Total Return Index futures track the SPTR Index and seek to replicate the price return performance of the S&P 500 plus associated dividend reinvestment, while Carry Adjusted Total Return Index futures, which track the underlying SPCATR Index, also account for financing. Both contracts trade as Basis Trade at Index Close (or BTIC) products. Total Return Index futures will be available for trading beginning 29 August, pending regulatory review.
|Contract Description||CME Symbol||Bloomberg||TR -RIC Root|
|BTIC on S&P 500 Total Return Index Futures||TRB||TVBA||0#TBR:|
|BTIC on S&P 500 Carry-Adjusted Total Return Futures||CTB||CVBA||0#TBC:|
Suppose that two market participants want to transact a BTIC block trade for S&P 500 Carry Adjusted Total Return Index futures based on the closing index value of the S&P 500 Carry-Adjusted Total Return (SPCATR) Index. The market participants agree to the following terms:
Within five (5) minutes of the two counterparties agreeing to the trade, both sides of the trade must be price reported to CME ClearPort, or alternatively to the GCC and directly entered into Front-End Clearing (FEC).
Vanilla S&P 500 Total Return Index futures are also BTIC-eligible and follow these same general steps.