Total Return Futures Frequently Asked Questions

  • 6 Aug 2020
  • By CME Group


1. What are the new AIR Total Return Index Futures?

AIR TRFs are Total Return Futures that have a built-in floating rate to accommodate the financing costs associated with funding the equity index exposure. These are the first of its kind to be initiated by CME Group.

The AIR TRF will be launched on the S&P 500 and will reference the total return version of the index (SPTR).

2. Aren’t there already S&P 500 Total Return Futures listed at CME Group?

CME views the AIR Total Return Futures as complimentary to the currently listed S&P 500 Total Return Futures (TRI) which have traded 3.7K contracts per day ($556M notional) in 2020.

The current S&P 500 Total Return Futures use a “fixed rate”, unlike the AIR Total Return Futures which use a built-in floating rate.

For more information on S&P 500, Nasdaq-100, Dow, Russell 2000, and Russell 1000 Total Return Futures please visit this FAQ.

3. What will be the Benchmark Reference rate for AIR TRFs?

The Overnight Effective Federal Funds Rate (EFFR) published by the Federal Reserve Bank of New York will be the underlying reference rate used for financing.

4. When does CME plan to launch AIR TRFs?

CME plans to launch AIR Total Return Futures for trade date September 21, 2020, pending all regulatory approval.

5. How are the AIR TRFs constructed?

The AIR TRFs consist of 3 components – an Equity Index component, an Accrued Financing component and a Financing Spread Adjustment component. The valuation of the AIR TRF is as follows:

AIR TRF = (Equity Index - Accrued Financing) + Financing Spread Adjustment

For greater detail on these please see the fact card and other resources on the AIR TRF homepage.

6. Will the new futures contract be traded in basis points or index points?

They will be traded via BTIC and the quoting notation will be in basis points, analogous with a total return swap spread.

7. Why is the quoting notation in basis points?

The key element traded in AIR TRFs will be the Total Return Futures Spread (TRF Spread). This is the spread over or below the financing reference rate (EFFR) that market participants determine as the cost to fund the equity index exposure. This spread is expressed in basis points.

8. Once a trade has been consummated, how will the futures price in index points be determined?

Once a TRF spread is consummated, it will be converted into an AIR TRF price by the exchange using the same business day’s official closing index price as part of the calculation. The resulting cleared price of the future is computational and occurs on a trade by trade basis and is calculated in index points.

9. How will a participant know what the cleared price in index points will be if they only have the BTIC traded level?

Towards the beginning of September, CME Group will provide an online calculator as a tool that can be used to determine the cleared AIR TRF price in index points. This will be hosted on the product web page and will be made available before launch on Sep 21, 2020.

10. Where can I find the daily details related to trading the product such as Accrued Financing and days to maturity?

All the inputs required to trade the product will be published each day in a CSV file format. Both start of day and end of day files will be available, as follows:

  • Prior to launch, sample files will be available in New Release and can be found here.
  • Once the product is officially live for trading, the files will be found here.

Contract Specifications

1. What are the contract specifications for the AIR Total Return Index Futures?

Contract unit

$25 x AIR S&P 500 Total Return Index Price

Underlying index

S&P 500 Total Return Index (SPTR)

Reference rate

Effective Fed Funds Rate (EFFR)

Trading quotation

TRF spread in basis points expressed as an annualized number.

Trading hours

CME Globex: BTIC: Sunday - Friday 6:00 p.m. - 4:00 p.m. Eastern Time (ET)

CME ClearPort: BTIC Sunday 5:00 p.m. - Friday 5:45 p.m. (no reporting Monday – Thursday 5:45 p.m. – 6:00 p.m. CT)

Minimum price fluctuation

0.5 basis points in terms of the TRF spread.
The resultant cleared AIR TRF futures price will be rounded to two decimals.

Listed contracts

Quarterly contracts listed for 13 quarters and 4 additional December contract months.

Settlement method

Financially settled.

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.

Settlement procedures

Daily settlement price of contract shall be determined based on the following formula:

= (SPTRt - AFt)+SPTR× 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:


Block minimum


View the full contract specifications here.

2. Which trade types are available for AIR Total Return futures?

Total Return futures can be traded as Basis Trade at Index Close (BTIC) contracts on CME Globex as well as via block trades on CME ClearPort. Please note, as is the case with current S&P 500 Total Return futures, the outright futures are not eligible for trading but can be used as part of an EFRP.

3. What price do I use to submit an EFRP?

In any instance where the AIR Total Return Futures contract(s) are traded as the futures component of an EFRP transaction, the price of such futures contracts may be made either in Index Point terms outright or in BTIC terms.

4. How are AIR Total Return futures final settlement values determined?

The final settlement value for the expiring contract will be equal to the Special Opening Quotation (SOQ) on the expiry date less the total of the Accrued Financing and will be determined by the formula outlined below;



SPTRTSOQ = Special Opening Quotation of S&P 500 Total Return Futures on day of expiration

AF= Sum of the daily financing values since the product’s launch on Sep 21, 2020 until the day of expiration.

5. Will the Accrued Financing value be the same for all maturities, where can I find this amount?

Yes, the Accrued Financing (AF) value will be the same value across all maturities. For each contract the initial value for AF will be determined by the exchange and all the daily financing values will be added to this initial value.

The AF value can be found in the daily CSV files mentioned in Q10 in the background section above.

6. What are the codes?

Index Futures Contracts

Underlying Index (Bloomberg)

CME BTIC Ticker (Tradeable)

CME Outright Ticker (Non-Tradeable)

Bloomberg BTIC Front Month

Bloomberg Outright Front Month (Non-Tradeable)

Refinitiv Front Month (Non-tradeable)

Refinitiv BTIC Front Month (Tradeable)

AIR S&P 500 Total Return futures




AXWA Index

AXRA Index



7. What are the fees?

There are three fee buckets based on the difference (in months) between trade date and contract’s expiration date.

Months to Expiration


Member Fee (106.J Equity Member Firms)

Non-Member Fee

< 24 months












Full CME Fee Schedule


1. What are the margin requirements for AIR Total Return futures?

While margin requirements are not finalized, CME Clearing expects the levels to be very similar to the currently listed S&P 500 Total Return Futures (TRI). TRI Futures margins are found here.

2. What are the available margin credits for offsetting positions between the AIR Total Return futures and CME’s major U.S. benchmark index futures?

Similar to their Margins, the margin credits are based on current market conditions and will look very similar to the currently listed TRI Futures. Those credits can be found here and below.


Contract #1

Contract #2


Margin Offset

AIR Total Return futures

S&P 500 Total Return futures



AIR Total Return futures

E-mini S&P 500 futures (ES)



AIR Total Return futures

E-mini Nasdaq-100 futures



AIR Total Return futures

E-mini Russell 2000 futures



AIR Total Return futures

E-mini Dow futures



Margin offsets as of 8/4/2020 and are subject to change.

Learn more about margins: