Bitcoin / USD Index and Sanity ChecksDue a price flash crash, and the halting of fiat deposits and withdrawals at a number of exchanges recently, we have made numerous changes to our Bitcoin / USD (.BXBT) Index. Below is a list of the current constituent exchanges in the index. They are equally weighted.
Bitcoin / USD Swap Funding Rate Calculation ChangesDue to the ongoing issues at various Bitcoin exchanges with regards to depositing and withdrawing fiat currencies, there has become no credible source for overnight USD and Bitcoin lending rates.
The BitMEX Bitcoin / USD Swap, XBTUSD, currently uses the Bitfinex overnight USD and Bitcoin lending rate in the funding rate calculation. The interest rate component of the funding rate calculation will be fixed at a positive 0.03% per day.
To arrive at this number, we calculated the average difference between the Bitfinex daily USD and Bitcoin lending rates for a 12 month period ending 31 March 2017 to arrive at the positive 0.03% rate.
If the swap price does not trade at a premium or discount during a funding calculation period, in this case 8 hours, longs will pay shorts 0.01%. This equates to a daily rate of positive 0.03%.
When the deposits and withdrawals of fiat and Bitcoin are operating normally, we will select an appropriate exchange from which to source overnight USD and Bitcoin rates.