Bloomberg Bitcoin Index Methodology March 2024
Bloomberg Bitcoin Index
Methodology
March 2024
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Bloomberg Bitcoin Index Methodology March 2024
Table of Contents
Introduction ....................................................................................................................................................... 3
Section 1: Index Distribution .............................................................................................................................. 3
Section 2: Index Construction ........................................................................................................................... 3
Section 3: Index Construction ........................................................................................................................... 5
Section 4: Risk and Limitations........................................................................................................................... 7
Section 5: Benchmark Oversight and Governance ........................................................................................ 8
Methodology Book Changes ............................................................................................................................ 8
Glossary ............................................................................................................................................................... 9
Disclaimer ........................................................................................................................................................... 10
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Bloomberg Bitcoin Index Methodology March 2024
Introduction
The Bloomberg Bitcoin Index ("Index") is designed to measure the performance of a single bitcoin
traded in USD. The index is owned and administered by Bloomberg Index Services Limited ("BISL"
or "Administrator").
The Index can be accessed on the Bloomberg Terminal® via ticker BITCOIN Index <GO>.
BISL administers the Index according to three guiding principles:
1. Data Integrity Digital Asset Research (DAR) is the source of daily pricing, classification,
and market value of the underlying asset. DAR maintains high quality data
with processes in place to detect manipulation. Price sources are
subjected to a rigorous vetting process and multiple quality control tests
to avoid exchanges involved in market manipulation. (See DAR Vetting
and Pricing methodology)
2. Representative The Index seeks to provide a proxy for the bitcoin market.
3. Continuity The Index is intended to be responsive to the changing nature of the
market in a manner that does not completely reshape the character of the
Index from year to year.
Section 1: Index Distribution
The closing Index Level is calculated using DAR pricing and is published after review and quality
checks. Intraday Index levels will be calculated and published on the Bloomberg Terminal from
18:15:00 ET to 16:00:00 ET (22 hours).
Section 2: Index Construction
Input Data
Input data is for this index is sourced from Digital Asset Research, (DAR). BISL utilizes the DAR Close Price
as the input data used in the calculation.
DAR takes pricing from eligible exchanges based on the DAR exchange vetting Methodology.
This process aims to identify trustworthy exchange platforms and encourage best practices by gathering,
recording, and comparing a series of quantitative and qualitative data points. DAR’s team of researchers
and technical experts work closely with exchanges, regulators, and investors to collect public and non-
public data points that are used to reach a reasoned determination on each of the methodology’s
criterion. The Exchange Vetting Methodology is reviewed quarterly and updated as required to reflect
the maturing digital asset marketplace and the needs of its participants.
The DAR Close Price is a time-weighted average price (TWAP) derived from eligible, non-outlier trades
that occur within a 30-minute window prior to the specified close time. The specified close time is 4pm
and is calculated as per the DAR close price and Hourly Price Methodology:
Further details on the Input Data calculation and methodology surrounding the DAR closing price can
be found here.
Currency
Input data is priced and calculated in US Dollars (USD).
Index Calculation
The Index level is calculated using the following formula:
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Bloomberg Bitcoin Index Methodology March 2024
𝑃𝑡
𝐼𝑛𝑑𝑒𝑥𝑡 =
Dt
Where
Indext = Index level on day t
Pt = Intraday BGN price or end of the day DAR price for a bitcoin on day t, expressed in
USD
𝐷t = Index Divisor (starting value of 1, divisor adjustment are described in the following
section)
An indicative intraday level for the Index is published every 15 seconds. This level uses intraday BGN
pricing.
The base date for the index was set to Jul 19, 2010 at a base level of 0.1.
Divisor Adjustment
In a situation where there are changes to bitcoin protocol and/or network or the methodology of how
the BGN bitcoin prices used in the calculation of this Index are being determined, a Divisor adjustment
may be needed to maintain the continuity of the Index.
D_t=D_(t-1)* Adjustment Factor
The following scenarios may require a Divisor adjustment.
1. Hard Fork - Bitcoin forks are defined as changes in the protocol of the bitcoin network or as the
situations that occur "when two or more blocks have the same block height". A fork influences the
validity of the rules. Forks are typically conducted in order to add new features to a Blockchain, to
reverse the effects of hacking or catastrophic bugs.
The adjustment factor for a Hard Fork will be derived based on the analysis of the changes to the
Blockchain and the value of the original and post-fork cryptocurrencies.
2. Change in BGN Pricing calculation – In circumstances where is a change in the BGN pricing
methodology, the divisor adjustment will be used to maintain the continuity of the index levels.
Given that cryptocurrencies are still a young and fairly immature asset class, we anticipate
that other scenarios requiring a Divisor adjustment beyond the ones listed above may be
identified by BISL over time. BISL will exercise its discretion in determining whether a Divisor
adjustment is required. Any divisor adjustment will be made in line with the procedures
followed in the Discretion and Expert Judgement section below.
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Bloomberg Bitcoin Index Methodology March 2024
Section 3: Publication
End-of-Day Level
The official end-of-day Index level is calculated based on the time-weighted average pricing of the underlying
assets ending at 4pm and is disseminated promptly thereafter, using a two decimal place rounding.
Intraday Index Level
Intraday index levels are considered indicative only. BISL strives to provide accurate real-time calculation
of its indices, however the following circumstances may occur during real-time dissemination hours.
• Incorrect index levels can be disseminated.
• Indices may stop disseminating.
• Indices may disseminate stale prices.
The intraday Index Level is calculated using Bloomberg BGN bitcoin price. The BGN is a pricing
algorithm that produces accurate indications of bid and ask quotes that are derived from multiple
approved Cryptocurrency Pricing Sources.
BGN prices are designed to track executable bid and ask input rates from a select subset of
Bloomberg's bitcoin pricing sources, which have met selection criteria such as pricing consistency,
frequency, and quality. Pricing sources are anonymous to users and the sources themselves and the
pricing sources change from time-to-time depending on the quality of data they provide. Each source
is assigned a quality score based on numerous factors including update frequency and spike
frequency. Price inputs are not limited to quotes from market making firms; rather, price inputs include
quotes from any market participant whose quotes are executable on a pricing source’s market.
Bloomberg undertakes a periodic review of the appropriateness of specific data used in the
calculation and validation of the BGN rates.
This review is intended, among other things to assist in ensuring the BGN rates are based on reliable
and observable market data that reflect the economic reality of a given market.
The BGN construction is designed to consistently produce levels without interpolation or extrapolation
of input data. In addition, as noted above, sources are anonymous to users and the sources
themselves at each pricing point and the data received is ancillary to the source’s primary purpose of
soliciting bitcoin transactions from the market.
Approved bitcoin pricing sources have, at a minimum, represented to Bloomberg that they have
documented compliance programs that include, but are not limited to, Anti-Money Laundering (AML)
and Know Your Customer (KYC) policies, and have provided Bloomberg with an organizational and/or
ownership chart. Errors related to intraday levels will not be restated, as real time levels are considered
indicative only. Intraday index levels are calculated from 18:15:00 ET to 16:00:00 ET on every Index
Business Day.
Back-fill Pricing Methodology
Index Levels prior to January 1, 2017, have been calculacted using BGN Bitcoin prices.. When a
historical price was unavailable, the previous business day’s BGN price was used.
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Bloomberg Bitcoin Index Methodology March 2024
Index Publication Days
The Index is published on New York Stock Exchange trading days1, also referred to as Index Business
Days.
Stress Events
If a DAR price is unavailable due to unforeseen events, the Index will be calculated using the last
available DAR price. If a DAR price is unavailable for more than three consecutive Index Business
Days, escalation to the PROC will be made to determine the publication of index levels.
Section 4: Risks and limitations
Limitations of the index
Though the Indices areIndex is designed to be representative of the markets they it measures or
otherwise aligns with their its stated objective, they it may not be representative in every case or achieve
their its stated objective in all instances. The Index is y are designed and calculated strictly to follow the
rules of this Methodology, and any Index Level or other output is limited in its usefulness to such design
and calculation.
Markets can be volatile, including those market interests which the Indices intend to measure or upon
which the Indices are dependent in order to achieve their stated objective. For example, illiquidity can
have an impact on the quality or amount of data available to the Index Administrator for calculation and
may cause the Indices to produce unpredictable or unanticipated results.
In addition, market trends and changes to market structure may render the objective of the Index
unachievable or to become impractical to replicate by investors
Specifically, the Index measures the performance of the Solana token priced on the vetted exchanges.
The Index is therefore subject to the volatility and illiquidity of certain digital assets. The sector has
tended to be more volatile over both the long-term and the short-term compared to others with index
presence including, but not limited to, fixed income and equities. In addition, prices are gathered
through third-party sources for the purpose of establishing index Constituent valuations. This is an
additional operational risk as the quality of Constituent valuation is predicated upon receiving accurate
or timely pricing.
In addition, digital assets’ pricing sources face heightened risks relative to traditional stock and
commodity exchanges, including but not limited to, cyber-attacks, errors resulting from the lack of
standards and naming convention for symbols, and other risks stemming from a complex technological
and legal environments (causing changes in fee structure, blocking of funds withdrawal, etc.).
Suspension or disruption of market trading in digital assets may adversely affect the value of the Index.
1
https://www.nyse.com/markets/hours-calendars
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Bloomberg Bitcoin Index Methodology March 2024
Section 5: Benchmark Oversight and Governance
Benchmark governance, audit and review structure
Please refer to the “Governance Structure” section in BISL Benchmark Procedures Handbook
available here.
Index and data reviews
Please refer to the “Index and Data Reviews” section in BISL Benchmark Procedures
Handbook available here.
Cessation Policy
Please refer to the “Cessation Policy” section in BISL Benchmark Procedures Handbook available here
Expert judgement & Discretion
Please refer to the “Expert Judgemenet and Discretion” section in BISL Benchmark Procedures
Handbook available here
Conflicts of interest
Please refer to the “Conflicts of Interest” section in BISL Benchmark Procedures Handbook available
here.
Restatement policy
Please refer to the “Restatement Policy” section in BISL Benchmark Procedures Handbook available here
Historical Rate Fixing
The end-of-day pricing source for the Bloomberg Bitcoin Index changed from Bloomberg CFIX rate
fixings to Digital Asset Research (DAR) fixings November 20, 2023.
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Bloomberg Bitcoin Index Methodology March 2024
Glossary
Base Date: An Index’s Base Date is the day the Base Level is assigned.
Base Level: An Index’s Base Level is an arbitrary Index Level (typically 100 or 1,000) assigned to
the Base Date, from which Index Levels are calculated going forward and back filled.
BGN: BGN refers to Bloomberg Generic price. The BGN is a sophisticated pricing algorithm that
produces accurate indications of quotes that are derived from multiple quality sources.
• For a BGN to be computed for a Cryptocurrency, the Cryptocurrency must be priced
by at least two approved Pricing Sources
• The BGN algorithm calculates the BGN median bid and median ask prices for the
Cryptocurrency
• The BGN mid-price is the average of the BGN bid and BGN ask prices
• Data from Pricing Sources are the executable bid and ask prices - not executed trade
prices.
Blockchain: Blockchain is a digitized, decentralized, public ledger of all Cryptocurrency
transactions.
Bloomberg Index Services Limited or BISL: Index provider and administrator.
Bloomberg: Bloomberg L.P. and its affiliates, including BISL.
BOC: Benchmark Oversight Committee.
Cryptocurrency Pricing Sources: Pricing Sources are trading platforms that facilitate buying and
selling Cryptocurrencies online. Many Pricing Sources refer to themselves as "exchanges," which
can give the misimpression that they are regulated or meet regulatory standards of a national
securities exchange. Many of the U.S.-based digital Cryptocurrency trading platforms have elected
to be state-regulated "money-transmission services". Traditionally, from an oversight perspective,
these predominantly state-regulated payment services have not been subject to direct oversight by
the SEC or the CFTC.
Hard Fork: A hard fork occurs when a Blockchain protocol is radically changed, such that it becomes
incompatible with older versions. In effect, participants taking part in transactions on the old
Blockchain must upgrade to the new one in order to continue validating transactions in the new
Blockchain. However, participants that do not upgrade may continue to support and validate
transactions on the old Blockchain protocol separately. The result: a Blockchain splits into two -
hence the name "hard fork". If there are nodes permanently supporting the new chain, then the two
chains will co-exist. Users that once held digital assets on an older Blockchain before the protocol
change at a pre-specified Blockchain length will now also hold an amount of new coins on the
altered Blockchain. This new Cryptocurrency has essentially been derived from an older
Cryptocurrency as well as its associated Blockchain’s transaction history. As per the Index
methodology, hard forks are considered to be new Constituents.
Index Business Day: Days on which the Index is published (New York Stock Exchange trading days).
Index Level: The level of the Index determined in accordance with the methodology set forth under
“INDEX CALCULATION”.
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Bloomberg Bitcoin Index Methodology March 2024
Disclaimer
BLOOMBERG and the BLOOMBERG BITCOIN INDEX (the “Index”) are trademarks or service marks of Bloomberg.
Bloomberg and/or Bloomberg's licensors own all proprietary right in the BLOOMBERG BITCOIN INDEX.
It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance
is not an indication of future results. This document constitutes the provision of factual information, rather than
financial product advice. Nothing in the Index or related data shall constitute or be construed as an offering of
financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether
or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or
interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or
its affiliates. Data and other information available via the Index should not be considered as information sufficient
upon which to base an investment decision. All information provided by or in connection with the Index is
impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do
not express an opinion on the future or expected value of any security or other interest and do not explicitly or
implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining
independent advice before making any financial decisions.
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AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, DELAYS OR INTERRUPTIONS IN THE
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