Adjusted Interest Rate (AIR) Total Return futures on U.S. Indices
Total return equity index exposure, now enhanced with a floating rate.
Trade total returns with lower margin and reduced dividend risk
AIR Total Return futures on U.S. indices allow market participants to trade the total return of an equity index with a financing rate (either SOFR or EFFR) that is adjusted daily to reflect the cost of borrowing shares. These contracts offer similar economics to an equity index total return swap with the margin efficiency of listed futures.
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Why trade AIR Total Return futures?
Efficient equity index swap exposure
Gain total return equity index swap exposure with a low initial margin and curtailed dividend risk.
Expanded trading flexibility
Choose from a range of vanilla Total Return and AIR Total Return futures products to tailor your trading strategy.
OTC-like trading
Trade with the Basis Trade at Index Close (BTIC) convention, similar to the OTC TRS market.
Cross-margining opportunities
Benefit from cross margining with benchmark Equity Index products, including E-mini S&P 500 futures and options.
How AIR Total Return futures work
AIR Total Return futures (TRF) have a known maturity date, with valuation based on three key components: the underlying equity index, accrued financing rate and a financing spread adjustment that follow this basic formula:
Access AIR TRF accrued financing data
Accrued financing data for S&P 500 AIR Total Return futures is published each business day at about 10:35 a.m. – 10:40 a.m. London Time. There are multiple ways to get access:
Use Case: Maximize capital efficiency with AIR Total Return futures
AIR Total Return futures are powerful, capital-efficient tools for market participants to manage equity financing costs.
Potential capital efficiencies available
- Initial margin on a long position in Adjusted Interest Rate S&P 500 Total Return futures is currently approximately 4.7%.
- An OTC sector swap under ISDA SIMM margin requirements (UMR) currently has 19% initial margin. Futures reduce your upfront requirement by over 14%, a 75% capital savings.
- The equivalent ETF is fully funded, freeing up over 95% for capital rehypothecation.
- Some fully funded investors may choose to hold stocks in a margin account, but that would require a minimum of 50%. In this scenario, futures upfront redacted by 45%, a 90% capital savings.
- Lastely, there is a 98.5% margin offset between Adjusted Interest Rate S&P 500 Total Return futures calendar spreads (intras) and a 90% margin offset with E-mini S&P 500 futures (ES) (inters).
Get started
Find out more about benefits and use cases in our AIR Supply piece and use CME CORE to examine hypothetical or real portfolios.
Contract Specifications
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Contract Name |
Adjusted Interest Rate Nasdaq-100 Total Return (EFFR) futures |
Adjusted Interest Rate Dow Jones Industrial Average Total Return (EFFR) futures |
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Contract unit |
$25 x S&P 500 AIR Total Return Index Price |
$10 x Nasdaq-100 AIR Total Return Index Price |
$10 x Russell 1000 AIR Total Return Index Price |
$10 x Russell 2000 AIR Total Return Index Price |
$2 x DJIA AIR Total Return Index Price |
$25 x S&P 500 AIR Total Return Index Price |
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Underlying index |
S&P 500 Total Return Index (SPTR) |
Nasdaq 100 Total Return Index (XNDX) |
Russell 1000 Total Return Index (RU10INTR) |
Russell 2000 Total Return Index (RU20INTR) |
DJIA Total Return Index (DJITR) |
S&P 500 Total Return Index (SPTR) |
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Reference rate |
Effective Fed Funds Rate (EFFR) |
Secured Overnight Financing Rate (SOFR) |
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Trading quotation |
TRF spread in basis points expressed as an annualized number | |||||
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Trading hours |
CME Globex: BTIC: Sunday - Friday 6:00 p.m. - 4:00 p.m. Eastern Time (ET) |
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Minimum price fluctuation |
0.5 Basis Points in terms of TRF Spread The resultant cleared AIR TRF future price will be rounded to 2 decimals. |
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Product code |
CME Globex: ASR ASR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: AQR AQR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ARR ARR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: A2R A2R is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ADR ADR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ASPR ASPR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
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Listed contracts |
Quarterly contracts (Mar, Jun, Sep, Dec) listed for 13 consecutive quarters, 3 non-Jan serials, 1 nearest Jan contract and 7 additional Dec quarterly contracts |
Quarterly contracts listed for the 9 nearest quarters on the Mar Quarterly cycle (Mar, Jun, Sep, and Dec) and 5 additional Dec contract months. |
8 Dec quarterly contracts |
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Settlement method |
Financially settled | |||||
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Termination of trading |
Trading terminates on the 3rd Friday of the contract month. BTIC: Trading terminates on the business day prior to 3rd Friday of the contract month. |
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Settlement procedures |
Daily settlement price of contract shall be determined based on the following formula: = (SPTRt - AFt)+SPTRt × τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities, and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: SPTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (XNDXt-AFt)+XNDXt× τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: XNDXTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (RU10INTRt-AFt)+RU10INTRt× τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: RU10INTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (RU20INTRt-AFt)+RU20INTRt× τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: RU20INTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (DJITRt-AFt)+DJITRt× τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: DJITRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (SPTRt - AFt)+SPTRt × τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities, and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: SPTRTSOQ-AFT |
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Block Minimum |
250 |
250 |
50 |
50 |
250 |
250 |
QuikStrike AIR TRF Tool
Use the AIR TRF calculator to compute AIR Total Return futures prices and use the Term Structure tool to view the AIR TRF financing spread across a wide range of expirations.
Featured insights
Get our experts’ perspectives on current trends.
Equity Financing Demand Dynamics for AIR TRFs
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Learn how market participants can take advantage of capital efficiencies by trading Adjusted Interest Rate Total Return futures from CME Group.
Airing Out the Differences Between AIR Total Return Futures and Index Forwards
Learn about the benefits of using AIR Total Return futures in place of OTC equity total return swaps (TRS), or index forwards.
Using AIR TRF to trade equity financing levels
Learn how trading calendar spreads of AIR TRFs can help investors isolate the financing spread differential for equity financing level trades.
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