1. What is BTIC?
  2. Why is CME Group launching additional BTICs on Cryptocurrency futures?
  3. Will there be more than 1 BTIC mechanism available for each Cryptocurrency futures?
  4. What is the naming convention for BTIC transactions on Cryptocurrency futures?
  5. What are the specifications for BTIC transactions on Cryptocurrency futures?
  6. What are the BTIC on Cryptocurrency futures trading hours?
  7. How are CME Globex BTIC transactions against the London close handled on U.S. holidays?
  8. How are Globex BTIC transactions against the New York close handled on U.S. holidays?
  9. How are Globex BTIC transactions against the APAC close handled on U.S. holidays?
  10. What are the vendor codes?
  11. Is BTIC on Cryptocurrency futures eligible for block trading?
  12. Will there be block liquidity providers for BTIC on Cryptocurrency futures?
  13. Are BTIC on Cryptocurrency futures available across all listed contracts?
Margin and fee details
  1. When will BTIC on Cryptocurrency futures trades be included in the margin calculation?
  2. What are the fees for BTIC on cryptocurrency futures?
Additional information
  1. How do you distinguish a BTIC execution from a futures outright execution?
  2. Is BTIC volume added to the corresponding outright futures market volume in a real-time basis?
  3. When is the final price of Cryptocurrency futures from BTIC transactions disseminated?
  4. How can I receive the resultant futures price from a BTIC on Cryptocurrency futures transaction?
  5. Where can I find more information on BTIC on Cryptocurrency futures at CME Group?

1. What is BTIC?

BTIC, or Basis Trade at Index Close, is a pricing mechanism with its own product specific ticker that provides market participants the ability to trade futures contracts at a fixed spread or basis to a reference price, such as the close, of a known benchmark index.

BTIC transactions are currently available on all Cryptocurrency futures against the respective CME CF Reference Rate published at 4:00 p.m. London time, 4:00 p.m. New York time and 4:00 p.m. Hong Kong/Singapore time. 


2. Why is CME Group launching additional BTICs on Cryptocurrency futures?

The introduction of futures and spot-based cryptocurrency ETFs globally presented the need for bitcoin and ether price discovery around the respective Net Asset Value (NAV) calculation of the underlying funds. In response, CME Group launched the following: 

  • CME CF Bitcoin Reference Rate New York (BRRNY)
  • CME CF Ether-Dollar Reference Rate New York (ETHUSD_NY)
  • CME CF Bitcoin Reference Rate APAC (BRRAP) 
  • CME CF Ether-Dollar Reference Rate APAC (ETHUSD_AP)

These new rates are calculated between 3:00-4:00 p.m. New York and Hong Kong/Singapore time and are published at 4:00 p.m. New York and Hong Kong/Singapore time, respectively. Adding BTIC functionality linked to these “APAC Close” rates, provides market participants greater flexibility in trading the underlying futures while also allowing them the ability to more precisely track their desired benchmark.


3. Will there be more than 1 BTIC mechanism available for each Cryptocurrency futures?

Yes, market participants will have the choice to transact Cryptocurrency futures relative to the underlying CME CF Reference Rate of their choice. For example, a North American bitcoin ETF provider looking to manage fund positions around NAV calculation (4:00 p.m. New York time) may choose to transact BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate New York (published at 4:00 p.m. New York time) rather than BTIC on Bitcoin Futures versus the CME CF Bitcoin Reference Rate (published at 4:00 p.m. London time). 

Similarly, a Hong Kong bitcoin ETF provider looking to manage fund positions around NAV calculation (4:00 p.m. Hong Kong/Singapore time) may choose to transact BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate APAC (published at 4:00 p.m. Hong Kong/Singapore time) rather than BTIC on Bitcoin Futures versus the CME CF Bitcoin Reference Rate (published at 4:00 p.m. London time).


4. What is the naming convention for BTIC transactions on Cryptocurrency futures?

The naming convention for BTIC transactions on Cryptocurrency futures is as follows:

BTIC on <Cryptocurrency futures name> against <city name/region> Close

To avoid confusion, the city/region name refers to the desired publication time (4:00 p.m. London, 4:00 p.m. New York, or 4:00 p.m. Hong Kong/Singapore) of the underlying CME CF Cryptocurrency Reference Rate.

TICKER: CLEARING / GLOBEX NEW PRODUCT TITLE REFERENCE RATE CLOSE TIME
BTB / BTB BTIC on Bitcoin futures against London Close CME CF Bitcoin Reference Rate (BRR) 4:00 p.m. London
MIB / MIB BTIC on Micro Bitcoin futures against London Close CME CF Bitcoin Reference Rate (BRR) 4:00 p.m. London
ETB / ETB BTIC on Ether futures against London Close CME CF Ether-Dollar Reference Rate (ETHUSD_RR) 4:00 p.m. London
EMB / EMB BTIC on Micro Ether futures against London Close CME CF Ether-Dollar Reference Rate (ETHUSD_RR) 4:00 p.m. London
BNB / BNB BTIC on Bitcoin futures against New York Close CME CF Bitcoin Reference Rate New York (BRRNY) 4:00 p.m. New York
MYB / MYB BTIC on Micro Bitcoin futures against New York Close CME CF Bitcoin Reference Rate New York (BRRNY) 4:00 p.m. New York
ENB / ENB BTIC on Ether futures against New York Close CME CF Ether-Dollar Reference Rate New York (ETHUSD_NY) 4:00 p.m. New York
EYB / EYB BTIC on Micro Ether futures against New York Close CME CF Ether-Dollar Reference Rate New York (ETHUSD_NY) 4:00 p.m. New York
ABB / ABB BTIC on Bitcoin futures against APAC Close CME CF Bitcoin Reference Rate New York (BRRAP) 4:00 p.m. Hong Kong/Singapore
AMB / AMB BTIC on Micro Bitcoin futures against APAC Close CME CF Bitcoin Reference Rate New York (BRRAP) 4:00 p.m. Hong Kong/Singapore
ATB / ATB BTIC on Ether futures against APAC Close CME CF Ether-Dollar Reference Rate New York (ETHUSD_AP) 4:00 p.m. Hong Kong/Singapore
AHB / AHB BTIC on Micro Ether futures against APAC Close CME CF Ether-Dollar Reference Rate New York (ETHUSD_AP) 4:00 p.m. Hong Kong/Singapore

5. What are the specifications for BTIC transactions on Cryptocurrency futures?


6. What are the BTIC on Cryptocurrency futures trading hours?

BTIC on Cryptocurrency futures trading hours in Eastern Time (ET)

BTIC on Cryptocurrency futures against London Close

GLOBEX HOURS

Sunday - Friday 6:00 p.m. ET - 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET).

Monday - Thursday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. ET.

Friday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) – 5:00 p.m. ET for Monday’s Reference Rate

Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.

CLEARPORT HOURS

Sunday 6:00 p.m. ET – Monday 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET).

Monday – Thursday 1:00 p.m. ET – 6:45 p.m. ET and 7:00 p.m. ET to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET).

Monday – Friday 4:00 p.m. London time - 1:00 p.m. ET and 6:45 p.m. – 7:00 p.m. ET (daily maintenance period).

For a BTIC or BTIC block trade executed prior to the publication of the Index on a given Trading Day, the corresponding futures price shall be made by reference to the closing Index value for the current Trading Day.

For a BTIC or BTIC block trade executed on a given Trading Day after the publication of the Index, the corresponding futures price shall be made by reference to the closing Index value for the next Trading Day.

BTIC on Cryptocurrency futures against New York Close

GLOBEX HOURS Sunday - Friday 6:00 p.m. ET - 4:00 p.m. BTICs for following day's reference rate available from 6:00 p.m. ET
CLEARPORT HOURS Sunday 6:00 p.m. ET - Friday 4:00 p.m. with a daily restart for the following day's reference rate at 7:00 p.m. ET

BTIC on Cryptocurrency futures against New York close transactions completed on CME Globex by 4:00 p.m. New York time will use that trade date’s reference rate to calculate the corresponding futures price while those BTIC transactions consummated after 4:00 p.m. New York time will be against the next trade date’s reference rate.

BTIC on Cryptocurrency futures against APAC Close

GLOBEX HOURS

Sunday - Friday 6:00 p.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)

Monday - Thursday 4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET) - 5:00 p.m. ET for next day’s reference rate

Friday 4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET) – 5:00 p.m. ET for Monday’s reference rate

Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.

CLEARPORT HOURS

Sunday 6:00 p.m. ET – Monday 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)

Monday – Thursday - 11:00 a.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) for next day’s reference rate

Friday - 11:00 a.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) for Monday’s reference rate

Daily maintenance period 5:00 p.m. - 6:00 p.m. ET

BTIC on Cryptocurrency futures against APAC close transactions completed by 4:00 p.m. Hong Kong/Singapore time on CME Globex will use that trade date’s reference rate to calculate the corresponding futures price while those BTIC transactions consummated after 4:00 p.m. Hong Kong/Singapore time will be against the next trade date’s reference rate.


7. How are CME Globex BTIC transactions against the London close handled on U.S. holidays?

Please see table below and refer to the Globex holiday calendar for the official holiday treatment.

Treatment on US holidays where Globex is closed BTIC will be against….
Friday Trading with a Monday Holiday
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Friday Friday's Reference Rate
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on Friday to 5:00 p.m. ET on Friday Tuesday's Reference Rate
Friday to 5:00 p.m. ET on Friday to 5:00 p.m. ET on the Monday holiday - Globex closed for BTIC
6:00 p.m. ET on the Monday holiday to 4:00 p.m. (11:00 a.m./12:00 p.m. ET)* London time on Tuesday Tuesday's Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. London time on the business day before the MWH Reference Rate on business day before MWH
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH Reference Rate on business day after MWH
5:00 p.m. ET on business day before MWH to 5:00 p.m. ET on MWH - Globex closed for BTIC
6:00 p.m. ET on MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the business day after MWH** Reference Rate on business day after MWH
Treatment on U.S. holidays where Globex is open for part of the day  
Friday with a Monday Holiday
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Friday Friday's Reference Rate
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on Friday to 5:00 p.m. ET on Friday Monday's Reference Rate
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the Monday holiday Monday's Reference Rate
6:00 p.m. ET on the Monday holiday to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Tuesday Tuesday's Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on business day before MWH Reference Rate on business day before MWH
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH Reference Rate on  MWH
6:00 p.m. ET on business day before MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on MWH Reference Rate on  MWH
6:00 p.m. ET on MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the business day after MWH** Reference Rate on business day after MWH

* Dependent on Daylight Savings Time
** If holiday falls on a Friday, BTIC trading ends at 5:00 pm ET on Friday and resumes at 6:00 pm ET on Sunday


8. How are Globex BTIC transactions against the New York close handled on U.S. holidays?

Treatment on U.S. holidays where Globex is closed BTIC will be against….
Friday Trading with a Monday Holiday
Up to 4:00 p.m. New York time on Friday Friday's Reference Rate
6:00 p.m. ET on Friday to 4:00 p.m. ET on the Monday holiday - Globex closed for BTIC
6:00 p.m. ET on the Monday holiday to 4:00 p.m. New York time on Tuesday Tuesday’s Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. New York time on the business day before the MWH Reference Rate on business day before MWH
6:00 p.m. ET on business day before MWH to 4:00 p.m. ET on MWH - Globex closed for BTIC
6:00 p.m. ET on MWH to 4:00 p.m. New York time on the business day after MWH Reference Rate on business day after MWH
Treatment on U.S. holidays where Globex is open for part of the day  
Friday with a Monday Holiday
Up to 4:00 p.m. New York time on Friday Friday’s Reference Rate
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. New York time on the Monday holiday Monday's Reference Rate
6:00 p.m. ET on the Monday holiday to 4:00 p.m. New York time on Tuesday Tuesday's Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. New York time on business day before MWH Reference Rate on business day before MWH
6:00 p.m. ET on business day before MWH to 4:00 p.m. New York time on MWH Reference Rate on MWH
6:00 p.m. ET on MWH to 4:00 p.m. New York time on the business day after MWH Reference Rate on business day after MWH

9. How are Globex BTIC transactions against the APAC close handled on U.S. holidays?

Treatment on U.S. holidays where Globex is closed BTIC will be against….
Friday Trading with a Monday holiday
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on Friday Friday’s Reference Rate
4:30 p.m. Hong Kong/Singapore (3:30 a.m./4:30 a.m. ET)* on Friday to 5:00 p.m. ET on Friday Tuesday’s Reference Rate
5:00 p.m. ET on Friday to 5:00 p.m. ET on the Monday holiday – Globex closed for BTIC
6:00 p.m. ET (6:00 a.m./7:00 a.m. Hong Kong/Singapore on the Monday holiday to 4:00 p.m. (3:00 a.m./4:00 a.mm ET)* Hong Kong/Singapore time on Tuesday Tuesday’s Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) on the business day before the MWH Reference Rate on business day before MWH
4:30 p.m. Hong Kong/Singapore (3:30 a.m./4:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH Reference Rate on business day after MWH
5:00 p.m. ET on business day before MWH to 5:00 p.m. ET on MWH – Globex closed for BTIC
6:00 p.m. ET on MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 p.m. ET)* on the business day after MWH** Reference Rate on business day after MWH
Treatment on U.S. holidays where Globex is open for part of the day  
Friday with a Monday holiday
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on Friday Friday’s Reference Rate
4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET)* on Friday to 5:00 p.m. ET on Friday Monday’s Reference Rate
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./3:00 a.m. ET)* on the Monday holiday Monday’s Reference Rate
6:00 p.m. ET on the Monday holiday to 4:00 p.m. Hong Kong/Singapore time (3:00 am/4:00am ET)* on Tuesday Tuesday’s Reference Rate
Mid-week holiday (MWH)
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on business day before MWH Reference Rate on business day before MWH
4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH Reference Rate on MWH
6:00 p.m. ET on business day before MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on MWH Reference Rate on MWH
6:00 p.m. ET on MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on the business day after MWH** Reference Rate on business day after MWH

* Dependent on Daylight Savings Time
** If holiday falls on a Friday, BTIC trading ends at 5:00 p.m. ET on Friday and resumes at 6:00 p.m. ET on Sunday


10. What are the vendor codes?

PRODUCT NAME CME GLOBEX BLOOMBERG CQG REFINITIV
BTIC on Bitcoin futures against London Close (CME CF Bitcoin Reference Rate – BRR) BTB BTDA BTB BTB
BTIC on Bitcoin futures BTIC against New York close (CME CF Bitcoin Reference Rate New York -BRRNY) BNB BRBA BNB BNB
BTIC on Bitcoin futures against APAC clos (CME CF Bitcoin Reference Rate APAC -BRRAP) ABB ABCA ABB BAO
BTIC on Micro Bitcoin futures against London Close (CME CF Bitcoin Reference Rate – BRR) MIB BMYA MIB MBI
BTIC on Micro Bitcoin futures against New York close (CME CF Bitcoin Reference Rate New York -  BRRNY) MYB MYBA MYB MYB
BTIC on Micro Bitcoin futures against APAC close (CME CF Bitcoin Reference Rate APAC -  BRRAP) AMB AEPA AMB BAU
BTIC on Ether futures against London Close (CME CF Ether-Dollar Reference Rate – ETHUSD_RR) ETB DCSA ETB EBT
BTIC on Ether futures against New York close (CME CF Ether-dollar Reference Rate New York -   ETHUSD_NY) ENB FNBA ENB ENB
BTIC on Ether futures against APAC close (CME CF Ether-dollar Reference Rate APAC - ETHUSD_AP) ATB AQTA ATB TBZ
BTIC on Micro Ether futures against London Close (CME CF Ether-Dollar Reference Rate – ETHUSD_RR) EMB MBWA MRB BRM
BTIC on Micro Ether futures against New York close (CME CF Ether-dollar Reference Rate New York -  ETHUSD_NY) EYB FYBA EYB EYB
BTIC on Micro Ether futures against APAC close (CME CF Ether-dollar Reference Rate APAC -  ETHUSD_AP) AHB AHB - AHIA AHB BHZ

11. Is BTIC on Cryptocurrency futures eligible for block trading?

Yes, with the following minimum thresholds:

  • Bitcoin futures: 5 contracts
  • Micro Bitcoin futures: 10 contracts
  • Ether futures: 5 contracts
  • Micro Ether futures: 100 contracts

12. Will there be block liquidity providers for BTIC on Cryptocurrency futures?

Yes. Click here to view a list of block liquidity providers who have given CME Group consent to disclose their contact information.

View Rule 526 in the MRAN to learn more about block trades.


13. Are BTIC on Cryptocurrency futures available across all listed contracts?

BTIC on Cryptocurrency futures may be transacted across all available listed contracts.


Margin and fee details

14. When will BTIC on Cryptocurrency futures trades be included in the margin calculation?

BTIC on Cryptocurrency futures trades executed by 4:00 p.m. London time will be included in that day’s clearing cycle. BTIC on Cryptocurrency futures transactions consummated after 4:00 p.m. London time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.

BTIC on Cryptocurrency futures trades executed by 4:00 p.m. New York time will be included in that day’s clearing cycle. BTIC on cryptocurrency futures transactions consummated after 4:00 p.m. New York time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.

BTIC on Cryptocurrency futures trades executed by 4:00 p.m. Hong Kong/Singapore time will be included in that day’s clearing cycle. BTIC on cryptocurrency futures transactions consummated after 4:00 p.m. Hong Kong/Singapore time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.


15. What are the fees for BTIC on Cryptocurrency futures?

Fees for BTIC on Cryptocurrency futures transactions may be found on the CME Fee Schedule.


Additional information

16. How do you distinguish a BTIC execution from a futures outright execution?

BTIC transactions have distinct product codes which differ from the corresponding outright Cryptocurrency futures. This results in a separate line on the trader’s blotter after the execution that will enable the traders to track their BTIC transactions through the day. Once the clearing cycle is complete, the BTIC transactions will be consolidated with the corresponding underlying cryptocurrency futures.


17. Is BTIC volume added to the corresponding outright futures market volume in a real-time basis?

No, BTIC volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of BTIC on Cryptocurrency futures transactions will be disseminated to the clearing firms after the cash close, the BTIC position will be consolidated with the corresponding underlying futures after the clearing cycle is complete for the day.


18. When is the final price of Cryptocurrency futures from BTIC transactions disseminated?

Approximately 15 minutes after the corresponding reference rate is published, finalized cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the index closing price plus the differential price at which the BTIC was traded. This price will be used when CME Group runs its end-of-day clearing cycle; at which point the trade will be marked to market versus the daily settlement price in the corresponding futures contract.


19. How can I receive the resultant futures price from a BTIC on Cryptocurrency futures transaction?

You can receive the resultant futures price reflecting the BTIC transaction either through your clearing firm or via CME Group’s Straight Through Processing (STP) solution if you are subscribed. Learn more about CME Group STP.

Contact GAM_CS@cmegroup.com to begin the STP onboarding process.


20. Where can I find more information on BTIC on Cryptocurrency futures at CME Group?

Get the most up-to-date information for BTIC on Cryptocurrency futures at cmegroup.com/CryptoBTIC or reach out to CryptoProducts@cmegroup.com with any questions.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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