CME Bitcoin Reference Rate Review

The CME CF Bitcoin Reference Rate (BRR) and CME CF Bitcoin Real Time Index (BRTI) are standardized reference rates and spot price indexes with independent oversight managed by CME Group that were launched on November 14, 2016. Several bitcoin exchanges and trading platforms will provide the pricing data that compose the indexes, including Bitfinex, Bitstamp, GDAX, itBit, Kraken and OKCoin.com.

The BRR aggregates the trade flow of major bitcoin spot exchanges during a specific calculation window into a once-a-day reference rate of the U.S. dollar price of bitcoin. The BRTI aggregates global demand to buy and sell bitcoin into a consolidated order book and reflects the fair, instantaneous U.S. dollar price of bitcoin. The BRTI will be published once every second. Calculation rules are geared toward a maximum of transparency and real-time replicability in underlying spot markets. CME Group and Crypto Facilities designed the BRR & BRTI around the IOSCO Principles for Financial Benchmarks.

Of particular interest to me is the BRR, as it provides a daily reference rate that can be used to settle some derivatives I have designed. The BRR is a price of US dollars over 1 bitcoin, and the min tick size is 0.01. The BRR represents a trade volume weighted price as it is built from trades on the referenced exchanges. The BRR dissemination time is daily between 4pm and 4:30pm GMT which is between 11am and 11:30am EST.

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