Discover a more cost-efficient way to trade total return on top indices. Total Return Index futures offer total return Index exposure across S&P 500, Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones Indices with the margin efficiency of a futures contract.
Get ready to float this summer for the S&P 500 Index. New Adjusted Interest Rate (AIR) Total Return futures from CME Group will offer total return exposure with an overnight floating rate built in. This enhanced contract design will offer similar economics to an equity index total return swap combined with the margin efficiency of a listed futures contract.
Total Return Index futures track the Total Return Indices and seek to replicate the price return performance of the S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average plus associated dividend reinvestment. All contracts trade as Basis Trade at Index Close (or BTIC) products.
|Index Futures Contracts||Underlying Index (Bloomberg)||CME BTIC Ticker (Tradeable)||CME Outright Ticker (Non-Tradeable)||Bloomberg BTIC Front Month||TR-RIC Root|
|S&P 500 Total Return futures||SPTR Index||TRB||TRI||TVBA Index||0#TBR|
|Nasdaq-100 Total Return futures||XNDX Index||N1T||N1R||BNRA Index||0#1N1T|
|Russell 1000 Total Return futures||RU10INTR Index||R1B||R1R||RBYA Index||0#1R1B|
|Russell 2000 Total Return futures||RU20INTR Index||R2T||R2R||RRTA Index||0#1R2T|
|Dow Jones Industrial Average Total Return Index Return futures||DJITR Index||DTT||DTR||BTDA Index||0#DTD|
|NEW S&P 500 AIR Total Return futures||SPTR Index||AST||ASR||AXWA Index||1AYT|
Suppose that two market participants want to transact a BTIC block trade for S&P 500 Total Return Index futures based on the closing index value of the S&P 500 Total Return (SPTR) Index. The market participants agree to the following terms:
Within five (5) minutes of the two counterparties agreeing to the trade, both sides of the trade must be price reported to CME Direct or CME ClearPort.
Vanilla S&P 500 Total Return Index futures are also BTIC-eligible and follow these same general steps.