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Generalised methodology to support multiple reference rates. Responding to the need for enhanced pricing information on the rapidly growing cryptocurrency asset class, CME Group and Crypto Facilities have developed standardized cryptocurrency reference rates and real time indices. Each reference rate and real time index represent transparent indicators with independent governance and oversight and build on our experience to accelerate the professionalization of cryptocurrency trading. This document covers the CME CF Cryptocurrency Reference Rates.
A summary of specifications is provided in Section 7. Calculation Day: Any day for which the BRR is published. Constituent Exchange: A cryptocurrency trading venue approved by the CME CF Cryptocurrency Indices Oversight Committee to serve as pricing source for the calculation of a CME CF Cryptocurrency Reference Rate. Relevant Pair: The cryptocurrency versus legal tender pair referenced by a CME CF Cryptocurrency Reference Rate, as defined in Section 6. Relevant Transaction: Any cryptocurrency versus legal tender spot trade that occurs during the TWAP Period on a Constituent Exchange in the Relevant Pair that is reported through its API to the Calculation Agent. TWAP Period: A period of time equal to the TWAP Period Length leading up to the Effective Time, as defined in Section 6.
CME CF Cryptocurrency Reference Rates are calculated based on the Relevant Transactions of all Constituent Exchanges. All Relevant Transactions are added to a joint list, recording the trade price and size for each transaction. The list is partitioned into a number of equally-sized time intervals, as specified in Section 6. For each partition separately, the volume-weighted median trade price is calculated from the trade prices and sizes of all Relevant Transactions, i. A volume-weighted median differs from a standard median in that a weighting factor, in this case trade size, is factored into the calculation.
The CME CF Cryptocurrency Reference Rate is then given by the equally-weighted average of the volume-weighted medians of all partitions. The following table shows the symbols used in the mathematical representation of CME CF Cryptocurrency Reference Rates. Relevant Pair on all Constituent Exchanges in the kth partition, i. The calculation methodology immunizes CME CF Cryptocurrency Reference Rates to a high degree against price anomalies, while being replicable though spot trading on Constituent Exchanges. Partitions CME CF Cryptocurrency Reference Rates are calculated as the equally-weighted average of the intermediate calculation steps for the K partitions. A single large trade or cluster of trades occurring in any one partition will therefore only have a limited effect on CME CF Cryptocurrency Reference Rates.
CME CF Cryptocurrency Reference Rates through trading on Constituent Exchanges. K units of the cryptocurrency during each partition. Medians Spot prices have historically varied considerably across trading venues, in particular during times of high volatility. CME CF Cryptocurrency Reference Rates’ susceptibility to price extremes on one or more Constituent Exchanges. Volume-Weighting of Medians Trading is driven to some extent by automated algorithms that may execute a high number of small trades.
CME CF Cryptocurrency Reference Rates appropriately reflect large trades and that whether an order is executed in parts or in full has no effect on calculation results. Any Relevant Transaction for a given Calculation Day that for any reason cannot be retrieved by the Calculation Agent from a Constituent Exchange’s API by the Retrieval Time is disregarded in the calculation of the CME CF Cryptocurrency Reference Rate for that Calculation Day. If no Relevant Transaction occurs on a Constituent Exchange on a given Calculation Day or one or more Relevant Transactions occur but for any reason cannot be retrieved by the Calculation Agent, the Constituent Exchange is disregarded in the calculation of the CME CF Cryptocurrency Reference Rate for that Calculation Day. If, for any of the K partitions of the TWAP Period, no Relevant Transaction occurs on any Constituent Exchange or one or more Relevant Transactions occur but for any reason cannot be retrieved by the Calculation Agent, the partition remains empty and will be disregarded in the calculation of the CME CF Cryptocurrency Reference Rate for that Calculation Day. 2 will then be decremented by the number of empty partitions. If a Relevant Transaction shows a non-numeric or non-positive trade price or trade size, it is flagged as erroneous.