OVERVIEW

1. What Cryptocurrency Benchmarks are available?

Cryptocurrency Reference Rate Reference Rate Ticker Real Time Index Real Time Index Ticker
Algorand CME CF Algorand – Dollar Reference Rate ALGOUSD_RR CME CF Algorand Dollar Real-Time Index ALGOUSD_RTI
Bitcoin CME CF Bitcoin Reference Rate BRR CME CF Bitcoin Real-Time Index BRTI
CME CF Bitcoin Reference Rate New York BRRNY
Bitcoin Cash CME CF Bitcoin Cash – Dollar Reference Rate BCHUSD_RR CME CF Bitcoin Cash - Dollar Real-Time Index BCHUSD_RTI
Cardano CME CF Cardano – Dollar Reference Rate ADAUSD_RR CME CF Cardano -  Dollar Real-Time Index ADAUSD_RTI
Chainlink CME CF Chainlink – Dollar Reference Rate LINKUSD_RR CME CF Chainlnk - Dollar Real-Time Index LINKUSD_RTI
Cosmos CME CF Cosmos – Dollar Reference Rate ATOMUSD_RR CME CF Cosmos -  Dollar Real-Time Index ATOMUSD_RTI
Ether CME CF Ether-Dollar Reference Rate ETHUSD_RR CME CF Bitcoin Real-Time Index ETHUSD_RTI
CME CF Ether-Dollar Reference Rate New York ETHUSD_NY
Litecoin CME CF Litecoin – Dollar Reference Rate LTCUSD_RR CME CF Litecoin -  Dollar Real-Time Index LTCUSD_RTI
Polygon CME CF Polygon – Dollar Reference Rate MATICUSD_RR CME CF Polygon -  Dollar Real-Time Index MATICUSD_RTI
Polkadot CME CF Polkadot – Dollar Reference Rate DOTUSD_RR CME CF Polkadot – Dollar Real-Time Index DOTUSD_RTI
Solana CME CF Solana – Dollar Reference Rate SOLUSD_RR CME CF Solana -  Dollar Real-Time Index SOLUSD_RTI
Uniswap CME CF Uniswap – Dollar Reference Rate UNIUSD_RR CME CF Uniswap - Dollar Real-Time Index UNIUSD_RTI
Stellar Lumens CME CF Stellar Lumens – Dollar Reference Rate XLMUSD_RR CME CF Stellar Lumens - Dollar Real-Time Index XLMUSD_RTI


CME CF Reference Rates and Real-Time Indices are not tradable futures products.


REFERENCE RATES

2. What are the CME CF Reference Rates?

The CME CF Reference Rates aggregate trade flow of major cryptocurrency spot exchanges during specific calculation windows into a once-a-day reference rate of the U.S. dollar price of the respective cryptocurrency. Calculation rules are geared toward maximum transparency and real-time replicability in underlying spot markets.

NAME CME TICKER SYMBOL CALCULATION WINDOW PUBLISH TIME FIRST PUBLISH DATE
CME CF Bitcoin Reference Rate* BRR 3-4 p.m. London Time 4 p.m. London Time Nov-16
CME CF Ether-Dollar Reference Rate* ETHUSD_RR 3-4 p.m. London Time 4 p.m. London Time May-18
CME CF Algorand-Dollar Reference Rate ALGOUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Bitcoin Cash-Dollar Reference Rate BCHUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Cardano-Dollar Reference Rate ADAUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Chainlink-Dollar Reference Rate LINKUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Cosmos-Dollar Reference Rate ATOMUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Litecoin-Dollar Reference Rate LTCUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Polkadot-Dollar Reference Rate DOTUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Polygon-Dollar Reference Rate MATICUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Solana-Dollar Reference Rate SOLUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Stellar Lumens-Dollar Reference Rate XLMUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Uniswap-Dollar Reference Rate UNIUSD_RR 3-4 p.m. London Time 4 p.m. London Time Apr-22
CME CF Bitcoin Reference Rate New York BRRNY 3-4 p.m. NY Time 4 p.m. NY Time Feb-22
CME CF Ether-Dollar Reference Rate New York ETHUSD_NY 3-4 p.m. NY Time 4 p.m. NY Time Feb-22

* used to settle CME Cryptocurrency futures


3. Why were these reference rates created?

CME Group is committed to fostering open standards, diverse participation, and cultivating the highest standards and protocols as the crypto currency space and digital asset technology evolves. These products are designed to allow crypto traders, companies and other users to rely on a credible reference rate price source.


4. Why are multiple reference rates with different calculation times available?

Different calculation windows are used to calculate the different reference rates. This allows traders to more accurately and precisely assess their cryptocurrency price risk with timing aligned to their portfolio and region. The BRR and ETHUSD_RR calculate during 3-4 p.m. London time and publish at 4 p.m. London time. BRRNY and ETHUSD_NY calculate 3-4 p.m. NY time and publish at 4 p.m. NY time.   


5. What are the differences between BRR and BRRNY?

The CME CF Bitcoin Reference Rate (BRR) is calculated from 3 p.m. to 4 p.m. London time and is used to settle CME Bitcoin and Micro Bitcoin futures contracts.

The CME CF Bitcoin Reference Rate (BRRNY) is calculated from 3 p.m. to 4 p.m. New York time and is not used to settle futures contracts. Both rates utilize the same exact methodology with data from the same Constituent Exchanges.


6. What are the differences between ETHUSD_RR and ETHUSD_NY?

The CME CF Ether-dollar Reference Rate (ETHUSD_RR) is calculated from 3 p.m. to 4 p.m. London time and is used to settle CME Ether and Micro Ether futures contracts.

The CME CF Ether-Dollar (ETHUSD_NY) is calculated from 3 p.m. to 4 p.m. New York time and is not used to settle futures contracts. Both rates utilize the same exact methodology with data from the same Constituent Exchanges.


7. Will CME Group add NY versions of the recently introduced reference rates?

CME is committed to providing products and tools based on client demand to better assist in risk management. The need to launch New York versions of the recently introduced reference rates will be evaluated on an on-going basis. 


8. What methodology is used to calculate the reference rates?

The CME CF Reference Rates are a daily reference rate of the U.S. dollar price of the associated cryptocurrency. The Rates represent the aggregated, executed trade flow of major spot exchanges during a specific one-hour calculation window. All relevant transactions are added to a joint list, recording the trade price and size for each transaction. This one-hour window is then partitioned into 12 five-minute intervals. For each partition, the volume-weighted median trade price is calculated from the trade prices and sizes of all relevant transactions, i.e., across all constituent exchanges. The reference rate is then given by the equally-weighted average of the volume-weighted medians of all partitions.

Details of the methodology can be found in the CME CF Cryptocurrency Reference Rates Methodology Guide


9. What reference rate do the CME Group Cryptocurrency futures settle to?

The CME cryptocurrency futures settle to the CME CF Reference Rates that are published at 4 p.m. London time – specifically:

Bitcoin futures and Micro Bitcoin futures settle to the CME CF Bitcoin Reference Rate (BRR)

Ether futures and Micro Ether futures settle to the CME CF Ether-dollar Reference Rate (ETHUSD_RR).


REAL-TIME INDICES

10. What are the CME CF Cryptocurrency Real-Time Indices?

The CME CF Cryptocurrency Real-Time Indices aggregate global demand to buy and sell specific cryptocurrencies into a separate consolidated order book that reflects the fair, instantaneous U.S. dollar price of the respective cryptocurrency. The real-time indices are geared toward low latency and timeliness and are based on forward looking input data.

Name CME Ticker Symbol Calculation Window Publish Time First Publish Date
CME CF Bitcoin Real Time Index BRTI Every Second Every Second Nov-16
CME CF Ether-Dollar Real Time Index ETHUSD_RTI Every Second Every Second May-18
CME CF Algorand-Dollar Real Time Index ALGOUSD_RTI Every Second Every Second Apr-22
CME CF Bitcoin Cash-Dollar Real Time Index BCHUSD_RTI Every Second Every Second Apr-22
CME CF Cardano-Dollar Real Time Index ADAUSD_RTI Every Second Every Second Apr-22
CME CF Chainlink-Dollar Real Time Index LINKUSD_RTI Every Second Every Second Apr-22
CME CF Cosmos-Dollar Real Time Index ATOMUSD_RTI Every Second Every Second Apr-22
CME CF Litecoin-Dollar Real Time Index LTCUSD_RTI Every Second Every Second Apr-22
CME CF Polkadot-Dollar Real Time Index DOTUSD_RTI Every Second Every Second Apr-22
CME CF Polygon-Dollar Real Time Index MATICUSD_RTI Every Second Every Second Apr-22
CME CF Solana-Dollar Real Time Index SOLUSD_RTI Every Second Every Second Apr-22
CME CF Stellar Lumens-Dollar Real Time Index XLMUSD_RTI Every Second Every Second Apr-22
CME CF Uniswap-Dollar Real Time Index UNIUSD_RTI Every Second Every Second Apr-22

11. How often are the CME CF Cryptocurrency Real-Time Indices published?

The rates are published approximately every second of every day, including weekends and holidays.


12. What methodology is used to calculate the real-time indices?

CME CF Cryptocurrency Real-Time Indices are calculated in real time based on the relevant order books of all constituent exchanges. The CME CF Cryptocurrency Real-Time Indices are then determined by the sum of the weighted mid-price volume data. For more information, review the CME CF Cryptocurrency Real-Time Indices Methodology Guide.


DATA AND LICENSING

13. What exchanges contribute market data for the CME CF Cryptocurrency Benchmarks?

CME CF Cryptocurrency Reference Rates and Real-Time Indices
Cryptocurrency Reference Rate Ticker Real Time Index Ticker Bitstamp Coinbase Gemini itBit Kraken
Algorand* ALGOUSD_RR ALGOUSD_RTI          
Bitcoin BRR BRTI          
BRRNY
Bitcoin Cash * BCHUSD_RR BCHUSD_RTI          
Cardano* ADAUSD_RR ADAUSD_RTI          
Chainlink* LINKUSD_RR LINKUSD_RTI          
Cosmos* ATOMUSD_RR ATOMUSD_RTI          
Ether  ETHUSD_RR ETHUSD_RTI          
ETHUSD_NY
Litecoin* LTCUSD_RR LTCUSD_RTI          
Polygon* MATICUSD_RR MATICUSD_RTI          
Polkadot* DOTUSD_RR DOTUSD_RTI          
Solana* SOLUSD_RR SOLUSD_RTI          
Uniswap* UNIUSD_RR UNIUSD_RTI          
Stellar Lumens* XLMUSD_RR XLMUSD_RTI          

*Available starting April 25, 2022

Details of the Constituent Exchange Criteria and a list of Constituent Exchanges can be found on the CME Group Cryptocurrency Benchmarks webpage

Read more about the Constituent Exchange Criteria
See a list of Constituent Exchanges


14. How can I access the Cryptocurrency Benchmarks data?

There are three ways to access real-time and historical data:

  • CME Group website
  • MDP (Market Data Platform) through channel 213
  • DataMine

Historical data goes back to the inception of the rates. See the table in question 1.  


15. What licensing is required to use these Cryptocurrency Benchmarks?

All customers are required to sign an Information License Agreement (ILA) to license the CME CF Cryptocurrency Reference Rates and CME CF Cryptocurrency Real-Time Index products.

Please note that the creation and distribution of derived works using the Reference Rates and Real Time Indices will require a separate Derived Data License Agreement. 

For more information, visit the CME Group Derived Data Services page.


16. Can I receive this data through a third party or do I need to get it from CME Group directly?

Customers can take the data directly from CME Group or they can subscribe to the data through a licensed third-party data provider.


ADDITIONAL INFORMATION

17. What kind of oversight is there for the CME CF Cryptocurrency Benchmarks?

An Oversight Committee, consisting of CME Group, Crypto Facilities, and leading industry experts, regularly review the methodology and practice standards followed in the reference rate and index determination process to protect the integrity of the rates and ensure all CME CF Cryptocurrency Indices continue to be representative of the underlying markets.

CME Cryptocurrency products

Expand your choices for managing cryptocurrency exposure with Bitcoin futures and options, Micro Bitcoin futures,  Ether futures and Micro Ether futures.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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