CME CF Cryptocurrency benchmarks: frequently asked questions

CME CF Internet Computer-Dollar (ICP) and XRP-Dollar Reference Rates and Real-Time indices have joined our expanding suite of benchmarks. The prices for each are calculated by aggregating trade flow of major cryptocurrency spot exchanges using U.S. dollar prices for ICP and XRP. See below for more details on how the reference rates and real-time indices are calculated. These are non-tradable benchmarks.

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*Used to settle CME Cryptocurrency futures

**These are non-tradable reference rates and indices.

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

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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.

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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 assess their cryptocurrency price risk more accurately and precisely with timing aligned to their portfolio and region. For exmple, the BRR and ETHUSD_RR calculate between 3:00 p.m. and 4:00 p.m. London time and publish at 4:00 p.m. London time. BRRNY and ETHUSD_NY calculate between 3:00 p.m. and 4:00 p.m. New York time and publish at 4:00 p.m. New York time. BRRAP and ETHUSD_AP calculate between 3:00 p.m. and 4:00 p.m. Hong Kong/Singapore time and publish at 4:00 p.m. Hong Kong/Singapore time.   

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CME CF ETHBTC_USD Reference Rate and Real-Time Index represent the number of bitcoins required to purchase one ether. The prices for bitcoin and ether  are calculated by aggregating trade flow of major cryptocurrency spot exchanges using U.S. dollar prices for bitcoin and ether. See below for more details on how the reference rates and real-time indices are calculated. These are non-tradable benchmarks.

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CME CF ETHBTC_USD Reference Rate and Real-Time Index represent the number of bitcoins required to purchase one ether. The prices for bitcoin and ether  are calculated by aggregating trade flow of major cryptocurrency spot exchanges using U.S. dollar prices for bitcoin and ether. See below for more details on how the reference rates and real-time indices are calculated. These are non-tradable benchmarks.

For some cryptocurrencies, CME Group offers Reference Rates that are calculated at different times throughout the day. Reference rates are calculated from 3:00 p.m. to 4:00 p.m. London time, 3:00 p.m. to 4:00 p.m. New York time and 3:00 p.m. to 4:00 p.m. Hong Kong/Singapore time. For example, the following are offered for Bitcoin:

The CME CF Bitcoin Reference Rate (BRR) and the CME CF Ether-Dollar Reference Rate (ETHUSD_RR) are calculated from 3:00 p.m. to 4:00 p.m. London time and are used to settle Bitcoin, Micro Bitcoin, Ether and Micro Ether futures contracts at CME Group.

The CME CF Bitcoin Reference Rate (BRRNY) and the CME CF Ether-Dollar (ETHUSD_NY) are calculated from 3:00 p.m. to 4:00 p.m. New York time and are not used to settle futures contracts. Both rates utilize the same exact methodology with data from the same Constituent Exchanges.

The CME CF Bitcoin Reference Rate (BRRAP) and the CME CF Ether-Dollar (ETHUSD_AP) are calculated from 3:00 p.m. to 4:00 p.m. Hong Kong/Singapore time and are 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 Euro Reference Rates and Real Time indices are not converted from USD rates. Euro-denominated rates follow the same methodology as the existing rates. See Question 10 below for more on the methodology.

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*Used to settle CME Cryptocurrency futures.

**These are non-tradable reference rates and indices.

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CME CF Reference Rates are a daily reference rate of the U.S. dollar or Euro price of the associated cryptocurrency. The rates represent the aggregated, executed trade flow of the particular cryptocurrency pair on major spot exchanges. All relevant transactions during a specific one-hour calculation window 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.

These reference rates are utilized for the creation of the Ether/Bitcoin Ratio.

Details of the methodology can be found in the CME CF Cryptocurrency Reference Rates Methodology Guide. 

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CME Group Cryptocurrency futures settle to the CME CF Reference Rates that are published at 4:00 p.m. London time – specifically:

Bitcoin futures and Micro Bitcoin futures settle to CME CF Bitcoin Reference Rate (BRR).

Bitcoin Euro futures and Micro Bitcoin Euro futures settle to CME CF Bitcoin-Euro Reference Rate (BTCEUR_RR). 

Bitcoin Friday futures settle to CME CF Bitcoin Reference Rate New York Variant (BRRNY). 

Ether futures and Micro Ether futures settle to CME CF Ether-dollar Reference Rate (ETHUSD_RR).

Ether Euro futures and Micro Ether Euro futures settle to CME CF Ether-Euro Reference Rate (ETHEUR_RR).

SOL futures and Micro SOL futures settle to CME CF Solana-Dollar Reference Rate (SOLUSD_RR).

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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.

Note, the publication via MDP may be interrupted during weekend maintenance. Real-time and historical data can also be accessed through the CME Group website and Datamine.

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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. 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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*Used to settle CME Cryptocurrency futures.
**These are non-tradable reference rates and indices.

**These are non-tradable reference rates and indices.

**These are non-tradable reference rates and indices.

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)
  • Futures through channel 326
  • Options through 327
  • Pricing data through 213
• DataMine

Historical data goes back to the inception of the rates.

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All customers are required to sign a Market Data License Agreement (MDLA) to license 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, 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.

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