Frequently Asked Questions: BTIC on Nikkei 225 futures

What is changing?

The launch of Basis Trade at Index Close (BTIC) on Nikkei 225 futures and the expansion of the listing schedule that were previously scheduled effective for trade date January 28, 2019 will be amended pursuant to the CFTC’s process and timeline. Once the new scheduled effective date has been determined it will be communicated.

The new trading mechanism will allow you to execute a basis trade on Yen-denominated Nikkei 225 futures (NIY) and USD-denominated Nikkei 225 futures (NKD) relative to the day’s official cash index closing level.

Concurrently, the maturities of Nikkei 225 futures will be extended to five years, from current three year curve of Yen-denominated Nikkei 225 futures and one year of USD-denominated Nikkei 225 futures.

  Nikkei225/Yen Nikkei225/USD
Current listing cycle 12 months in March quarterly cycle and three serials Four months in March quarterly cycle
Change 12 months in March quarterly cycle, three serials and three deferred December expirations 12 months in March quarterly cycle and three deferred December expirations

What are the contract specifications for BTIC on Nikkei225 Futures?

  Nikkei225/Yen Nikkei225/USD
Tickers Futures: NIY Futures: NKD
BTIC: NIT BTIC: NKT
Underlying Contract Size ¥500 x Nikkei Stock Average $5 x Nikkei Stock Average
Minimum Price Fluctuation Futures/Spread 5 index points = ¥2,500 Futures/Spread 5 index points = $25
BTIC: 0.1 index points = ¥50 BTIC: 0.1 index points = $0.5
Trading Hours Futures: Sun - Fri 6 p.m. - 5 p.m. ET
BTIC: Sun 6 p.m. - next day 1 a.m./2 a.m. ET (3 p.m. Tokyo)
 Mon - Thur 11 a.m. ET - 1 a.m./2 a.m. ET (3 p.m. Tokyo)
 Friday 11:00 a.m. - 5:00 p.m. ET (only available on block for T+1 Monday session)
Listed Contracts 12 months in March quarterly cycle, three serials and three deferred December expirations 12 months in the March quarterly cycle and three deferred December expirations
Termination of Trading Futures: 5:00 p.m. ET on business day prior to the second Friday of the contract month
BTIC: Close of BTIC trading of Nikkei futures on Thursday prior to the second Friday of the contract month
Block Minimum Futures: 50 contracts Futures: 50 contracts
BTIC: 50 contracts BTIC: 50 contracts

What is BTIC on Nikkei 225 Futures Trading Hours?

To trade against the Nikkei 225 official cash index close, you can trade BTIC from 11:00 a.m. ET (midnight/1:00 a.m. Tokyo time) through 3:00 p.m. Tokyo time (1:00/2.00 a.m. ET). Find the time tables below for the specific trading hours based on the local time. T and T+1 indicate which index close you will get from the Nikkei trading day perspective.

BTIC on Nikkei 225 Trading Hours (Eastern Time)

BTIC on Nikkei 225 Trading Hours (Singapore / Hong Kong Time)

BTIC on Nikkei 225 Trading Hours (Tokyo Time)

Legend

What are the ticker codes?

Index Futures Product  CME Bloomberg CQG Thomson Reuters
BTIC on Nikkei/Yen NIT BKYA Index Tbd 1NIU
BTIC on Nikkei/Dollar NKT BKDA Index Tbd 1NKU

Is BTIC on Nikkei 225 futures eligible for block trading?

Yes, with a minimum threshold of 50 contracts.

View Block and BTIC Liquidity Providers

Is BTIC on Nikkei 225 futures available for trading on Japan holidays?

BTIC on Nikkei 225 futures will close on Japan exchange holidays as well as CME Globex holidays.

Will implied inter-commodity spread between Dollar- and Yen-denominated Nikkei 225 futures be available in the expanded offering?

Implied inter-commodity spreads will be available for the first 4 quarterly expirations in the new listing cycle.  Please visit CME Group web page for more information about Nikkei225 implied inter-commodity spread.

Margin and Fee Details

When will BTIC on Nikkei 225 trades be included in the margin calculation?

BTIC on Nikkei 225 trades executed between 11 a.m. and 5 p.m. ET for T+1 session will not be included in that day’s clearing cycle. BTIC on Nikkei 225 transactions during this window, together with the trades executed between 5 p.m. ET and 1 a.m./2 a.m. ET (3 p.m. Tokyo) will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.

Is Mutual Offset System (MOS) available for BTIC on Nikkei 225?

No. When you trade BTIC on Nikkei 225, you will receive the corresponding futures position end of the day. However, this position will not be transferrable with corresponding SGX Nikkei 225 positions.

What are the fees for BTIC on Nikkei 225 futures?

Nikkei is part of the Nikkei/TOPIX Index futures product suite according to the current CME Fee Schedule. However, CME Group will offer a reduced fee of $0.50 per contract temporarily to all market participants on Nikkei 225 BTIC transactions, both CME Globex and block trades, to encourage adoption of BTIC mechanism as a substitute of the OTC transactions.

Additional Information

What are the margin credits for offsetting positions between the Nikkei 225 Index futures and other equity products at CME Group?

Margins and margin credits are subject to change based on current market condition.  Below are the offset rates as of January 16, 2019

Product Code Ratio (NIY : other) Margin Credit
Dollar Nikkei 225 NKD 10:09 98%
S&P500 SP 5:01 80%
TOPIX TPY 1:01 70%
E-mini Dow YM 2:03 68%
Japanese Yen JY 2:1* 65%
E-mini Nasdaq100 NQ 2:05 62%
E-mini Russell2000 RTY 2:03 55%

* NIY: JY ratio applies to the same direction, rest are for opposite sides (buy & sell)

Would the trader be able to distinguish BTIC execution and Nikkei 225 outright execution on the platform?

Yes. BTIC is treated as a separate product with a separate product code from outright Nikkei 225 futures during market hours. For instance, NIT is the product code of Yen-denominated Nikkei 225 futures NIY. This will result in a separate line on the trading platform after the execution that will enable the traders to track the BTIC transactions through the day. Once the clearing cycle is complete, the BTIC positions will be consolidated with the corresponding underlying Nikkei 225 futures.

During the market hours, is the BTIC volume added to the outright futures market volume in real-time basis?

No. During market hours, BTIC volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of BTIC 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.

When is the final price of Nikkei 225 futures from BTIC transactions disseminated?

Approximately 15 minutes after the cash close, a 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/minus 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.

How can I receive the trade price after the cash close reflecting the index closing plus/minus the basis that was traded?

You can receive the actual traded futures price reflecting the index close either through their own clearer or via CME Straight Through Processing (STP) solution if you are signed up for CME STP.

Learn more about CME STP

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

Will there be on-screen market makers for BTIC on Nikkei 225?

Yes. CME Group has designed a market maker program for BTIC on Nikkei 225 futures to support continuous two-sided markets and price discover during Japan cash hours.

Will there be block liquidity providers for BTIC on Nikkei 225?

Yes. View a list of block liquidity providers

The liquidity providers listed are ready to support the Nikkei 225 BTIC product via block trades and have given CME Group a consent to disclose their contact information. If you would like to trade a size more than 50 contracts off-screen, feel free to reach out to these liquidity providers.

Where can I find more information on BTIC on Nikkei 225 futures at CME Group?

Nikkei 225 Futures and Options on Futures

View information on Nikkei 225 futures, which provide Japanese benchmark access with capital savings.

View Now

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