The note assesses the CME CF Bitcoin Reference Rate – New York Variant (BRRNY), the U.S. market-close variant of the widely used CME CF Bitcoin benchmark that now underpins six U.S. spot BTC ETFs (roughly $55.5bn AUM as of March 11, 2025) and settlement for CME Bitcoin derivatives. BRRNY is calculated from transactions on vetted ‘Constituent Exchanges’ during a one-hour window (15:00–16:00 NY), split into 12 five‑minute partitions with volume‑weighted medians averaged to produce the rate; average daily volume in the window over Feb 28, 2022–Feb 28, 2025 was ~2,259.5 BTC (~$104m), which the paper says is sufficient for representativeness and replication. The methodology and governance are designed to resist manipulation (partitioning, VW medians, equal weighting, a 10% exclusion threshold that was never triggered; max per‑exchange deviation <2.41%), and BRRNY is overseen under UK BMR with FCA supervision and a KPMG assurance review. Replication analysis (simulating a 54 BTC trade) shows typical slippage of ≤1bp, >5bps on only ~6.97% of days and rare larger moves, supporting the paper’s conclusion that BRRNY meets the three Rs—representative, resistant to manipulation and replicable—making it suitable for institutional NAV strikes and liquidity provisioning.
The note evaluates the CME CF Bitcoin Reference Rate – New York Variant (BRRNY), the U.S. market-close variant used as the NAV strike for six U.S. spot Bitcoin ETFs (aggregate AUM ~ $55.5 billion as of March 11, 2025) and as a reference for CME-listed Bitcoin derivatives. BRRNY is calculated from trades on vetted Constituent Exchanges during a one-hour window (15:00–16:00 NY), split into 12 five-minute partitions with a volume-weighted median per partition averaged to produce the rate. CF Benchmarks sources input only from exchanges meeting published criteria, the 10% potentially erroneous-data exclusion parameter was never triggered between Feb 28, 2022 and Feb 28, 2025, and maximum per-exchange deviation observed was below 2.41%. Average observed volume in the window was ~2,259.46 BTC (~$104m) per day, and the administrator operates under UK BMR oversight with a KPMG assurance report, supporting representativeness and governance standards. A 54.02 BTC (~$4.2m) replication simulation shows typical slippage <=1bp, >5bps on 6.97% of days and a worst-case observed slippage of 51.6bps (only 14 double-digit-bps days in 37 months), supporting practical replicability for APs. Investors should note that extreme market events (e.g., FTX period) disrupt correlation patterns and that future changes to Constituent Exchanges or surveillance outcomes could materially affect benchmark inputs.
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