CME’s Adjusted Interest Rate (AIR) Total Return futures provide total return exposure with an overnight floating rate built in. The enhanced contract design provides similar economics to an equity index total return swap with the margin efficiency of listed futures.
AIR futures are typically quoted as such swaps are, by specifying the daily interest rate for the financing leg as a differential in basis points from a benchmark interest rate – in effect, a form of BTIC trading. CME’s dollar-denominated AIR futures use the Fed Funds benchmark, and the GBP-denominated contracts use Sonia. Every morning, when these rates are published, CME calculates and publishes the accrued funding value for each AIR contract. The GBP values are published at about 9:04am London time, and the USD values at about 9:04am New York time.
The AIR datafiles published in the morning – the “Final” files -- provide the final value of the accrued funding values for the current business day, together with all data used in their derivation. The files published in the afternoon – the “Next-Day” files – provide the settlement prices for today’s contracts as well as the preliminary value for accrued funding for the next business day.
In addition to CME DataMine, the AIR datafiles are available on CME’s website, public and private FTP sites, and via email, and the accrued funding values are also published via CME’s Reference Data API (RDAPI) and the Settlements & Valuation (“S&V”) Channel on CME’s market data platform. Full details are available at cmegroup.com/airtrf.
AIR Futures data is available for the following Indices and time frames:
|Index||Historical Data Available|
|S&P 500||09/18/2020 - Present|
|FTSE 1000||06/07/2021 - Present|
Where can I find collateral on how to understand this data?
What is the file format of this data?
The files come in CSV format.
How many files are available per day?
There will be 8 total files available per day, with both indices publishing 4 respectively.
What is the delivery frequency of the data?
Two delivery times daily.
What time will the files be delivered each day?
AIR Futures - Top of Day Early
AIR Futures - Top of Day Final
|AIR Futures - Complete Early|
|AIR Futures - Complete Final||6pm CST|
What is the average daily file size?
Files range from 4KB to 128KB.
Are the files compressed?
Are sample files available?
Is there a certain process I must use to be able to use the data?
If you have pre-sales questions please reach out to CMEDataSales@cmegroup.com
What reports are available for distribution?
Please inquire with CMEDataSales@cmegroup.com
What is Early and Final?
Use the early top-day file to obtain the final values for the current business day for
the key accrued financing values for the USD-denominated contracts. This file is
published as soon as possible after the Fed Funds benchmark interest rate becomes
Use the final top-day file to obtain the final values for the current business day for
the index and the daily settlements for the USD-denominated BTIC and cleared
contracts, and/or to obtain the preliminary values of accrued financing for the next
What is the Complete File?
At each of these two points in time, use the complete file if in addition to the current
and next-day data, you want the complete history of each business day’s data for
each contract, starting with its first day of trading.
|Field Name||CSV Column||Example Value||Description|
|BTICSpreadCode||C||AST||BTIC Spread (Traded As) Product Code|
|MarkerCode||D||ASM||Product Code that holds the marker (index) price|
|FuturesCode||F||ASR||Futures (Cleared As) Product Code|
|Period||G||202103||Contract Period Code (for example, 202012)|
|FDT||H||6/23/2020||First day of trading|
|SDT||I||3/19/2021||Clearing settlement date|
Exchange Business Date
|PrevBusDate||K||12/4/2020||Previous Exchange Business Date|
|ValueDate||L||12/9/2020||Equity Settlement Date for Exchange Business Date|
|PrevValueDate||M||12/8/2020||Equity Settlement Date for Previous Exchange Business Date|
Number of Funding Days
|FundingAnn||O||360||Annualization factor for funding|
|SettleValueDate||P||3/23/2021||Equity Settlement Date for Futures Clearing Settlement Date|
|DTM||Q||104||Days to Maturity|
|MatAnn||R||360||Annualization factor for time to maturity|
|IndexPxPrev||S||7634.77||Index Price previous exchange business day|
|FundingRate||T||0.09||Funding Rate, in percent|
|DailyFunding||U||0.0190869||Daily Financing Cost|
|AccruedFunding||V||1.3736056||Accrued Financing Cost|
|BTICSpreadSettle||W||*BTIC Spread contract settlement Price, in basis points|
|IndexSettle||X||*Total Return Equity Index daily settlement|
|SpreadAdj||Y||*Financing Spread Adjustment|
|FuturesSettle||Z||*Futures Settlement Price|
*Refers to fields that are not populated for a given business day until they are final.