Adjusted Interest Rate (AIR) Total Return futures on US Indices
Total return equity index exposure, now enhanced with a floating rate.
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.
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.
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.
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.
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.
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.
Get answers to frequently asked questions about Adjusted Interest Rate (AIR) Total Return futures, including product details and trading hours.
Airing out the differences between AIR Total Return futures and index forwards
Learn about why the differences in valuation exist between AIR TRFs and index forwards and unncover important considerations for traders when assessing which product best manages their risk exposures.
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:
- Bloomberg: via ID fields P2937 or Q2937
- QuikStrike calculator: The Accrued Financing number is populated within the calculator available here.
- AIR Datafiles: View easy-to-use CSV-format datafiles (here’s complete documentation):
- With any web browser at cmegroup.com/ftp/settle/air
- Via anonymous FTP at ftp://ftp.cmegroup.com/pub/settle/air
- Via the Firm FTP Server (SFTP), in the pub/settle/air directory
- Via EREP: see report IDs AIR_TOP and AIR_COMP
- Via CME DataMine at datamine.cmegroup.com/#/datasets/cme.air
- RDAPI: Access data via Reference Data API (“RDAPI”). View details here.
- Settlements & Valuation Channel: Via the Data Insights: Settlements & Valuation Channel ID 251, part of CME Group’s Market Data Platform. View details here.
Contract Name |
Dow Jones Industrial Average Adjusted Interest Rate Total Return 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 |
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)
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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
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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) |
Listed contracts |
Quarterly contracts listed for 13 quarters and 4 additional December contract months.
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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.
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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 |
Block Minimum |
250 |
250 |
50 |
50 |
250 |
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