Kaiko Reference Rates Rulebook.

reference rates rulebook 

Kaiko’s rulebook governs its Digital Asset Rates, including Reference Rates (broad coverage) and Benchmark Reference Rates (high liquidity). Rates are derived solely from executed trades on centralized spot exchanges to ensure genuine market activity.

A quarterly rebalancing process applies strict vetting: exchanges must have 5+ years of operation, regulation, KYC/AML controls, and cold storage. Benchmark Rates require a minimum of 3 exchanges per asset pair, each contributing at least 1% of global volume.

Calculations use real-time (e.g., every 5 seconds) and daily fixing publications (London, New York, Singapore). A Volume-Weighted Median per partition and time-weighted average price (TWAP) determine final rates. A dual buffering system manages exchange turnover and window size changes based on zero-volume bucket thresholds.

An Index Oversight Committee handles extraordinary events like fraud or volume loss. The methodology prioritizes transparency, liquidity, and market representativeness for institutional users.

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