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Federal Register / Vol. 86, No. 210 / Wednesday, November 3, 2021 / Notices
historically traded at significant and variable premiums and discounts to its net asset value, the historical turnover of GBTC provide one estimate of the future turnover of a bitcoin ETP. GBTCs average daily trading volume ADV in 2020 was $103 million. On a monthly basis, that figure ranged from $37
million in April 2020 to $368 million
December 2020, as reported in the table below.
Examining ADV in isolation offers only a partial picture, however. Trading activity in GBTC is correlated with the products assets under management AUM, which is in turn linked to bitcoins price. The table below shows the ADV/AUM Ratio for GBTC for
each month in 2020, using the monthend AUM as the denominator. Although the absolute size of the ADV ranges widely across 2020, the ADV/AUM ratio stays fairly consistent, running from 1.10% April and September to 2.21%
February. The average ADV/AUM ratio for the year was 1.54%.
ADV
M

Month Jan 2020
Feb 2020
Mar 2020
Apr 2020
May 2020
Jun 2020
Jul 2020
Aug 2020
Sep 2020
Oct 2020
Nov 2020
Dec 2020
Average

Applying this average ADV/AUM
ratio to the $4.7 billion working estimate of first-year flows into a bitcoin ETP, the estimated daily trading volume would be approximately $72 million at the end of the ETPs first year.

A second comparison that may be useful is to examine the case of other first-to-market commodity ETPs. GLD is the largest such ETP, and therefore trading activity of GLD 76 may provide a useful comparison. Using the same
Jan 2020
Feb 2020
Mar 2020
Apr 2020
May 2020
Jun 2020
Jul 2020
Aug 2020
Sep 2020
Oct 2020
Nov 2020
Dec 2020
Average

khammond on DSKJM1Z7X2PROD with NOTICES

$43
66
44
37
68
52
65
89
57
95
259
368
103

Be the third-fastest-growing ETP in history, out of more than 2,200 products with positive year-one flows.
have an ADV/AUM ratio approximately two times higher than that of GBTC, which also offers exposure to bitcoin through traditional brokerage accounts.

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$3,191
2,997
2,249
3,313
4,034
3,870
5,264
6,018
5,167
7,728
13,060
20,445
6,445

AUM
M

$1,206
2,010
2,903
1,828
1,819
1,606
2,215
3,312
1,272
1,376
1,855
1,369
1,901

1.36
2.21
1.96
1.10
1.68
1.33
1.23
1.47
1.10
1.23
1.98
1.80
1.54

ADV/AUM
ratio %

$46,053
47,348
48,916
57,343
62,557
67,484
78,789
79,163
76,941
75,889
73,285
71,558
65,022

2.62
4.25
5.93
3.19
2.91
2.38
2.81
4.18
1.65
1.81
2.53
1.91
3.04

Evaluating the Potential Influence of Secondary Market Trading in ETP
Shares on Prices in the CME Market The CME Market had an average daily trading volume of $392 million in 2020.
The lowest month, April 2020, had an average daily trading volume of $176
million, and the highest month, December 2020, had an average daily trading volume of $935 million. The table below shows the ADV of the CME
Market each month in 2020.

76 See GLD historical market data, available at https www.spdrgoldshares.com/usa/historicaldata/.

VerDate Sep<11>2014

ADV/AUM
ratio %

methodology as with GBTC, the Sponsor examined the ADV/AUM ratio of GLD
for every month in 2020. The ratio value ranged from 1.65% September to 5.93% March. The average ratio was 3.04%.
ADV
M

Month
Applying GLDs ADV/AUM ratio to the $4.7 billion working estimate of first-year flows into a bitcoin ETP, the estimated daily trading volume would be approximately $143 million. The Sponsor elected to use this estimate of $143 million as its working estimate for average daily trading volume of a new bitcoin ETP at the end of its first year.
The Sponsor believes this estimate to be aggressive, as it assumes that a bitcoin ETP will:

AUM
M

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