The first in the world to track multiple crypto assets across multiple pricing sources at sub second frequency.
BNC-BTSE Composite Index (BBCX)
The BNC-BTSE Composite Index (BBCX) tracks the real-time market performance of a basket of large cap cryptocurrencies by free float market capitalization. This institutional-grade index product is amongst the first in the world to track multiple crypto assets across multiple pricing sources at sub second frequency. The BBCX was launched in October 2019, the BNC-BTSE Alt Coin Index (BBAX) was subsequently launched in February 2020.
The index is created and administered by Brave New Coin and co-branded with BTSE.
Factsheet – BBCX
| Full Name | BNC-BTSE Composite Index |
|---|---|
| Symbol | BBCX |
| Description | BNC-BTSE Composite Index (BBCX) tracks the real-time market performance of Bitcoin, Ethereum and Litecoin based on order book data sourced from seven constituent exchanges |
| Calculation Frequency | Sub-second |
| Base Date | October 21st 2019 |
| Base Value | 100 |
| Precision Level | Published with 3 Decimals |
| Re-balancing period | Quarterly |
| Index review | Quarterly |
Asset Pricing
After order books are collected from all constituent exchanges, a volume weighted average price (V-WAP) is calculated for both the bid and ask sides of the order books per market per exchange.
Following that, a midpoint price is calculated from the bid and ask V-WAP values for every market. The median is identified from on all midpoint prices. We then calculate the absolute deviation for each midpoint price from the median (as a % of median). The absolute deviation is converted to a Price Anomaly Factor (PAF) which is used as a weighting factor in calculating the average market price for the underlying assets.
Additionally a de-weighting threshold will be introduced to ensure outliers are disqualified in the market price calculation. Lastly the composite index is calculated using the weighted average of the market prices across all underlying assets.
Relevant links for this index:
Asset Weighting
Free float market capitalization (expressed in USD) is used to determine the weights of each underlying asset. Asset weighting is set at the beginning of each quarter and will remain constant throughout the quarter.
Capping
Weighting cap is applied to prevent any one asset from dominating the index. The cap for each asset is set at 25% for the current quarter. If an underlying asset’s free float market capitalization weighting exceeds this number, the excess weights will be distributed proportionally to the other assets until none of the assets’ weights exceeds 25%.
Index Review
Every quarter the Index Steering Committee will meet and review the following to ensure the quality and robustness of the index:
- Asset weighting for the upcoming quarter
- Performance and quality of constituent exchanges
- Index design parameters
- Key decisions from the index review will be made public on Brave New Coin’s website.
Index Rebalancing
The index is rebalanced on a quarterly basis so that it reflects the underlying assets’ market performance. Rebalancing involves the update of asset weights based on their free float market capitalization (expressed in USD) at the time of rebalancing.
Weight at Last Rebalance (2022-08-03)
| Bitcoin (BTC) | 35.00% |
|---|---|
| Ethereum (ETH) | 35.00% |
| BNB Chain (BNB) | 16.64% |
| XRP (XRP) | 6.76% |
| Cardano (ADA) | 6.60% |
