Accrued Funding Data for CME AIR Futures to be added to CME’s Reference Data API - Effective November 23, 2020

CME’s new Adjusted Interest Rate (AIR) Future on the S&P 500 Total Return Index provides 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. The value of each AIR Total Return futures contract has three key components – the equity index value, the accrued funding value, and the financing spread adjustment.

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