Due 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. Effective 21 April 2017 12:00 UTC, 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 (currently 8 hours in length), 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.
During the past weeks, many major exchanges have experienced issues with their banking relationships, and one sent incorrect prices. These prices caused liquidations on multiple platforms, including BitMEX. Affected traders were reimbursed from BitMEX funds.
We intend for the BitMEX index to accurately represent asset prices on functioning, liquid exchanges. Unfortunately, the landscape is shifting quickly. We expect more index changes to come as exchanges lose and regain their banking relationships.
In preparation for this, we have made changes to how BitMEX indices are calculated.
Please read the BitMEX blog post New Protections for BitMEX Indices for more details.
Due to a quicker than expected price divergence on OKCoin International, we are moving the timetable forward for the removal of OKCoin International and the incorporation of GDAX into the index.
The new timetable is:
For more information, please see our previous post on the removal of OKCoin International.
Yesterday, OkCoin International announced USD deposits have been blocked:
Starting from today (April 18th, 2017), OKCoin would temporarily suspend USD deposit because of the issues with intermediary banks. Please do not make further deposit as your wires may be rejected by intermediary banks. We are now actively looking for alternatives to resume deposit as soon as possible. Your current account balance remains unaffected. We are sorry for any inconvenience caused.
For this reason, we are weighting OKCoin Intl to 0 in the .BXBT Index, effective 20 April at 08:00 UTC (14 hours from the time of this post). To re-distribute the index, GDAX will be reinstated as an equal member.
The new distribution will be equally weighted between GDAX and Bitstamp. For reference, this change is live on Testnet and can be used for intermediate pricing data.
Additionally, we will be announcing new price protection mechanisms for BitMEX indices to prevent further bad pricing issues.
Just recently, Bitfinex announced that USD deposits will be rejected until further notice. In combination with their previous notice blocking USD withdrawals, this means that Bitfinex is no longer a viable USD/Bitcoin exchange, and we expect the pricing discrepancy between Bitfinex and other exchanges to increase as traders attempt to withdraw via cryptocurrencies.
For this reason, we are weighting Bitfinex to 0 in the .BXBT Index, effective at 16:00 UTC today (30 minutes from the time of this post). In combination with the prior temporary suspension of GDAX from the index due to pricing discrepancies, this means that for the time being, the old
.XBT index and the new
.BXBT index will print the same prices.