The launch of Basis Trade at Index Close (BTIC) on Nikkei 225 futures and the expansion of the listing schedule is scheduled effective for trade date February 19, 2019.
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.
|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|
|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|
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.
|Index Futures Product||CME||Bloomberg||CQG||Thomson Reuters|
|BTIC on Nikkei/Yen||NIT||BKYA Index||NIT||1NIU|
|BTIC on Nikkei/Dollar||NKT||BKDA Index||NKT||1NKU|
Yes, with a minimum threshold of 50 contracts.
BTIC on Nikkei 225 futures will close on Japan exchange holidays as well as CME Globex holidays.
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.
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.
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.
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.
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%|
* NIY: JY ratio applies to the same direction, rest are for opposite sides (buy & sell)
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.
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.
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.
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.
Contact GAM_CS@cmegroup.com to begin the CME STP onboarding process.
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.
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.
Or reach out to EquityProducts@cmegroup.com with any questions.
View information on Nikkei 225 futures, which provide Japanese benchmark access with capital savings.
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