With the continued growth of the cryptocurrency market comes the need for standardized cryptocurrency pricing benchmarks. In partnership with CF Benchmarks, CME Group has expanded its suite of Cryptocurrency Reference Rates and Real-Time Indices. 

These non-tradeable products bring price discovery and transparency to the marketplace. The reference rates and real-time indices are registered benchmarks in compliance with UK Benchmarks Regulation and made available in the EU as a third country benchmark. They are administered and calculated by CF Benchmarks, a leading cryptocurrency index provider.

Each reference rate and real-time index is calculated with data from specific constituent exchanges. The exchanges must meet predefined, publicly available criteria.

Let’s discuss three parameters of the Reference Rates and Indices: the base currency, the fiat currency, and the calculation time and publication time.

Each reference rate aggregates the trade flow of major cryptocurrency spot exchanges during specific one-hour calculation windows and is published once per day, every day, which includes weekends and holidays.

This one-hour window is then partitioned into 12, five-minute intervals, where the reference rate is calculated as the equally-weighted average of the volume-weighted medians of all 12 partitions. The reference rates are calculated using the most liquid time window for the cryptocurrency pair. 

For example, the Bitcoin Reference Rate (BRR) is calculated between 3:00 p.m. and 4:00 p.m. London time. Some rates are also calculated during different hours, for example 3:00 p.m. to 4:00 p.m. New York time. 

This allows traders to assess their cryptocurrency price risk more accurately with timing aligned to their portfolio and region.

As cryptocurrencies may be priced in multiple fiat currencies, the base currency identifies the currency of the crypto asset. Let’s review Solana, which is one crypto asset, and how the naming convention can provide information on the three parameters.

Each crypto asset is represented by a corresponding symbol. This symbol is incorporated into the name of each corresponding reference rate and real-time index.

The reference rate is CME CF Solana-Dollar Reference Rate. 

CME, CF refers to the partnership. Next, the crypto asset is represented while the dollar denotes the currency. Finally, differentiating between the reference rate or real-time index.  The tickers are abbreviated as SOLUSD_ RR and SOLUSD_RTI.

It’s important to note that all CME Group Cryptocurrency futures contracts settle to the reference rate that is based on the London calculation window.

Each real-time index is published every second of every day (24/7) and represents the aggregate indications to buy and sell the specific cryptocurrency across major cryptocurrency spot exchanges at any point in time.

The real-time index is called the CME CF Solana Dollar Real-Time Index or SOLUSD_RTI. The real-time index ticker follows the same naming convention as the reference rate.

An Oversight Committee consisting of CME Group, CF Benchmarks, 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 CF Reference Rates and Real-Time Indices are designed to help accelerate the professionalization of cryptocurrency trading while providing transparency and credibility to the marketplace. 

For additional information, please visit cmegroup.com/cryptobenchmarks.