Total Return Index Futures

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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 on the S&P 500 Index with the margin efficiency of a futures contract.

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.

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More on AIR Total Return futures

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 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
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

RU20INTR 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.

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