Bletchley Indexes Pricing Source Transition – August 26, 2020
Coin Metrics is excited to announce that from the 1st of September, the Bletchley Indexes pricing sources will be updated to the Coin Metrics Reference Rates. The update will incorporate three major changes:
- The Bletchley Universe will be expanded to include coverage for many more assets
- All forward pricing will utilize the CM Real-Time Reference Rates
- Historical values will be recalculated to utilize CM Real-Time Reference Rates
With the recent CM Real-Time Reference Rates (v0.5) release, Coin Metrics has developed the capabilities to provide comprehensive coverage to the Bletchley Universe. The Bletchley Indexes are a community index that has always been focused on bringing transparent, independent and investable indexes to the market. With no asset management products licensed to utilize the Bletchley Indexes, the changes to the historical values should not impact anyone financially, but rather provide more transparent and accurate benchmarking data.
Expanding the Bletchley Universe
With the expansion of the CM Real-Time Reference Rate Coin Metrics is excited to expand the Bletchley Universe to include a whole host of new assets. This will result in a one time significant turnover in all indexes that will subsequently stabilize. Indicatively, if the rebalance were to occur at 4pm NY time yesterday (26-Aug-2020), the resulting changes to indexes would be as follows:
|Bletchley 20||Aave, Cardano, FTX Token, Hedera Hashgraph, Synthetix||0x, Basic Attention Token, Digibyte, Ravencoin, Zilliqa|
|Bletchley 40||0x, Aragon, Band Protocol, Basic Attention Token, Bittorrent, Digibyte, Nervos, Enjin Coin, Terra, Matic, Ravencoin, REN, Zilliqa||Aelf, Aeternity, Ardor, BitShares, DigixDAO, Gas, Golem, IOST, Nuls, PIVX, Steem, Verge, Wanchain|
Forward pricing will utilize the CM Real-Time Reference Rates
The addition of Coin Metrics Real-Time Reference Rates serves two primary functions; to provide a more robust pricing methodology to the Bletchley Indexes and to provide more transparent pricing from Coin Metrics whitelisted markets. CM rates are designed to serve as a transparent and independent pricing source that promotes the functioning of efficient markets, reduces information asymmetries among market participants, facilitates trading in standardized contracts, and accelerates the adoption of cryptocurrencies as an asset class with the highest standards.
Historical values will be recalculated to utilize CM Real-Time Reference Rates
Historical values within the Bletchley Indexes are determined with different pricing methodologies that Coin Metrics does not have transparency of and subsequently, Coin Metrics cannot provide transparency and complete precision into the historical values for Bletchley Indexes. No historical constituent data will be changed as part of this process.
The resulting changes to B10 and B20 indexes are minor, with the newly calculated levels resulting in changes of <0.1% over the recalculation period. The primary differences were notices during periods of high volatility, where global crypto market exchange pricing diverged. In these instances, we believe that Coin Metrics selection of whitelisted markets, and application of an inverse price variance, volume weighted median price best handle these periods and provides the most accurate and representative index pricing.
The Bletchley 40 has some significant pricing changes that recently eventuated from a ticker collision between HOT/HOLO across the different data aggregators. Changing the pricing to Coin Metrics Reference Rates will also overcome this issue and future ticker collisions.
This transition is an exciting step for Coin Metrics as we continue to develop and build out our index business as it allows the company to wholly own, manage and have transparency into the current and historical pricing data for the Bletchley Indexes. Further, it helps increase the accuracy of the data and overcome historical anomalies that have previously come from pricing sources not administered and calculated by Coin Metrics.
If you have any questions about CMBI, Bletchley Indexes or the transition please reach out to [email protected]
Coin Metrics launched CMBI to bring independent and transparent index solutions to the cryptoasset investment community. In the nascent and often complex cryptoasset market, CMBI Indexes strive to be dynamic and adjust to the rapidly changing market conditions to design and maintain investable products. CMBI Indexes provide markets and customers with industry-leading solutions that aid in performance benchmarking and asset allocation.