Bitcoin-Secured Borrow Spread

bsbs

What borrowing against bitcoin costs over Treasury bills, across venues. The dollar-debt-weighted borrow rate over the venues with a rate on both dates, minus the 3-month bill (H.15), continuously compounded; anchored to the plain spread on 2022-09-19. Not a reference rate any contract uses, and not a forecast; desk rates in it are posted, not cleared.

Methodology bsbs_v1

What it measures. The rate borrowers pay against bitcoin collateral across venues, over the 3-month US Treasury bill, in points, continuously compounded, with venues entering the data kept from moving it.

Why chain-linked. The debt-weighted rate grew from 5 venues to more than 80. A venue entering at a higher or lower rate would move a plain spread without any borrower paying more. Each step uses only the venues with a rate and dollar debt on both dates; the plain spread is served beside the index.

Calculation. On 2022-09-19 the index is the plain spread that day. Each later step adds the change in the dollar-debt-weighted borrow rate over the matched venues and subtracts the change in the bill: I(t) = I(t−1) + [r(t) − r(t−1)] − [b(t) − b(t−1)]. The bill is the 3-month constant-maturity yield, converted to continuous compounding as 2·ln(1 + y/2).

Inputs. Rates and debt per venue from the credit tree: venue APIs, contract reads, and DefiLlama yields used to derive the index and never re-served. The bill from the Federal Reserve Board's H.15 release. Desk rates are posted, not cleared. Variable rates are set against a three-month bill: the terms differ, and the spread does not match them.

What it is not. Not a reference rate: no contract is known to reference it.

Absences. A step with no matched venue is absent and the index does not move through it. A date waits for its bill, so the latest value can trail by a day.

Changes. A change to the definition, inputs or coverage rule is published 30 days before it takes effect, as a new methodology version. An error is corrected at once, and the correction says so. Past values are never rewritten in place: every published version is kept and can be read as known on any date (as_known_on).

Sample. One credit cycle, from 2022-09-19, so every relation in it is observational. It describes the market as read; it is not a forecast or a signal.

History

Full payload

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[]

[
  {
    "share": 0.000002,
    "venue": "gavel_arbitrum"
  }
]

[
  {
    "provider": "Board of Governors of the Federal Reserve System",
    "text": "Source: Board of Governors of the Federal Reserve System (H.15, H.4.1, H.6).",
    "url": "https://www.federalreserve.gov/releases/h15/",
    "covers": "US Treasury yields, federal funds rate, prime rate, balance sheet, M2"
  }
]