Adjusted Interest Rate (AIR) Total Return futures on US Indices

Total return equity index exposure, now enhanced with a floating rate.

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Enjoy capital-efficient total return swap exposure

Adjusted Interest Rate (AIR) Total Return futures on US indices are designed to give you 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.

Key benefits

Capital-efficient total return equity index swap exposure with a low initial margin and curtailed dividend risk.

Trading convention reminiscent of the OTC TRS market through use of Basis Trade at Index Close (BTIC) transactions.

Cross margining with benchmark CME Group Equity Index products, including E-mini S&P 500 futures and options.

Expands your trading flexibility with choice of vanilla and new AIR Total Return futures contracts.

NEW - AIR Total Return futures on Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones Industrial Average

Now available: more ways to access total return exposure

Explore more trading opportunities with the upcoming launch of AIR Total Return futures on four major US benchmarks: Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones Industrial Average. These contracts will provide greater flexibility and allow market participants to expand their trading portfolio with choice of vanilla Total Return futures and a total of six AIR Total Return futures contracts.

Understanding AIR Total Return futures

Watch a brief video to find out more about the unique features of this contract.

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METHODOLOGY

How AIR Total Return futures work

Here is the basic premise behind the contract. AIR Total Return futures (TRF) have a known maturity date, and its valuation will be based on three key components: the underlying equity index, accrued financing rate, and a financing spread adjustment that follow this basic formula:   

  • Equity index value – will always be the official index daily close
  • Accrued financing – represents the sum of the daily accrued financing from the product’s listing date, accrued daily based upon the benchmark reference rate (EFFR).

The sum is incorporated into the daily settlement of the product and netted with the equity index performance as shown above – giving the AIR TRF buyer the index exposure minus the sum of the accrued daily financing to date.

  • Financing spread adjustment – represents the amount the counterparties will agree to lock into a spread +/- to the reference rate (TRF spread) for the remaining time to maturity. 

The spread rate will be determined primarily by the rebate value the market ascribes to the value of the underlying index’s stocks. Thus, the TRF spread is equivalent to the spread that would be charged above or below the benchmark reference rate in an equity index swap.

Find a detailed methodology of the contract in the resources section below.

Resources and tools

Adjusted Interest Rate Total Return Futures: Explained

Get a detailed description of how the AIR TRF contracts works: the mechanics, the cash flows, use case examples, and more.

Fact card

View a summary and preliminary contract specifications that you can download, share, and print.

Total Return Index futures at CME Group

Explore the full suite of Total Return Index futures you can trade from the CME Group Equity Index product line-up.

About BTIC and BTIC+ trading

Learn about Basis Trade at Index Close (BTIC) transactions available at CME Group.

Take a breath of AIR: Get to know AIR Total Return futures

View our whitepaper to get an understanding of AIR Total Return futures, including a detailed explanation of contract valuation, specifications, and use cases.­

FAQ

Get answers to frequently asked questions about Adjusted Interest Rate (AIR) Total Return futures, including product details and trading hours.

How to Access AIR TRF Accrued Financing Data

Accrued financing data for AIR Total Return futures is published each business day at about 8:35-8:40 a.m. CT. There are multiple ways to get access:

Use the QuikStrike calculator to compute the AIR Total Return futures price

Contract Specifications

Contract Name

S&P 500 Adjusted Interest Rate Total Return futures

Nasdaq-100 Adjusted Interest Rate Total Return futures

Russell 1000 Adjusted Interest Rate Total Return futures

Russell 2000 Adjusted Interest Rate Total Return futures

Dow Jones Industrial Average Adjusted Interest Rate Total Return futures

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

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)

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)

Clearport: BTIC: Sunday - Friday 6:00 p.m. - 4:00 p.m. ET

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.

 

Product code

CME Globex: ASR
CME ClearPort: ASR
Clearing: ASR
BTIC: AST

ASR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP)

CME Globex:  AQR
CME ClearPort: AQR
Clearing: AQR
BTIC: AQT

AQR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP)

CME Globex:  ARR
CME ClearPort: ARR
Clearing: ARR
BTIC: ART

ARR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP)

CME Globex:  A2R
CME ClearPort: A2R
Clearing: A2R
BTIC: A2T

A2R is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP)

CME Globex:  ADR
CME ClearPort: ADR
Clearing: ADR
BTIC: ADT

ADR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP)

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:

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

Block Minimum

250

250

50

50

250

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