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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.

Dates Available

AIR Futures data is available for the following Indices and time frames:

IndexHistorical Data Available
S&P 50009/18/2020 - Present
FTSE 100006/07/2021 - Present

Sample Files 


Sample File

AIR Futures  - Top of Day Early

3/31/2021

AIR Futures -  Top of Day Final

3/31/2021
AIR Futures -  Complete Early3/31/2021
AIR Futures -  Complete Final3/31/2021




FAQ

Where can I find collateral on how to understand this data?

https://www.cmegroup.com/airtrf

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

10am CST

AIR Futures -  Top of Day Final

6pm CST
AIR Futures -  Complete Early

10am CST

AIR Futures -  Complete Final6pm CST


What is the average daily file size?

Files range from 4KB to 128KB.

Are the files compressed?

No

Are sample files available?

Yes.

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
available.


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
business day


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 NameCSV ColumnExample ValueDescription 
COACMEClearing Organization
ExchBCMEExchange
BTICSpreadCodeCASTBTIC Spread (Traded As) Product Code
MarkerCodeDASMProduct Code that holds the marker (index) price
IndexCodeESPTRIndex Code
FuturesCodeFASRFutures (Cleared As) Product Code
PeriodG202103Contract Period Code (for example, 202012)
FDTH6/23/2020First day of trading 
SDTI3/19/2021Clearing settlement date
BusDateJ12/7/2020

Exchange Business Date

PrevBusDateK12/4/2020Previous Exchange Business Date
ValueDateL12/9/2020Equity Settlement Date for Exchange Business Date
PrevValueDateM12/8/2020Equity Settlement Date for Previous Exchange Business Date
FundingDaysN1

Number of Funding Days

FundingAnnO360Annualization factor for funding
SettleValueDateP3/23/2021Equity Settlement Date for Futures Clearing Settlement Date
DTMQ104Days to Maturity
MatAnnR360Annualization factor for time to maturity
IndexPxPrevS7634.77Index Price previous exchange business day
FundingRateT0.09Funding Rate, in percent
DailyFundingU0.0190869Daily Financing Cost
AccruedFundingV1.3736056Accrued Financing Cost
BTICSpreadSettleW
*BTIC Spread contract settlement Price, in basis points
IndexSettleX
*Total Return Equity Index daily settlement
SpreadAdjY
*Financing Spread Adjustment
FuturesSettleZ
*Futures Settlement Price



 *Refers to fields that are not populated for a given business day until they are final.






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