entered, and the Units of every Constituent changed. Since 5 October 2026 the tag rule of Section 4.3 excludes such Coins automatically.

11.13 Failure of the Calculation System

11.13.1 If the Calculation System stops, no Real-Time Values are published until it restarts. On restart it reloads the Composition in force, the last stored Real-Time Value, the Day's stored open, high and low of the Index and of each Constituent, and each Constituent's last Price of the previous Day. When the first new Prices arrive, it rebuilds the gap under Section 6.7.

11.13.2 If a daily Close or a Rebalance did not run on time, the Administrator runs it with the same rules and the same data cut-off.

11.14 Expert judgement in extraordinary events

11.14.1 Where Sections 11.4 to 11.13 leave a choice, the Administrator exercises expert judgement under Section 15.5.

11.15 Notices

11.15.1 Every action under this Section 11 is published on the website with: the Constituent or the data affected; the rule applied; the decision; the Effective Time; and the reason.

11.16 Record of extraordinary events

11.16.1 The published record shows the following events. The composition and weights files carry notes on them.

12. Corrections and restatements

12.1 Scope

12.1.1 This Section applies to errors in published Official Closes, in published daily Open, High, Low and Close values, in published Target Weights and Compositions, and in published statistics.

12.1.2 An error is any difference between a published value and the value that this Manual, applied to the correct input data, gives.

12.1.3 Real-Time Values are indicative and are not restated. Rebuilding a gap under Section 6.7 is not a restatement of Real-Time Values; it fills values that were not published.

12.2 Commitment

12.2.1 The Administrator calculates the Index with care and checks it every Day (Section 5.10). Errors can still occur, from data, software or human action.

12.2.2 Where a material error in an Official Close is identified, the Administrator publishes a correction notice and sends it to all entitled counterparties. This is the commitment on the index-data page of the website, and this Manual adopts it.

12.3 Materiality

12.3.1 An error in an Official Close is material if it meets the test of materiality in the terms of use at https://cci30.com/terms/, or if the Administrator decides that it is material after weighing the factors in Section 12.5.1.

12.3.2 An error that is not material is corrected in the data files with a line in the change record of Section 12.7, without a separate notice.

12.4 Content of a correction notice

12.4.1 A correction notice states:

(a) each affected Day, or the first and last affected Day;

(b) the published value and the corrected value, for each affected Day or as a file;

(c) the cause of the error;

(d) whether statistics, Target Weights or Compositions also change;

(e) the date and time from which the corrected values are published;

(f) where the original values can be obtained.

12.5 Deciding whether to restate

12.5.1 When an error is found after publication, the Administrator decides whether the published values are restated. It weighs the following factors, according to the circumstances of the error:

(a) the importance of the data affected;

(b) the date and time at which the error occurred;

(c) when the error was discovered;

(d) the size of the error;

(e) the burden of a restatement on users who must reprocess data, compared with its effect;

(f) the effect of a restatement on analytical tools and on the statistics.

12.5.2 The Administrator records each decision under Section 12.5.1 with its reason.

12.5.3 If the Administrator decides to restate, the notice under Section 12.4 states the expected date of the corrected publication.

12.6 Revisions after the Official Close

12.6.1 An Official Close can change after 03:15 GMT in two ways: by a gap reconstruction under Section 6.7.4, or by a correction under this Section.

12.6.2 A change by gap reconstruction is made by the Calculation System (Section 6.7.4) and reported to the Administrator, which applies Section 12.3 to it.

12.6.3 Every change to an Official Close after 03:15 GMT is logged with the old value, the new value, the time and the cause.

12.7 Records of corrections

12.7.1 The Administrator keeps a change record of every corrected value and every correction notice, and keeps the original values. A restatement never deletes the series it replaces.

12.8 The Restatement of 9 October 2026

12.8.1 What happened. On 9 October 2026 at 16:15 GMT the Administrator published a restated daily history of the Index from 1 January 2018 to 8 October 2026, and recalculated all statistics from it. At 22:39 GMT the same day it revised the 2018 part of the restatement (Section 12.8.6).

12.8.2 Effect. The Official Close of 8 October 2026 changed from 12,579.70 (as originally published) to 18,671.16 (as finally restated). The publication of 16:15 GMT gave 18,359.57 for that Day; the revision of 22:39 GMT changed values within 2018 and multiplied every later value by 1.01697132. An independent replication of the Index from current CoinMarketCap data gives 18,735.62 for 8 October 2026, 0.34% above the restated value.

12.8.3 Why. The previous calculation system made errors that accumulated in the Level:

(a) AAVE units. A daily program divided AAVE's Units by 100 whenever AAVE was a Constituent. The division was meant only for the conversion of LEND to AAVE before 1 November 2020 (Section 11.9), but a faulty date check applied it every Day. Each monthly Rebalance restored AAVE's full Units, and the next Day's run divided them by 100 again, so AAVE counted for almost nothing in the Level. Each month with AAVE cost the Index about 1% of its value, and later Rebalances carried the loss forward. The published data show the effect from April 2021 in every month in which AAVE was a Constituent: April to September 2021, January to March 2025, and July 2025 to March 2026, in all 18 Rebalances.

(b) Breaks at month ends and Rebalance Days. The Level jumped on the last Day of some months or on Rebalance Days, and the jump stayed in the series, against the continuity rule (Section 10.5).

(c) Repeated Days and one-day dislocations. On some Days the published row repeated the Open, High, Low and Close of the Day before exactly, or a single Close was wrong and the next Day's return put the Level back.

12.8.4 Method. A rebuild program recalculated every Day from 1 January 2018 from the published Compositions and the previous system's own stored daily Coin Closes. Each published daily move that those inputs did not support was replaced by the move the inputs give.

12.8.5 2019 to 2026. From 2019 the previous system stored daily Coin Closes, and the rebuild used them directly to replace the unsupported moves.

12.8.6 2018. The inputs for 2018 are weaker, because many stored prices are snapshots taken at the time of download rather than daily closes. The 2018 part therefore keeps its published daily moves, except on the 8 Days on which two independent rebuilds agree on a break of 0.5% or more: one from the stored prices and one from CoinAPI daily closes. Those Days are 30 May, 1, 2 and 3 August, 4 November, and 9, 10 and 31 December 2018. No daily return before 30 May 2018 was changed.

12.8.7 2015 to 2017. The values from 1 January 2015 to 31 December 2017 could not be rebuilt from stored inputs. They remain as originally published: every Open, High, Low and Close of those rows is unchanged.

12.8.8 Composition and real-time series. The Units of the Composition then in force (effective 1 October 2026) were scaled by the same factor as the history, and the stored Real-Time Values were rescaled Day by Day to the restated level, so that the real-time series continues from the restated Closes. Each factor applied is logged (Section 15.10.1(g)).

12.8.9 Statistics. All published statistics were recalculated from the restated series under Section 13.

12.8.10 Original series kept. The originally published daily history and statistics are kept unchanged by the Administrator.

12.8.11 Notice. This Section 12.8 sets out the Days affected, the cause, the method, the effect on the Close of 8 October 2026 and on the statistics, and the times of publication.

12.8.12 Not repeated. The current Calculation System imports the published history as published and does not repeat the errors in Section 12.8.3: it never values a missing Price at zero (Section 6.6), it applies a migration ratio once (Section 11.9), and it applies Section 10.5 at every Rebalance.

12.8.13 Open, High and Low. In every restated row from 1 January 2018 to 8 October 2026, the Open equals the Close of the Day before. The High and Low were scaled by the same factor as the Close and, where needed, widened so that the High is at least the larger, and the Low at most the smaller, of the Open and the Close. The originally published Opens did not follow this rule. From the row dated 9 October 2026 the Open is calculated under Section 6.10.1 (Section 6.10.2).

12.9 Known open items in the history

12.9.1 The following items were open on 10 October 2026.

(a) Single-day errors. A review of the history in October 2026 found that on these Days the official daily return departs from market prices by 0.3% to 1.4%: 4 and 7 November, 9 and 31 December 2018; 13 and 15 August 2020; 29 and 30 June, 22 and 23 November, and 14 and 15 December 2022. The 2022 errors reverse the next Day, so the Level is right but those daily returns are wrong. Three of the 2018 Days (4 November, 9 and 31 December) are among the 8 Days changed in the revision of 22:39 GMT on 9 October 2026 (Section 12.8.6).

(b) Windows that public prices cannot verify. April to August 2018 (VeChain, net -0.9%), the second quarter of 2019 (MaxiMine, including +1.16% on 30 June 2019) and 1 to 3 October 2020 (AAVE). These need the previous system's archived inputs.

(c) History before 30 May 2018. Its daily returns were not restated: no daily return before 30 May 2018, the first of the 8 corrected 2018 Days (Section 12.8.6), was changed. (The Opens, Highs and Lows of the 2018 rows were adjusted under Section 12.8.13.) It includes 1 April 2015, when the Index rose 16.7% against a market move of 0.75%, and divergences of several percent around Bitcoin Cash in November 2017.

12.9.2 One earlier correction is on record. The Official Close of 4 October 2026 was calculated again on 5 October 2026 from the Price Provider's one-minute history, because the previous system had stored a partial Day. The row lies within the period restated on 9 October 2026 (Section 12.8).

13. Published figures and statistics

13.1 Basis and timing

13.1.1 Every statistic in this Section is computed from Official Closes, never from Real-Time Values, except the live figures in Section 13.11, which compare the latest Real-Time Value with Official Closes.

13.1.2 The statistics "for Day $D$" are computed at 03:15 GMT on $D$, immediately after the Official Close of $D-1$, from Closes dated up to and including $D-1$. Let $E=D-1$ be that last date.

13.1.3 Statistics are computed from Closes at full precision (Section 6.14.1), except where Section 13.12 says otherwise.

13.2 Daily returns

13.2.1 The daily return of the Index on Day $t$ is

13.2.2 The return series starts with the Close of 1 January 2015. The first two entries of the percentage-change series are dropped: the empty entry for 1 January 2015 and the return of 2 January 2015. The first return used is that of 3 January 2015. (This reproduces the original statistics program, which dropped the first two rows.)

13.2.3 The full-history sample is the returns dated from 3 January 2015 to $E$. The current sample is the returns dated from $E-180$ to $E$, both included, that is 181 returns. The website calls the current sample "the last 180 days".

13.3 Mean and variance

13.3.1 For a sample of $n$ returns $r_1,\dots ,r_n$:

$s^2$ is the sample variance, with divisor $n-1$.

13.4 Rivin return

13.4.1 The Rivin return over $n$ days is

13.4.2 If daily returns are independent with mean $m$, $R(n)$ is the expected compounded return over $n$ days.

13.4.3 Published figures: the yearly return $R(365)$ and the monthly return $R(30)$, each for the full-history sample and the current sample.

13.5 Rivin volatility

13.5.1 The Rivin volatility over $n$ days is

13.5.2 If daily returns are independent with mean $m$ and variance $s^2$, the gross return over $n$ days, $G={\prod }_{t=1}^n(1+r_t)$, has expected value $(1+m{)}^n$ and expected square ${(s^2+(1+m{)}^2)}^n$. $V(n)$ is therefore the standard deviation of the compounded $n$-day return. It grows faster than $s\sqrt{n}$ when volatility is high.

13.5.3 Published figures: the yearly volatility $V(365)$ and the monthly volatility $V(30)$, each for the full-history sample and the current sample.

13.6 Sharpe-Rivin ratio

13.6.1 The Sharpe-Rivin ratio is

No risk-free rate is deducted.

13.6.2 It was developed by Igor Rivin as a form of the Sharpe ratio for the return distributions of cryptocurrencies. The underlying paper is available on the website.

13.6.3 Published figures: the Sharpe-Rivin ratio of the Index for the full-history sample (labelled "since 1 January 2015") and for the current sample, and the same two figures for Bitcoin (Section 13.8).

13.7 Annualised standard deviation

13.7.1 The statistics calculator on the website also shows an annualised standard deviation, $s\sqrt{365}$, over a trailing window that the user chooses, and a monthly figure $s\sqrt{30.44}$. These are different measures from the Rivin volatilities $V(365)$ and $V(30)$, and they can differ by a factor of 2 or more (Appendix F.1). Until 10 October 2026 both pages used the name "Yearly volatility". On 10 October 2026 the homepage showed $V(365)$ as "Yearly volatility (Rivin), since 1 January 2015" (1.70), and the statistics calculator showed $s\sqrt{365}$ as "Yearly volatility (σ × √365)".

13.7.2 The names are "Yearly volatility (Rivin)" and "Monthly volatility (Rivin)" for $V(365)$ and $V(30)$, and "Yearly volatility (σ × √365)" and "Monthly volatility (σ × √30.44)" for the figures of the statistics calculator.

13.8 Bitcoin statistics

13.8.1 The Bitcoin figures use the same formulas applied to Bitcoin's daily Closes (the Coin "bitcoin" in the Calculation System's daily Coin data), over the same dates, with the first two entries dropped in the same way.

13.9 Regression against Bitcoin

13.9.1 The Index is regressed on Bitcoin by ordinary least squares with an intercept:

where both returns are daily returns for the same Day $t$, over every calendar Day of the sample. The Calculation System pairs the two return series by position. On 10 October 2026 neither stored series had a missing Day from 1 January 2015, so each pair covers the same Day.

13.9.2 Published figures:

(a) beta $=b={\displaystyle \frac{\sum (x_t-\overline{x})(y_t-\overline{y})}{\sum (x_t-\overline{x}{)}^2}}$, with $x$ the Bitcoin returns and $y$ the Index returns; $b=0$ if all $x_t$ are equal;

(b) R² $=1-{\displaystyle \frac{\sum (y_t-a-b{x}_t{)}^2}{\sum (y_t-\overline{y}{)}^2}}$; R² is 0 if all $x_t$ are equal;

(c) alpha, annualised: $A=(1+a{)}^{365}-1$, where $a=\overline{y}-b\overline{x}$ is the daily intercept.

13.9.3 Each is published for the full-history sample and the current sample.

13.9.4 The full-history regression on Bitcoin needs two return series of the same length, because it pairs them by position. If the lengths differ, the Calculation System repeats the regression once with the Bitcoin series ending one Day earlier, at $E-1$; the Index series is not shortened. After such a repeat, the current-sample regression on Bitcoin and the regressions on benchmarks (Section 13.10) use $E-1$ as their last date, while the Rivin returns, Rivin volatilities and Sharpe-Rivin ratios keep the samples that end at $E$. If the lengths still differ, or the two current samples differ in length, no statistics are calculated for that Day and the Administrator is alerted (Section 5.10.1(f)). The repeat can help only when the Index lacks a Close that Bitcoin has; a missing Bitcoin Close stops the statistics for the Day. If the Close that the Index lacks is dated before $E$, the repeated regression pairs the two series one Day out of step from that Day onward. This rule comes from the original statistics program.

13.10 Regressions against benchmarks

13.10.1 The Index is regressed in the same way on three benchmarks (Section 5.7): the euro in US dollars, GLD and SPY.

13.10.2 The benchmarks trade only on their own business days. Returns are paired by date on benchmark trading days. For two consecutive benchmark trading days $d^{\prime }<d$ in the sample:

where $B$ is the benchmark price and $C$ the Index Close. Each pair covers the same interval of time: a Monday pairs the Friday-to-Monday move of the benchmark with the Friday-to-Monday move of the Index, which includes the Index's Saturday and Sunday moves. "Consecutive" refers to the stored benchmark prices, so a benchmark holiday also joins two Index Days into one pair. (The euro series stored before 30 May 2024, which came from the previous system's download, also holds prices for 31 weekend Days; those Days are used as they stand.) For the euro, $B$ is the inverted rate of Section 5.7.2. A pair is used only if the Index has a Close on both $d^{\prime }$ and $d$. The full-history sample uses the pairs whose later Day $d$ falls from 1 January 2015 to $E$; the current sample uses those whose later Day falls from $E-180$ to $E$.

13.10.3 Alpha is annualised over 252 benchmark trading days: $A=(1+a{)}^{252}-1$. Each pair covers one benchmark trading day, so the intercept $a$ is a per-trading-day figure, and GLD and SPY trade on about 252 Days a year. The regression on Bitcoin (Section 13.9) pairs calendar Days and keeps 365.

13.10.4 Pairing by date and the 252-day annualisation apply from 10 October 2026. They replace the previous method, which filled benchmark prices forward to every calendar day, paired the two series by position and annualised alpha over 365 days; that method understated beta and R². On 10 October 2026 every stored daily set of statistics from 8 February 2018 to 10 October 2026 was recalculated with the new rule; the values before the recalculation are kept (Section 15.10.2). The site audit of 10 October 2026 could not reproduce the earlier published EUR, GLD and SPY regressions; their alphas matched, but betas and R² were lower, which is consistent with the stale benchmark prices after 29 May 2024 (Section 5.7.5). As a check, all 36 statistics stored for 10 October 2026 were recomputed independently from the stored Closes and benchmark prices with the formulas of this Section 13, and every one matched.

13.11 Live figures

13.11.1 The website and the live data feed show the following figures, recomputed with each new Real-Time Value. $V$ is the latest published Real-Time Value and $\text{today}$ is the current GMT date.

13.11.2 The Market Efficiency Ratio (MER) measures how directly the Index moved over a period. With $C_0,C_1,\dots ,C_{30}$ the last 31 published Closes in date order (30 daily changes):

It lies between 0 and 1. A value of 1 means the Index moved in one direction on every Day of the period; a value near 0 means the moves cancelled out. If the sum in the denominator is zero, the MER is 0.

13.11.3 The previous live widget computed the MER from 30 Closes (29 changes). Since 10 October 2026 every channel uses 31 Closes (30 changes), as defined here and in the frequently asked questions.

13.11.4 52-week basis. The base of the 12-month change and the first Close of the 52-week window is the Close dated $\text{today}-366$. That Close is struck at 00:00 GMT on $\text{today}-365$, exactly one year before the latest Close (dated $\text{today}-1$, struck at 00:00 GMT today). The window therefore holds 366 Closes and 365 daily changes. A base dated $\text{today}-365$ would give only 364 daily changes. The site audit noted that when a large move falls between the two possible base dates (as on 10 October 2025) the two bases give very different figures (-29.38% against -39.34% on the day of the audit). Since 10 October 2026 the website labels these figures "(daily closes)".

13.12 Rounding inside the live figures

13.12.1 The Market Efficiency Ratio, the 52-week high and low, and the bases of the month-to-date, year-to-date and 12-month changes use Closes rounded to 2 decimal places, as the previous website did. The latest Real-Time Value is not rounded before use.

13.13 The statistics published each Day

13.13.1 The Calculation System stores 36 statistics for each Day:

13.14 Rounding of statistics on the website

13.14.1 The homepage shows the Sharpe-Rivin ratios, volatilities, betas and alphas to 2 decimal places and R² to 5 decimal places. Data files and the live feed carry them at full precision.

13.15 Labels

13.15.1 Every published statistic carries a label that states its window (full history since 1 January 2015, or the current sample), its formula (Rivin or standard deviation) and, for 52-week figures, its basis (closing). On 10 October 2026 the homepage used, for example, "Bitcoin Sharpe-Rivin, since 1 January 2015", "Yearly volatility (Rivin), since 1 January 2015" and "52-week high (daily closes)".

14. Dissemination

14.1 Channels

14.1.1 The Administrator publishes the Index through the following channels:

(a) the website https://cci30.com, which shows the latest Real-Time Value, the day change, the session range, the live figures of Section 13.11, the Constituents with their Prices, Market Capitalisations and Drifted Weights, and the statistics;

(b) downloadable files: the daily history (Date, Open, High, Low, Close, Volume) since 1 January 2015; the membership at every Reconstitution since 1 January 2015; and the Target Weights of every Rebalance since 1 January 2015;

(c) an application programming interface over HTTPS in JSON format, which requires an API key issued to a named counterparty, with two entitlement tiers: end-of-day values, and real-time and constituent-level data under licence;

(d) a server for AI assistants using the Model Context Protocol at https://cci30.com/mcp;

(e) machine-readable summaries for AI systems (llms.txt and llms-full.txt); llms-full.txt is rebuilt every Day at 03:40 GMT, after the Official Close and the statistics;

(f) delivery to data vendors in a format and by a transport agreed at onboarding.

14.1.2 The use of the data in each channel is governed by Section 18 and the terms of use.

14.2 Publication schedule

14.2.1 All times GMT.

14.3 Status of published values

14.3.1 The live data feed states the status of each Real-Time Value (Section 6.6.4) and the age of each Constituent Price.

14.3.2 The Calculation System records each daily row as provisional until its Official Close is calculated, and as official after. The published files and the live data feed do not show this status.

14.4 Values are indicative until official

14.4.1 Values published during a Day are indicative. The Official Close is the sole official value for that Day and is the value on which all published statistics, performance data and licensed reporting are based.

15. Governance

15.1 The Administrator

15.1.1 The Administrator, CSP DAO LLC, is responsible for every aspect of the Index: this Manual, the calculation, the data, the publication, the records, the governance and the handling of complaints. It decides on changes to this Manual and on every use of expert judgement, and publishes changes on the website.

15.1.2 The Administrator may use third parties for data and infrastructure (Section 15.12). It remains responsible for the Index when it does.

15.2 Decisions of the Administrator

15.2.1 The Administrator decides the matters listed in Section 15.3.

15.2.2 The Administrator records each decision with the evidence considered and the reason (Section 15.5.2).

15.2.3 Every decision that affects the Index, its data or this Manual is published on the website, with its reason, before it takes effect where this is possible, and otherwise as soon as practicable afterwards, within any time limit that the terms of use set.

15.2.4 The 3 August 2026 version referred to "the Index Committee", "the board", "directors of the committee" and "senior members of the committee and compliance teams" without defining any of them. This version gives every such decision to the Administrator.

15.3 Matters decided by the Administrator

15.3.1 The Administrator decides:

(a) additions to and removals from the Exclusion List (Section 4.4.4);

(b) whether a Coin flagged for peg review is a pegged asset (Section 4.6.3);

(c) the identity of the continuing Coin after a fork or an identifier change (Sections 4.8.3 and 11.8.2);

(d) the removal of a Constituent outside the schedule, and its Price, under Sections 11.5 to 11.7;

(e) actions in a market emergency (Section 11.4.2);

(f) how to complete a Rebalance that could not be completed (Section 10.9);

(g) whether to restate published values (Section 12.5);

(h) changes to this Manual (Section 15.9) and the annual review (Section 15.8);

(i) the cessation of the Index (Section 15.13).

15.4 Matters not subject to discretion

15.4.1 In normal operation, the selection of Constituents, their Target Weights, their Units, the Real-Time Values, the daily values and the statistics follow from the rules of this Manual and the input data alone. No person chooses or adjusts them.

15.4.2 The index-data page of the website says "No committee discretion is applied". That sentence is true of selection and weighting in normal operation. The matters that the Administrator decides are listed in Section 15.3.

15.5 Expert judgement

15.5.1 Expert judgement means a decision that this Manual leaves to the Administrator. It may be used only in the matters listed in Section 15.3, including:

(a) extreme or unusual market emergencies;

(b) interruptions in pricing or in other data collection;

(c) restatements;

(d) closures of exchanges or of a Constituent's network.

15.5.2 When the Administrator uses expert judgement it:

(a) applies the rules of this Manual first and uses judgement only for what they leave open;

(b) treats similar cases in the same way, and records which earlier decision it followed or why it departed from it;

(c) uses the data in the order of Section 5: the Price Provider for Prices, the Market Data Provider for Market Capitalisations and tags, and other public evidence only to establish facts such as a delisting or a fraud;

(d) records the decision, the evidence and the reason.

15.5.3 The 3 August 2026 version had two sections, "Expert Judgement" and "Informed Discretion", that said much the same thing and referred to "detailed procedures" and "internal procedural manuals". This version merges them into Section 15.5.

15.6 Oversight

15.6.1 The Administrator oversees the methodology, the use of expert judgement and the controls of Section 5.10. This Manual describes no separate oversight function.

15.7 Conflicts of interest

15.7.1 The Administrator identifies, records and manages conflicts of interest that could affect the Index. Conflicts include:

(a) members, managers or staff of the Administrator who hold Constituents or Candidates, or products linked to the Index;

(b) commercial relationships with issuers of Coins, exchanges, the Price Provider, the Market Data Provider or licensees;

(c) revenue that depends on the Level or on a licensee's product.

15.7.2 In normal operation no person chooses Constituents or weights (Section 15.4), which limits the effect that a conflict of interest can have on the Index.

15.7.3 The inputs of a Rebalance end at 24:00 GMT on $D-1$ and the result is published at 00:00:05 GMT on $D$, so the result exists for only a few seconds before everyone can see it. Anyone can estimate it earlier from public data and these rules.

15.7.4 The 3 August 2026 version referred to a "code of ethics and behavioral norms". This Manual does not incorporate such a code.

15.8 Annual review

15.8.1 At least once a year the Administrator reviews whether the Index still measures what Section 1.2 says, given the state of the market. The review covers at least:

(a) the parameters in Appendix A (number of Constituents, half-life, window, Candidate cutoff, minimum observations, withholding thresholds, carry period);

(b) the exclusion rules and the Exclusion List;

(c) the data sources and their quality;

(d) the open items in the history (Section 12.9);

(e) complaints received (Section 15.11);

(f) every use of expert judgement in the year.

15.8.2 The Administrator publishes a summary of the review and of any change it proposes.

15.9 Changes to this Manual

15.9.1 A change to this Manual is either material or not material.

(a) A material change is one that changes, or could change, any Composition, Target Weight, Level or statistic: for example a change of parameter, of data source, of an exclusion rule or of a formula.

(b) A change that is not material corrects wording, adds an example, or describes an existing practice more precisely without changing any result.

15.9.2 For a material change, the Administrator:

(a) decides the change and records the reason and the expected effect;

(b) publishes the change, the reason, the expected effect and the date from which it applies on the website, with the notice and any consultation that the terms of use require;

(c) issues a new version of this Manual with a new version number and the changes listed in a change log like Section 0.2.

15.9.3 For a change that is not material, the Administrator issues a new version with a change log entry and publishes it on the website.

15.9.4 The version dated 3 August 2026 stays available on the website as a superseded version (Section 0.1.6).

15.10 Records and audit trail

15.10.1 The Calculation System stores, in its database:

(a) every published Real-Time Value with its timestamp;

(b) every Constituent's daily open, high, low and close, Market Capitalisation and volume;

(c) every daily row of the Index, with its source (provisional, official, or imported from the previous system) and the time it was last written;

(d) every Composition, with its Units and Target Weights;

(e) every Rebalance, with the inputs and results listed in Section 8.9;

(f) every statistic published;

(g) the factor applied in each restatement;

(h) the benchmark prices.

15.10.2 The Administrator also keeps correction notices, complaints and responses, and the originally published series that a restatement replaced. The previous system's full database as of 1 October 2026 is kept read-only.

15.10.3 The Administrator makes these records available to auditors and, under Section 16.4, to regulatory authorities.

15.10.4 The records of Section 15.10.1 are held in the database of the Calculation System, on a server operated by the Administrator (Section 3.4.1).

15.11 Complaints

15.11.1 Anyone may complain about the Index, its calculation, a Rebalance, a published value or this Manual, by e-mail to info@cci30.com.

15.11.2 The Administrator acknowledges a complaint, investigates it and replies in writing with its findings and any action, within the periods that the terms of use set.

15.11.3 If a complaint shows an error, Section 12 applies.

15.11.4 The Administrator keeps a record of every complaint, the investigation and the reply.

15.12 Third parties

15.12.1 The Administrator relies on the following third parties: CoinAPI (Prices), CoinMarketCap (Market Capitalisations, volumes and tags), the European Central Bank and Yahoo (benchmark prices for statistics), and Hetzner Online GmbH (server hosting).

15.12.2 The Administrator monitors the data from each provider under Section 5.10 and reviews each provider at the annual review. A change of the Price Provider or the Market Data Provider is a material change under Section 15.9.

15.13 Cessation of the Index

15.13.1 The Administrator may cease the Index if it can no longer be calculated under this Manual (for example because no suitable data source exists) or for business reasons.

15.13.2 Before ceasing the Index the Administrator: publishes a notice on the website in advance, at least as early as the terms of use require, unless circumstances make that impossible; informs licensees directly; states whether a successor index is proposed and how it differs; and keeps publishing the Index until the cessation date where possible.

15.14 Business continuity

15.14.1 If the Calculation System or its server fails, the Administrator restores the service from the stored database and rebuilds the gap under Section 6.7.

16. IOSCO alignment statement

16.1 Statement

16.1.1 The Administrator administers the Index in a manner aligned to the IOSCO Principles for Financial Benchmarks (International Organization of Securities Commissions, July 2013).

16.1.2 This statement is the Administrator's own assessment.

16.1.3 The 3 August 2026 version also said that the governance of the Index was "informed by ... the framework of the EU Benchmarks Regulation, consistent with the Index's role as an institutional-grade benchmark". This version removes "institutional-grade", which is a description and not a fact a reader can check, and replaces the reference to the EU Benchmarks Regulation with Section 16.3.

16.2 Where this Manual addresses each Principle

16.3 Regulatory status

16.3.1 A user subject to Regulation (EU) 2016/1011 (the EU Benchmarks Regulation), or to the Benchmarks Regulation as it applies in the United Kingdom, is responsible for checking whether it may use the Index for its purpose.

16.3.2 A user in any other country is responsible in the same way for checking the rules that apply to its use of the Index. This Manual makes no statement on the regulatory status of the Index or of the Administrator in any country.

16.4 Cooperation with authorities

16.4.1 The Administrator provides records of the Index to any regulatory authority with a lawful request, within the limits of the law that applies to it.

17. Limitations and risks

17.1 Limitations of the Index

17.1.1 Circulating supply. The Market Data Provider's circulating supply figures can change suddenly, for example when locked tokens are released or tokens are reclassified. Such a change moves a Coin's Market Capitalisation, and so its Adjusted Market Capitalisation, its rank and its weight at the next Rebalance.

17.1.2 Two data sources. Prices come from the Price Provider and Market Capitalisations from the Market Data Provider (Section 5.1.2). Their prices for the same Coin can differ. The difference affects weights only, through the square root, and does not affect the Level.

17.1.3 One price source. The Index has no substitute price source (Section 5.3). An outage of the Price Provider stops Real-Time Values until it ends.

17.1.4 Replication costs. The Index deducts no trading costs, spreads, fees or taxes. A portfolio that replicates the Index pays bid and ask spreads and fees at each Rebalance and when it invests or withdraws money, and its return will differ from the Index by at least those costs. The 3 August 2026 version said that the Administrator publishes the average spread of the Constituents every 5 minutes; that feed stopped in May 2025, and this version withdraws the statement. On 10 October 2026 the homepage no longer showed a spread field. A spread field that remains in the constituents feed behind it is fixed at 0.00% and carries no information.

17.1.5 Cross-exchange prices. A Price is a rate computed across many exchanges (Section 5.2.2). No single exchange may trade at that Price at a given moment.

17.1.6 Daily High and Low. The daily High and Low are sums of each Constituent's own high and low and are not values the Index reached (Section 6.9).

17.1.7 History. Values before 1 January 2017 were calculated after the fact. Values before 2018 could not be checked against stored inputs and were not restated. Section 12.9 lists open items.

17.1.8 Data coverage. The universe is limited to the 250 largest Coins in the Market Data Provider's listing at each snapshot (Section 4.1.2). A Coin that the Price Provider does not cover cannot be a Constituent (Section 4.2.2).

17.2 Risks

17.2.1 Cryptocurrency indices are exposed to risks that include, without limitation:

(a) attacks on the availability of exchanges, data providers or the Administrator's systems, such as distributed denial of service;

(b) interruptions or halts in trading;

(c) hacking of exchanges, custodians or accounts, and theft of assets;

(d) changes in the names, symbols or identifiers of Coins (Section 11.10);

(e) failures of the technology on which a Coin depends, including forks and protocol failures (Sections 4.8 and 11.11);

(f) differences and changes in law between countries, which can lead to changed fees, blocked withdrawals, delistings or bans;

(g) errors or outages at the Price Provider or the Market Data Provider;

(h) concentration of trading on a few exchanges, and the possibility of manipulation of their prices.

17.2.2 Any stop or interruption of trading in cryptocurrencies on the open market can lower the value of the Index or prevent its calculation.

18. Intellectual property and licensing

18.1 Ownership

18.1.1 The Administrator owns or controls the intellectual property in the Index, this Manual, the Index values and the data published under the Index name, including software, databases and documents, except where stated otherwise. All rights not expressly granted are reserved.

18.2 Trade marks

18.2.1 The word mark CCI30 is registered in the United States (Reg. No. 5,640,753, class 35) and as a European Union trade mark (No. 017282351, class 36). The owner of record of both registrations is CS&P SA (Panama).

18.2.2 The registers record no assignment of either registration.

18.2.3 No person may use the CCI30 name or marks for a product, a service or a company without a written licence.

18.3 Licence of end-of-day values

18.3.1 Official end-of-day values of the Index are made available free of charge for non-commercial use under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International licence (CC BY-NC-ND 4.0), as stated on the index-data page of the website.

18.3.2 The terms of use at https://cci30.com/terms/ set out the scope of this licence and any permissions that the Administrator gives in addition to it.

18.4 Commercial use

18.4.1 Any commercial use of the Index or its name requires a written licence from the Administrator. Commercial use includes, without limitation: use as the benchmark or underlying of a fund, an exchange-traded product, a structured product or a derivative; use in performance reporting, factsheets or marketing; redistribution of Index values; display of Index values in a commercial product; construction of tracking portfolios or replicating strategies offered to others; and any use of the CCI30 name or marks with a commercial offering. The terms of use and the index-data page give the full list.

18.5 Attribution

18.5.1 Any permitted use of Index values must carry the attribution set out in the terms of use at https://cci30.com/terms/.

18.5.2 The 3 August 2026 version allowed printing and downloading of extracts "for personal use" with an acknowledgement "that CS&P is the author, publisher and copyright holder". That was a third attribution format. This version replaces it with Section 18.5.1.

19. Disclaimers and limitation of liability

19.1 No advice

19.1.1 The Index, this Manual and all data and statistics published by the Administrator are for information. They are not investment, legal, tax or accounting advice, and they are not an offer, solicitation or recommendation to buy, sell or hold any cryptocurrency, security or other financial instrument.

19.1.2 A licence to use the Index is not an endorsement, recommendation, approval or certification of any licensee, product or strategy.

19.2 Risk warning

19.2.1 Trading in cryptocurrencies carries a high level of risk and may not be suitable for every person. Prices of cryptocurrencies are very volatile. An investment can gain or lose a large part of its value in a short time, and can be lost entirely.

19.2.2 Past performance of the Index or of any product gives no indication of future results. Statistics in Section 13 describe the past only.

19.2.3 Before investing in cryptocurrencies, a person should consider their investment objectives, their experience and the level of risk they can accept, should invest only money they can afford to lose, and should seek the advice of a qualified financial adviser if in doubt.

19.3 No warranty

19.3.1 The Administrator calculates and publishes the Index with reasonable care. To the maximum extent permitted by law, the Index, its values and all related data are provided "as is" and "as available", without any warranty or representation, express, implied, statutory or otherwise, including any warranty of accuracy, completeness, timeliness, merchantability, fitness for a particular purpose or non-infringement.

19.3.2 The Administrator does not warrant that the Index will be calculated or published without interruption or error, or that any error will be corrected within a given time, except as Section 12 provides.

19.4 Limitation of liability

19.4.1 To the maximum extent permitted by law, neither the Administrator, its affiliates, its agents nor the third parties that supply data or services to it are liable for any loss, cost, injury or damage arising from:

(a) the use of, or reliance on, the Index, its values, this Manual or any related data;

(b) technical problems, system failures or malfunctions, failures of communication lines, equipment or software;

(c) errors, delays or interruptions in the calculation or publication of the Index;

(d) trading in cryptocurrencies.

19.4.2 In no event are those persons liable for any indirect, special, incidental, consequential, exemplary or punitive damages, or for any loss of profits, revenue, data or goodwill, even if they were told of the possibility of such damages.

19.4.3 Where liability cannot be excluded by law, the limits of liability in the terms of use at https://cci30.com/terms/ apply.

19.4.4 Nothing in this Section limits liability that cannot be limited under the applicable law, such as liability for fraud.

19.5 Governing law and venue

19.5.1 The law that governs this Manual and any dispute arising from it, and the courts that have jurisdiction, are those stated in the terms of use at https://cci30.com/terms/.

19.6 Severability

19.6.1 If any provision of this Section 19 is held invalid or unenforceable, the other provisions remain in force, and the invalid provision is replaced by the valid provision closest to its intent.

20. Contact

20.1 Questions about this Manual, complaints (Section 15.11), licensing and data enquiries: info@cci30.com.

20.2 Administrator: CSP DAO LLC, a Wyoming limited liability company (filing number 2022-001086782; LEI 9845006BE86C7D0ZBC50).

20.3 Website: https://cci30.com.

Appendix A. Parameters

A.1 The parameters below are those of the Calculation System on the Effective Date of this version. A change to any of them is a material change under Section 15.9.

A.2 The table does not include the method by which the Price Provider computes its exchange rates. The Price Provider sets that method; the Administrator does not compute, filter or re-weight the rates (Section 5.2.2).

Appendix B. Worked example: Adjusted Market Capitalisation

B.1 This example uses invented numbers. For brevity it uses 8 observations; the real window holds up to 61 (Section 7.2), and the older observations would add little (Section 7.7).

B.2 A Coin has the following daily Market Capitalisations, in USD billion, for the 8 Days before the Rebalance Day $D$. $k$ counts back from the most recent observation.

B.3 The Adjusted Market Capitalisation is

B.4 For comparison, the simple average of the 8 values is 11.3125 and the last value is 13.0. The Adjusted Market Capitalisation lies between them, nearer to the recent values.

B.5 A missing Day. Suppose no Market Capitalisation was recorded for $D-3$. That Day is skipped, not counted as zero (Section 7.5). The 7 remaining observations are renumbered: $D-1$ has $k=0$, $D-2$ has $k=1$, $D-4$ now has $k=2$, and so on back to $D-8$ with $k=6$. The result is

The older observations each move one step closer to $k=0$ and gain weight, so the result is a little lower than in Section B.3.

Appendix C. Worked example: monthly Rebalance

C.1 This example uses an invented index with 4 Constituents, A, B, C and D, so that every number can be checked by hand. The real Index has 30. The method is the same.

C.2 Before the Rebalance. The Units in force, and the Closes of the Constituents on $D-1$, are:

The Level at the switch is $L=2,230.00$ (Section 10.4).

C.3 Adjusted Market Capitalisations. Computed under Section 7 with data up to $D-1$, in USD billion: A 1,200; B 300; C 48; D 12. (The unit does not matter: a common factor in every $M_i^{*}$ cancels in Section 9.1.)

C.4 Target Weights.

C.5 New Units (Section 10.5):

The new Units are worth exactly $L$ at the Closes of $D-1$, so the Level does not jump at the switch.

C.6 The first Real-Time Value after the switch. Suppose the Prices then are A 61,200 (+2%), B 2,450 (−2%), C 1.26 (+5%) and D 0.050 (unchanged).

With the new Units (Section 6.1.1):

With the level-factor form (Section 6.2.2):

The two forms agree. Had the old Units stayed in force, the value would have been 2,248.00: the Rebalance changed the exposure, not the Level at the switch.

Appendix D. Worked example: quarterly Reconstitution

D.1 This example uses an invented universe and an index of 4 Constituents. The real Index selects 30 from up to 200 Candidates. The Composition before the Reconstitution is the one in Appendix C.2 (A, B, C and D).

D.2 Ranking on $D-1$ and screens. Market Capitalisations in USD billion.

D.3 What the example shows.

(a) S is excluded before ranking, whatever its size.

(b) E is large but was listed only 8 Days ago, so it cannot enter yet.

(c) D ranks above F on $D-1$ alone, but F ranks above D on the Adjusted Market Capitalisation, because F was larger over the preceding weeks and D's rise is recent. D leaves the Index and F enters. If D's rise lasts, D can enter at a later Reconstitution.

D.4 Target Weights of the new Constituents A, B, C and F, by Section 9.1, are 0.555556, 0.277778, 0.111111 and 0.055556 (the Adjusted Market Capitalisations are the same numbers as in Appendix C, with F in place of D).

D.5 Units. $L=2,230.00$ is the value of the outgoing Units (A, B, C and D) at the Closes of $D-1$, as in Appendix C.2. D, the outgoing Constituent, is valued at its Close of 0.050. The Close of F on $D-1$ is 0.80. Then:

Appendix E. Worked example: daily Open, High, Low and Close

E.1 An invented index of 2 Constituents holds 0.01 units of X and 100 units of Y. During one Day the Calculation System receives four sets of Prices:

E.2 The Constituents' daily values are: X open 60,000, high 61,000, low 59,500, close 60,500; Y open 1.00, high 1.04, low 0.95, close 1.00.

E.3 By Section 6.8.2 the Index's daily values are:

E.4 The highest Real-Time Value of the Day was 705.00 and the lowest 699.00. The published High (714.00) is above the highest value the Index reached, and the published Low (690.00) is below the lowest, because X and Y reached their highs and lows at different times (Section 6.9).

Appendix F. Worked examples: statistics

F.1 Rivin return, Rivin volatility and the Sharpe-Rivin ratio. Suppose a sample of daily returns has mean $m=0.002$ and sample standard deviation $s=0.04$, so $s^2=0.0016$. Then:

(a) $R(365)={1.002}^{365}-1=2.073568-1=1.073568$, a yearly Rivin return of 107.36%.

(b) $s^2+(1+m{)}^2=0.0016+1.004004=1.005604$, so

(c) $\text{SR}=1.073568/1.840924=0.583168$, published as 0.58.

(d) $R(30)={1.002}^{30}-1=0.061773$ and $V(30)=\sqrt{{1.005604}^{30}-{1.002}^{60}}=\sqrt{1.182523-1.127362}=0.234865$.

(e) For comparison, the annualised standard deviation of Section 13.7 is $s\sqrt{365}=0.764199$. The two volatility measures differ by more than a factor of 2 here, which is why they must carry different names.

F.2 Annualised alpha. If the daily intercept of the regression on Bitcoin is $a=0.0015$, the published alpha is $A={1.0015}^{365}-1=0.728216$, or 72.82% (Section 13.9.2). If the same intercept comes from a regression on a benchmark, where each pair covers one benchmark trading day, the published alpha is $A={1.0015}^{252}-1=0.458950$, or 45.89% (Section 13.10.3).

F.3 Pairing with a benchmark by date. Suppose the Index closes at 18,000 on a Friday, 18,360 on Saturday, 18,180 on Sunday and 18,540 on Monday, and a benchmark that trades on weekdays only closes at 500 on Friday and 505 on Monday. Friday and Monday are consecutive benchmark trading days, so the pair for Monday is:

The Saturday and Sunday moves of the Index enter through the Monday pair; they are not paired with zero benchmark returns (Section 13.10.2).

F.4 Market Efficiency Ratio. With six Closes 100, 102, 101, 104, 103 and 106 (five changes), the net change is $|106-100|=6$ and the sum of absolute changes is $2+1+3+1+3=10$, so the ratio is $6/10=0.60$. The published ratio uses 31 Closes and 30 changes (Section 13.11.2).

Appendix G. The Exclusion List on 1 October 2026

G.1 The Exclusion List held 21 entries on 1 October 2026, imported from the previous system. Coins are listed by their Market Data Provider identifier. The category is the type of asset under Section 4.5. The previous system's table records no reason: it gives a ticker for some entries and the category "stablecoin" for 18 entries (including "ftx-token", "pax-gold" and "tether-gold"), and no category for "bitcoin-bep2", "toncoin" and "wrapped-bitcoin". The categories below apply Section 4.5 to each entry.

G.2 Ripple USD (RLUSD) is not on the list; it is excluded by its tag (Section 4.3). Coins tagged "stablecoin", "wrapped-tokens" or "liquid-staking-derivatives" do not need an entry.

G.3 The Administrator publishes the current Exclusion List on the website and updates it after every change under Section 4.4.4.

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End of the Methodology Manual, version 2.0.