Total Return Index Futures

Subscribe to Updates

Total Return Index Exposure with the Capital Efficiency of Futures

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, Dow Jones, and FTSE 100 Indices with the margin efficiency of a futures contract.

Resources

NEW

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

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.

Read frequently asked questions

NOW AVAILABLE

FTSE 100 Adjusted Interest Rate (AIR) Total Return futures

UK equity index total return exposure, enhanced with a floating rate.

FTSE 100 Adjusted Interest Rate (AIR) Total Return futures provide total return exposure with an overnight floating rate built in, using SONIA as the financing reference rate. 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.

Learn more

About the Products

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.
Adjusted Interest Rate (AIR) Total Return futures are Total Return futures that have a built-in floating rate to accommodate the financing costs associated with funding the equity index exposure, now available on the S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average and FTSE 100.
All contracts trade as Basis Trade at Index Close (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
S&P 500 AIR Total Return futures	SPTR Index	AST	ASR	AXWA Index	1AYT
FTSE 100 AIR Total Return futures	UKXDUK	AFT	AFR	AFTA Index	FAT
Nasdaq-100 Adjusted Interest Rate Total Return futures	XNDX Index	AQT	AQR	QATA <Index>	A2T
Russell 1000 Adjusted Interest Rate Total Return futures	RU10INTR Index	ART	ARR	MATA <Index>	TRA
Russell 2000 Adjusted Interest Rate Total Return futures	RU10INTR Index	A2T	A2R	RATA <Index>	A2T
Dow Jones Industrial Average Adjusted Interest Rate Total Return futures	DJITR Index	ADT	ADR	DATA <Index>	ADT

Benefits

Capital efficiency with low initial margin and dividend risk curtailed
Flexibility of vanilla and carry-adjusted contracts
Trading convention reminiscent of the OTC TRS market through the use of BTIC

Around-the-clock access
Security of central clearing to mitigate counterparty risk
Cross-margining with standard and E-mini S&P 500 index futures and options and other benchmark CME equity products

Total Return Index Futures BTIC Block Trade Example

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:

December 2019 S&P 500 Total Return Index futures
- BTIC block trade eligible contract
- BTIC block trade entry symbol TRBZ9, not the regular contract symbol TRIZ9
A basis/price of -1.55
- Negotiated and traded in 0.05 index point increments, the minimum price increment (tick size) of the TRBZ9 contract, as required.
250 contracts
- Meets the minimum BTIC Block trade threshold as required. Please note that this is a 250 contract minimum, not a clip size, where any number of contracts equal to or greater than the contract specified minimum block trade threshold is acceptable.

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.

Parties report the BTIC Block trade to CME ClearPort or to the GCC as TRBZ9 500x @ -1.55.
Suppose that the closing SPTR index level is 5776.28. A futures position of TRIZ9 500x @ 5774.73 (i.e. 5776.28 + (-1.55)) will be created.

Vanilla S&P 500 Total Return Index futures are also BTIC-eligible and follow these same general steps.

More in Equity Index products

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

Markets Home

Market Data Home

Services Home

Insights Home

Education Home