Total Return Index Futures

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Total Return Index Exposure with the Capital Efficiency of Futures

Discover a more cost-efficient way to trade the S&P 500 total return. Total Return Index futures offer vanilla and carry adjusted S&P 500 total return Index exposure with the margin efficiency of a futures contract. 

About the Products

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:

Benefits

  • Capital efficiency with low initial margin and dividend risk curtailed
  • Flexibility of vanilla and carry-adjusted contracts
  • Trading convention reminiscent of the OTC TRS market through the use of BTIC
  • Around-the-clock access
  • Security of central clearing to mitigate counterparty risk
  • Cross-margining with standard and E-mini S&P 500 index futures and options and other benchmark CME equity products

Total Return Index Futures BTIC Block Trade Example

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:

  • December 2016 S&P 500 Carry Adjusted Total Return Index futures
    • BTIC block trade eligible contract
    • BTIC block trade entry symbol CTBZ6, not the regular contract symbol CTRZ6.
  • A basis/price of -1.50
    • Negotiated and traded in 0.10 index point increments, the minimum price increment (tick size) of the CTBZ6 contract, as required.
  • 500 contracts
    • Meets the minimum BTIC Block trade threshold as required. Please note that this is a 500 contract minimum, not a clip size, where any number of contracts equal to or greater than the contract specified minimum block trade threshold is acceptable.

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).

  • Parties report the BTIC Block trade to CME ClearPort or to the GCC as CTBZ6 500x @ -1.50.
  • Suppose that the closing SPCATR index level is 3294.21. A futures position of CTRZ6 500x @ 3292.71 (i.e. 3294.21 + (-1.50)) will be created.

Vanilla S&P 500 Total Return Index futures are also BTIC-eligible and follow these same general steps.