Clearing Processing for Adjusted Interest Rate (AIR) Futures with BTIC Trading - Effective September 21, 2020

On Sunday, September 20, 2020, for trade date Monday, September 21, 2020, and pending all regulatory review, CME will launch BTIC trading in Adjusted Interest Rate (AIR) Futures on the S&P 500 Total Return Index. These new products were made available in CME’s “New Release” testing environment on Monday, August 10.

CME’s AIR future on the S&P 500 Total Return Index will offer market participants a futures contract which closely tracks the payoff of a total return swap on the index, by incorporating the accrued cost of the financing leg of the swap in trade prices and in the daily and final settlement prices. BTIC trading will allow the BTIC price to be quoted as a differential over or under a benchmark interest rate used for quoting the financing leg of a hypothetical underlying swap.

For the full text of this advisory, please click here.