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Overview
- What Cryptocurrency Single-Asset Benchmarks are available?
- What are CME CF Reference Rates?
- What methodology is used to calculate Reference Rates?
- Why were the CME CF Reference Rates created?
- What are the differences between London, New York and APAC Reference Rates?
- Are the euro-denominated Reference Rates converted from the existing USD rates?
- What Reference Rates do our Cryptocurrency futures settle to?
- Where can I find more information on benchmark governance and the policy for hard forks?
Real-Time Indices
- What are CME CF Cryptocurrency Real-Time Indices?
- How often are CME CF Cryptocurrency Real-Time Indices published?
- What methodology is used to calculate the Real-Time Indices?
Data and licensing
- What exchanges contribute market data for CME CF Cryptocurrency Benchmarks?
- How can I access the Cryptocurrency data?
- What licensing is required to use these Cryptocurrency Benchmarks?
Additional information
WHAT'S NEW
1. What are the latest updates to the CME CF Single-Asset Benchmarks suite?
The latest enhancement to our CME CF Benchmarks suite is the CME CF Uniswap Dollar Reference Rate New York Variant (UNIUSD_NY). We also offer Multi-Asset Cryptocurrency Indices to measure market-leading coins, specialized segments and Volatility Indices to measure market expectations of 30-day bitcoin volatility.
OVERVIEW
2. What Cryptocurrency Benchmarks are available?
3. What are CME CF Reference Rates?
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 or euro price of the respective cryptocurrency. Calculation rules are geared toward maximum transparency and real-time replicability in underlying spot markets.
4. What methodology is used to calculate Reference Rates?
CME CF Reference Rates are calculated by aggregating the executed trade flow of a particular cryptocurrency pair on major spot exchanges during a specific one-hour calculation window. This window is partitioned into 12 five-minute intervals, with the final Reference Rate being the equally weighted average of the volume-weighted median trade price of all partitions.
Details of the methodology can be found in the CME CF Cryptocurrency Reference Rates Methodology Guide.
5. Why were the CME CF Reference Rates created?
We are committed to fostering open standards, diverse participation and cultivating the highest standards and protocols as the cryptocurrency 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.
6. What are the differences between London, New York and APAC Reference Rates?
We offer Reference Rates that are calculated during three different global time zones. This allows traders to assess their cryptocurrency price risk more accurately with timing aligned to their portfolio and region. Regional variants use the same methodology and data from the same Constituent Exchanges. Reference rates are calculated from 3:00 p.m. to 4:00 p.m. London time, 3:00 p.m. to 4:00 p.m. New York time and 3:00 p.m. to 4:00 p.m. Hong Kong/Singapore time.
7. Are the euro-denominated Reference Rates converted from the existing USD rates?
No. The Euro Reference Rates and Real-Time Indices follow the same methodology as the existing benchmarks and are not converted from USD rates.
8. What reference rate do our Cryptocurrency futures settle to?
All Cryptocurrency futures settle to the CME CF Reference Rates that are published at 4:00 p.m. London time, with the exception of Bitcoin Friday futures and Spot-Quoted futures which settle at 4:00 p.m. New York time.
9. Where can I find more information on benchmark governance and the policy for hard forks?
The CME CF Cryptocurrency pricing products are governed by a formal framework to ensure they represent the underlying economic reality of the markets they measure. This includes comprehensive regulatory disclosures and specific protocols for network events.
For more information, review the CME CF Benchmark Statement and the CME CF Hard Fork Policy.
REAL-TIME INDICES
10. What are CME CF Cryptocurrency Real-Time Indices?
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.
11. How often are CME CF Cryptocurrency Real-Time Indices published?
The rates are published approximately every second of every day, including weekends and holidays.
Note, the publication via MDP may be interrupted during weekend maintenance. Real-time and historical data can also be accessed through our website and DataMine.
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. They are then determined by the sum of the weighted mid-price volume data.
For more information, review the CME CF Cryptocurrency Reference Rates Methodology Guide.
DATA AND LICENSING
13. What exchanges contribute market data for CME CF Cryptocurrency Benchmarks?
| Benchmark | Bitstamp | Bullish | Coinbase | Gemini | Itbit | Kraken | LMAX | Crypto.com |
|---|---|---|---|---|---|---|---|---|
| Aave | X | X | X | |||||
| Algorand | X | X | ||||||
| Aptos | X | X | X | |||||
| ARB | X | X | ||||||
| Avalanche* | X | X | ||||||
| Axie Infinity | X | X | X | |||||
| Bitcoin* | X | X | X | X | X | X | X | X |
| Bitcoin Cash | X | X | X | X | X | |||
| Bitcoin Euro | X | X | X | X | X | |||
| Bittensor | X | X | ||||||
| Cardano* | X | X | ||||||
| Chainlink* | X | X | X | X | ||||
| Chiliz | X | X | ||||||
| Cosmos | X | X | ||||||
| Curve | X | X | X | |||||
| Decentraland | X | X | X | |||||
| Ether* | X | X | X | X | X | X | X | |
| Ether Euro | X | X | X | X | ||||
| Filecoin | X | X | X | |||||
| Hedera | X | X | ||||||
| Internet Computer | X | X | ||||||
| Litecoin | X | X | X | X | X | |||
| NEAR | X | X | ||||||
| Ondo | X | X | ||||||
| Polkadot | X | X | ||||||
| Polygon | X | X | X | |||||
| Solana* | X | X | X | |||||
| Stellar Lumens* | X | X | X | |||||
| Sui* | X | X | ||||||
| Synthetix | X | X | X | |||||
| Tezos | X | X | ||||||
| Uniswap | X | X | ||||||
| XRP* | X | X | X | X |
*Used to settle Cryptocurrency futures
CME CF Reference Rates and Real-Time Indices are not tradable futures products.
Details of the Constituent Exchange Criteria and a list of Constituent Exchanges can be found on our website.
Read more about the Constituent Exchange Criteria.
See a list of Constituent Exchanges.
14. How can I access the Cryptocurrency data?
There are three ways to access real-time and historical data, including:
- CMEGroup.com
- MDP (Market Data Platform)
- Futures through channel 326
- Options through 327
- Pricing data through 214
- DataMine (historical data)
15. What licensing is required to use these Cryptocurrency Benchmarks?
All customers are required to sign a Market Data License Agreement (MDLA). The creation and distribution of derived works require a separate Derived Data License Agreement. Data can be received directly from CME Group or through a licensed third-party data provider.
For more information, see our Derived Data Services.
ADDITIONAL INFORMATION
16. What kind of oversight is there for the CME CF Cryptocurrency Benchmarks?
An Oversight Committee, consisting of CME Group, CF Benchmarks and leading industry experts, regularly reviews the methodology and practices standards to protect the integrity of the rates.
Cryptocurrency products
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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.
