BRR – CME Bitcoin Reference Rate Methodology

Summary Description

 The CME CF Bitcoin Reference Rate (“BRR”) is a daily reference rate of the U.S. Dollar price of one bitcoin as of 4:00 p.m. London time. It is representative of the bitcoin trading activity on Constituent Exchanges and is geared towards resilience and replicability.

Name: CME CF Bitcoin Reference Rate

CME Ticker Symbol BRR

Administrator: Crypto Facilities Ltd

Calculation Agent: Crypto Facilities Ltd

Description: U.S. Dollar price of one bitcoin as of 4:00 p.m. London time

Calculation Methodology: Aggregation of trade executions occurring on Constituent Exchanges between 3:00 p.m. and 4:00 p.m. London time

Dissemination Time: Once per day, every day of the year including weekends and holidays, between 4:00 p.m. and 4:30 p.m. London time

Dissemination Precision: 0.01 U.S. Dollars

Constituent Exchanges: Bitstamp, GDAX, itBit, and Kraken

Methodology

 4.1.1 Qualitative Description

The BRR is calculated based on the Relevant Transactions of all Constituent Exchanges. Calculation steps for the BRR on any given Calculation Day are as follows:

  1. All Relevant Transactions are added to a joint list, recording the trade price and size for each transaction.
  2. The list is partitioned into 12 equally-sized time intervals of 5 minutes each.
  3. For each partition separately, the volume-weighted median trade price is calculated from the trade prices and sizes of all Relevant Transactions, i.e. across all Constituent Exchanges. A volume-weighted median differs from a standard median in that a weighting factor, in this case trade size, is factored into the calculation.
  4. The BRR is then given by the equally-weighted average of the volume-weighted medians of all partitions….

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