CF Benchmarks
CF benchmarks logo

Jan 15, 2021

CF Benchmarks Recap - Issue 15

  • How low did Bitcoin go this week?

  • Gary Gensler is set to regulate crypto

  • A breakthrough for CME CF Bitcoin Reference Rate

True North or due south?

How low did it go?
'Never predict’ is a solid dictum for Bitcoin. A week ago, the CME CF Bitcoin Real Time Index (BRTI) arced to its latest all-time high of $41,971.68. By Monday, BRTI, Bitcoin’s only EU BMR-authorised real-time benchmark, had plummeted to a low of $30,316.78, (timestamp: 16:47:07) a collapse of $11,654.90, or 27.77%. The approximate one-day move between the early hours of the 10th January and 16.47 UTC on 11th Jan. was around 26.9%, almost certainly one of the biggest bouts of volatility Bitcoin has ever exhibited. With traditional markets also retracing, it probably suffices to say that the preeminent digital asset’s reversal was its own flavour of a natural and predictable pull-back. Though don’t quote us. Still, with a CFTC regulated futures market operated by the CME Group now accounting for the highest BTC-USD open interest, among other elements of a more mature crypto market place than existed in 2017, brave forecasts of what might happen next based on BTC’s trajectory then, are void. At last check the current downturn had been trimmed further. CME CF Bitcoin Reference Rate closed at $36,299.57 on Friday, down 8.48% on the day.

Brace for Gensler at the SEC
A long memory might help in assessing implications of Gary Gensler emerging as a top candidate for SEC chair, replacing Jay Clayton, who stepped down in December. Gensler, best known as Obama-era CFTC chair, stirred strong emotions amongst bankers during his tenure, though informed opinion varies. ‘Rules-based’ is the thumbnail that’s stuck, whilst ‘knowledgeable about crypto’ also applies, given Professor Gensler’s Bitcoin classes at MIT and an opinion piece on blockchain in Coindesk

Toronto may pace Wall Street to a Bitcoin ETF
Bitcoin ETPs and closed-ended vehicles of varying kinds are proliferating, challenging Grayscale’s GBTC, though none are likely to galvanise adoption more than a mainstream Bitcoin ETF. Hence the buzz on news of the prospectus for ‘Arxnovum Bitcoin ETF’, filed with Ontario’s Securities Commission. The document is light on plans for benchmarking, redemptions and other key details, though refers to CF Benchmarks’ CME CF Bitcoin Real Time Index throughout. CME BTC-USD futures are among its options for “indirectly” investing in Bitcoin, alongside “direct long-term holdings”.

Bakkt goes public at $2.1bn
Bakkt, the Bitcoin options and ‘physically settled’ Bitcoin futures exchange backed by NYSE operator ICE, will go public through a merger with NYSE-listed VPC Impact Acquisition Holdings, implying an enterprise value of around $2.1bn.

Crypto bank eyes set-up, perhaps down in Anchorage
A custodian firm called Anchorage has secured the first Federal banking charter to be granted by the U.S. Office of the Comptroller of the Currency to a crypto-focused institution. This follows state charters from Wyoming for Kraken and Avanti which provide the same license, with a few limitations.

The Returns: XRP ticks up from multi-month lows
Amid a lull in news of the SEC’s Ripple prosecution, CF XRP-Bitcoin Settlement Price closed down 71% vs. 12 months ago, having been 75% lower earlier this week.

Featured benchmark: CME CF Bitcoin Reference Rate

A Quiet Breakthrough for the Bitcoin Reference Rate

Four years since the inception of CF Benchmarks’ Bitcoin Reference Rate (BRR) and Bitcoin Real Time Index (BRTI), the only fully regulated Bitcoin benchmarks, evidence of their validity has accumulated. This passing of time affords the opportunity for in-depth research into the BRR, the index used as the settlement value for CME Group’s Bitcoin futures contracts. We decided to take that opportunity by producing a comprehensive examination of the qualities and capabilities of the BRR in a formal research paper. The specific focus was on key use cases for institutional clients, like those looking for a regulated price of Bitcoin on which to base financial consumer products, chiefly a Bitcoin ETF.

What’s the paper about and why did we publish it?

  • The paper describes how Bitcoin purchases at an institutional scale can be transacted at the CME CF Bitcoin Reference Rate price. The BRR is published and administered by CF Benchmarks, the only cryptocurrency Benchmark Administrator authorised under the EU’s Benchmark Regulation regime (EU BMR) and regulated by the UK Financial Conduct Authority. The Benchmark Regulation regime subjects CF Benchmarks to the same scrutiny and controls as providers of traditional financial market benchmarks like ICE LIBOR, SONIA and ICESWAP. Likewise, CF Benchmarks is subject to active oversight and supervision by the UK’s financial regulator the FCA
  • This official accreditation requires CF Benchmarks to satisfy rigorous standards and be subject to ongoing scrutiny. The ultimate aim of this scrutiny is to ensure the market and price integrity of the CF Benchmarks instruments that regulators have ascribed benchmark status to. To corroborate the BRR’s market and price integrity even further, the paper also details an audit of CF Benchmarks’ Control Procedures with respect to EU BMR
  • The CME CF Bitcoin Reference Rate price is the only Bitcoin price provided by an authorised Benchmark Administrator. Hence, due to its transparent and regulated status, it follows that users of the BRR can have full confidence that it is a Bitcoin price with the highest possible standards of price and market integrity
  • Consequently, given that institutional market participants and financial product providers are obligated by regulation to participate in or offer products based only on regulated markets with price and market integrity, the process by which Bitcoin can be bought at the BRR price at institutional scale, as described in the paper, is something of a quiet breakthrough
  • Why? Because, by following the methodology described in the paper for purchasing Bitcoins at a large scale, financial product providers now have a Bitcoin price that has market and price integrity whilst also being replicable (i.e., achievable)

What we did in a nutshell

  • Conducted an exhaustive analysis of Constituent Exchange volumes
  • Measured cross-exchange price deviation
  • Modelled massive daily purchases of Bitcoin for 686 days in a row


The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.

Note: Some of the underlying instruments cited within this material may be restricted to certain customer categories in certain jurisdictions.