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

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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.

* used to settle CME Cryptocurrency futures

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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.

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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.   

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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.

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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.

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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. 

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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. 

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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).

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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.

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

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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.

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*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

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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.  

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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.

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

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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.

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