Sign in Subscribe
Featured

CF Rolling CME Futures Index Series expands, with launch of Bitcoin Ether Basket

The CF Rolling CME Bitcoin Ether Basket Futures Index enables institutional investors to access both bitcoin and ether exposure simultaneously, with an entirely hands-off strategy

Ken Odeluga

• 3 min read
CF Rolling CME Futures Index Series expands, with launch of Bitcoin Ether Basket

Our first rolling futures basket index provides hands-off, regulated exposure to crypto mega caps

CF Benchmarks is expanding its range of regulated indices that replicate serial investments in CME Group cryptocurrency futures, with the launch of the CF Rolling CME Bitcoin Ether Basket Futures Index (Excess Return).

Why CF Rolling CME Futures?

Institutional needs

Like existing benchmarks in our CF Rolling CME Futures Indices Series, the CF Rolling CME Bitcoin Ether Basket Futures Index was created in response to institutional investors’ increasing need for continual investment in CME Group cryptocurrency futures contracts.

These indices are ideal for institutions seeking exposure to digital assets, but who wish to avoid transacting on unregulated spot cryptocurrency markets.

Likewise, investors prohibited from handling crypto for regulatory reasons, such as banks, can use our rolling futures index series to participate in digital asset returns without needing to touch cryptocurrencies.

Now, the CF Rolling CME Bitcoin Ether Basket Futures Index enables institutional investors to access both bitcoin and ether exposure simultaneously, with an entirely hands-off strategy.

Regulated environment

Another reason why the CF Rolling CME Bitcoin Ether Basket Futures Index is ideally suited for institutions, is because it maintains the unique end-to-end regulated environment within which CME Group derivatives participants operate:

  • CME Group cryptocurrency futures contracts, for both bitcoin and ether, and the trading venue itself, are regulated by the CFTC
  • CME Bitcoin Futures and CME Ether Futures are cash-settled against the CME CF Bitcoin Reference Rate (BRR) and the CME CF Ether Reference Rate (ETHUSD_RR), respectively, both of which are registered, regulated benchmarks
  • These indices are calculated and published by CF Benchmarks, a Benchmark Administrator authorized under both EU and UK Benchmarks Regulation (BMR) frameworks, and regulated by the UK FCA

How it works: methodology

The Basics

Whilst the index’s constituent indices do not observe transactions of physical bitcoin for U.S. dollars (USD) and ether for USD as input data, they still represent the underlying economic reality of the exchange of bitcoin for USD and ether for USD, as outlined below.

The CF Rolling CME Bitcoin Ether Basket Futures Index tracks the performance of a basket consisting of two CF Rolling CME Futures Series indices:

  • CF Rolling CME Bitcoin Futures Index (Excess Return)
  • CF Rolling CME Ether Futures Index (Excess Return)

The index is calculated once a day and published at 15:20 U.S. Central Time.

The basket’s constituents are weighted by their respective free float market capitalizations, and rebalanced quarterly.

How we roll: optimized strategy

The CF Rolling CME Bitcoin Ether Basket Futures Index deploys an optimized roll strategy to accurately replicate returns of a simultaneous, continual holding of CME Bitcoin Futures and CME Ether Futures contracts.

Through an index construction that spreads allocation across both the front and second months of each contract, as well as rolling contracts during the most liquid days in the run up to expiry, the index negates the effects of roll yield significantly, providing strong replication of physical bitcoin and physical ether prices.

Meanwhile, the roll price mechanism is designed to prevent manipulation, particularly front-running.

Note that this roll strategy is ‘fully coded’, and just like the rest of the index’s methodology, transparent and publicly available.

Furthermore, the CF Rolling CME Bitcoin Ether Basket Futures Index utilizes a free float market cap rebalancing schedule that’s neatly tied to the roll schedule stipulated by its methodology, reducing operational load further.

Potential Uses

The index methodology is underpinned by the aim to provide a representative, replicable and efficient means of facilitating the creation of financial products, including but not limited to some of the specific potential use cases below:

  • Performance benchmarking of actively managed portfolios of digital assets and the determination of relative performance
  • Passive replication in investment funds, financial instruments and products
  • Settlement of financial instruments, including derivative contracts
  • Valuation or 'marking to market' portfolio holdings of digital assets

Find out more

Watch our new CF Rolling CME Futures Index Series video!

Understand the constituent indices

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.

CF Benchmarks Ltd (“CF Benchmarks”), a company registered in England and Wales with company number 11654816 and authorised and regulated by the Financial Conduct Authority. Information about us can be found on the Financial Services Register (register number 847100).

Registered Office: 6th Floor One London Wall, London, United Kingdom, EC2Y 5EB.

You agree not to, and have no rights to, use the CF Benchmarks Data to create, calculate, issue, settle, maintain, support or develop any financial instruments (including but, without limitation exchange traded products, certificates, warrants, contracts for difference, swaps, binary options, structured products), indices, products, services (including but without limitation, portfolio management services, pre- and post-trade risk management services, or valuation services) or any other derivative works without the express written consent of CF Benchmarrks.

You agree not to analyze, reverse-engineer or disassemble any CF Benchmarks data and not to insert any code or product to manipulate the Website content in any way that affects any user’s experience. Unless CF Benchmarks gives you prior written permission, use of any Web browsers (other than generally available third-party browsers), engines, scripts, software, spiders, robots, avatars, agents, tools or other devices or mechanisms (such as crawlers, browser plug-ins and add-ons, or other technology) to navigate, access, copy in bulk, retrieve, harvest, index, search or analyse any portion of the Website is strictly prohibited.

No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of CF Benchmarks Ltd. Use and distribution of the CF Benchmarks data requires a license from CF Benchmarks or its authorized licensing agents.

All information is provided for information purposes only. All information and data contained on this website is obtained by CF Benchmarks, from sources believed by it to be accurate and reliable. Such information and data is provided "as is" without warranty of any kind.

CF Benchmarks, nor its directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or implied, either as to the accuracy, timeliness, completeness or merchantability of any information or of results to be obtained from the use of the CF Benchmarks indices or the fitness or suitability of the same indices for any particular purpose to which they might be put. Any representation of historical data accessible through CF Benchmarks indices is provided for information purposes only and is not a reliable indicator of future performance.

No responsibility or liability can be accepted by CF Benchmarks nor their respective directors, officers, employees, partners or licensors for any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this website or links to this website.

CF Benchmarks and its respective directors, officers, employees, partners or licensors do not provide investment advice and nothing accessible through CF Benchmarks, should be taken as constituting financial or investment advice or a financial promotion. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of any assets.

CF Benchmarks is a member of the Crypto Facilities group of companies which is in turn a member of the Payward, Inc. group of companies. Payward, Inc. is the owner and operator of the Kraken Exchange, a venue that facilitates the trading of cryptocurrencies. The Kraken Exchange is a source of input data for certain CF Benchmarks indices. Payward, Inc. is the owner and operator of the Staked, a venue that operates the block production nodes for decentralized PoS protocols on behalf of institutional investors. Staked.us is a source of input data for certain CF Benchmarks indices.

Please refer to the individual product family documentation for more information about applicable input data sources.