Total Return Futures - Frequently Asked Questions

Expanded Maturities for S&P 500; New Futures on Nasdaq, Dow Jones and Russell

1. What product enhancements is CME making to Total Return Index Futures?

Effective for trade date December 3, 2018, and pending all regulatory review periods, CME will extend the listing cycle for S&P 500 Total Return Index futures and introduce total return futures for the other major U.S. index products as shown in the table below.

Product Underlying Index Listing Cycle Prior to Dec. 3, 2018 Listing Cycle Effective Dec. 3, 2018
S&P 500 Total Return futures SPTR Index 5 quarterly expirations* 13 quarterly expirations
4 serial month expirations
3 additional annual expirations**
Nasdaq-100 Total Return futures XDNX Index N/A 5 quarterly expirations*
Russell 1000 Total Return futures RU10INTR Index
Russell 2000 Total Return futures RU20INTR Index
Dow Jones Industrial Average Total Return futures DJITR Index

*March Quarterly Cycle (Mar, Jun, Sep, Dec)
**Annual expirations refer to December 3rd Friday expirations

2. What are the contract specifications for the Total Return Index Futures?

Product S&P 500 Total Return Futures Dow Jones Industrial Average Total Return Futures NASDAQ 100 Total Return Futures Russell 1000 Total Return Futures Russell 2000 Total Return Futures
Trading Mechanism Tradeable via BTIC only (Globex and ex-pit)
CME Product Codes TRB (BTIC/Tradeable) TRI (Outright/Non-Tradeable) DTT (BTIC/Tradeable) DTR (Outright/Non-Tradeable) N1T (BTIC/Tradeable) N1R (Outright/Non-Tradeable) R1B (BTIC/Tradeable) R1R (Outright/Non-Tradeable) R2T (BTIC/Tradeable) R2R (Outright/Non-Tradeable)
Contract Multiplier $25 $2 $10   $10 $10
Minimum Tick BTIC (Tradeable)   Outright (Non-Tradeable)   0.05 index points ($1.25 per contract)    

0.25 index points ($6.25 per contract)
  0.5 index points ($1 per contract)

5 index points ($10 per contract)
  0.1 index points ($1 per contract)

1 index point ($10 per contract)
 0.1 index points ($1 per contract)

1 index point ($10 per contract)
0.1 index points ($1 per contract)
 
1 index point ($10 per contract)
Listing Cycle 13 quarterly expirations* 4 serial month expirations 3 additional annual expirations** 5 quarterly expirations*
Final Settlement Cash settled to SOQ of 3rd Friday of Contract Month
Termination of Trading 4pm ET on day prior to SOQ determination
Block Minimum 500 500 500 50 50

*March Quarterly Cycle (Mar, Jun, Sep, Dec)
**Annual expirations refer to December 3rd Friday expirations

View the full contract specifications here.

3. For the new total return indices (Nasdaq, Dow Jones and Russell), which contract expirations will be listed and available for trading on December 3?

The March 2019 contract will be the first expiration listed for the new Total Return futures (Nasdaq, Russell 1000, Russell 2000, Dow). Effective December 3, the following expirations will be listed and available to trade:

March 2019
June 2019
Sep 2019
Dec 2019
March 2020

4. Which trade types are available for Total Return futures?

Total Return futures can be traded as Basis Trade at Index Close (BTIC) contracts on CME Globex as well as via block trades on CME ClearPort. Please note, as is the case with current S&P 500 Total Return futures, the outright futures are not eligible for trading.

Additionally, starting December 3 for S&P 500 Total Return futures, participants can execute BTIC spread trades between two expirations on CME Globex and CME Direct.

5. How are Total Return futures final settlement values determined?

The final settlement value for the expiring contract will be equal to the  Special Opening Quotation (SOQ) for the corresponding total return index as determined on the third Friday of the contract expiration month.

6. Will spreads be listed? Which spreads will be listed at a given time?

Yes, spreads will be listed for S&P 500 Total Return Index futures. More specifically, CME will list all combinations of intracommodity BTIC spreads on CME Globex at a given time. BTIC spreads can also be executed as blocks through CME Direct.

7. What are the codes for these products?

Index Futures Contracts

Underlying Index
(Bloomberg)

CME BTIC Ticker (Tradeable)

CME Outright Ticker (Non-Tradeable)

Bloomberg BTIC Front Month

Bloomberg Outright

TR-RIC Root

S&P 500 Total Return futures

SPTR Index

TRB

TRI TVBA Index

SRTA Index

0#TBR

Nasdaq-100 Total Return futures

XNDX Index

N1T

N1R BNRA Index

TNRA Index

0#1N1T

Russell 1000 Total Return futures

RU10INTR Index

R1B

R1R RBYA Index

RTDA Index

0#1R1B

Russell 2000 Total Return futures

RU20INTR Index

 

R2T

R2R RRTA Index

RTBA Index

0#1R2T

Dow Jones Industrial Average Total Return Index Return futures

DJITR Index

DTT

DTR

BTDA Index

 

RDRA Index

0#DTD

8. Will there be any changes to the fee schedule?

Yes, a new CME fee schedule for the longer-dated maturities will be introduced to accompany the extended listing cycle of S&P 500 Total Return Futures. Effective December 3, 2018, CME will introduce differentiated transaction fees based on the remaining time to expiration for the contract traded. There will be three fee buckets based on the difference (in months) between trade date and contract’s expiration date.  Please note there are no changes to current fees for trading those contracts that are in the first bucket with less than 24 months to expiration. Please also note that Dow Total Return Futures will be charged according to the CBOT fee schedule.

Months to Expiration Fee Member Fee (106.J Equity Member Firms) Non-Member Fee
<24 months 1x (current fees) $1.84 $2.15
24-59 2x $3.68 $4.30
60+ 4x $7.36 $8.60

Example: On trade date December 3, 2018, the S&P 500 Total Return futures expirations would fall into the following fee buckets:

Trade date December 3, 2018

Contract Months to Expiration Fee
Dec-18 0 1x
Jan-19 1 1x
Feb-19 2 1x
Mar-19 3 1x
Apr-19 4 1x
May-19 5 1x
Jun-19 6 1x
Sep-19 9 1x
Dec-19 12 1x
Mar-20 15 1x
Jun-20 18 1x
Sep-20 21 1x
Dec-20 24 2x
Mar-21 27 2x
Jun-21 30 2x
Sep-21 33 2x
Dec-21 36 2x
Dec-22 48 2x
Dec-23 60 4x
Dec-24 72 4x

9. Will fees change intramonth for a given expiration?

No, fees for a given contract will not change intramonth. Because the time to expiration is based on the difference, in months, between trade date and contract expiration date, fees may only change on the first of the month.

Example: After the December 2018 contract expires, there are no changes other than the listing of the March 2022 contract; all other contracts remain in the same fee bucket until the next month.

Trade date December 24, 2018

Contract Months to Expiration Fee
Jan-19 1 1x
Feb-19 2 1x
Mar-19 3 1x
Apr-19 4 1x
May-19 5 1x
Jun-19 6 1x
Sep-19 9 1x
Dec-19 12 1x
Mar-20 15 1x
Jun-20 18 1x
Sep-20 21 1x
Dec-20 24 2x
Mar-21 27 2x
Jun-21 30 2x
Sep-21 33 2x
Dec-21 36 2x
Mar-22 39 2x
Dec-22 48 2x
Dec-23 60 4x
Dec-24 72 4x

10. What are the margin requirements for Total Return futures?

The initial margin estimate for S&P 500 Total Return Index futures contract is approximately $4,500 (~3.2% of the contract notional value). Below are the initial margin estimates as of November 9, 2018. Please note margin estimates are subject to change.

  • S&P 500 Total Return Index Futures: $4,500 (~3.2% of the contract notional value)
  • Nasdaq 100 Total Return Index Futures - $4,800 (~6.0% of the contract notional value)
  • Russell 1000 Total Return Index Futures - $4,100 (~4.7% of the contract notional value)
  • Russell 2000 Total Return Index Futures - $4,150 (~5.4% of the contract notional value)

11. What are the available margin credits for offsetting positions between the Total Return futures and CME’s major U.S. benchmark index futures?

Margins and margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of November 9, 2018.

  • S&P 500 Total Return versus E-mini S&P 500 offset at a 1:1 ratio: 85% credit
  • S&P 500 Total Return versus E-mini Dow Jones offset at a 1:1 ratio: 80% credit
  • S&P 500 Total Return versus E-mini Nasdaq-100 offset at a 1:1 ratio: 75% credit
  • S&P 500 Total Return versus E-mini Russell 2000 offset at a 2:3 ratio: 75% credit
  • S&P 500 Total Return versus E-mini Russell 1000 offset at a 1:2 ratio: 80% credit

 

  • Nasdaq-100 Total Return versus E-mini S&P 500 offset at a 2:1 ratio: 75% credit
  • Nasdaq-100 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 60% credit
  • Nasdaq-100 Total Return versus E-mini Nasdaq-100 offset at a 2:1 ratio: 80% credit
  • Nasdaq-100 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 70% credit
  • Nasdaq-100 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 80% credit

 

  • Russell 1000 Total Return versus E-mini S&P 500 offset at a 3:2 ratio: 80% credit
  • Russell 1000 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 80% credit
  • Russell 1000 Total Return versus E-mini Nasdaq-100 offset at a 3:2 ratio: 75% credit
  • Russell 1000 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 75% credit
  • Russell 1000 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 85% credit

 

  • Russell 2000 Total Return versus E-mini S&P 500 offset at a 2:1 ratio: 80% credit
  • Russell 2000 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 70% credit
  • Russell 2000 Total Return versus E-mini Nasdaq-100 offset at a 2:1 ratio: 70% credit
  • Russell 2000 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 85% credit
  • Russell 2000 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 75% credit

 

  • Dow Jones Total Return versus E-mini S&P 500 offset at a 1:1 ratio: 80% credit
  • Dow Jones Total Return versus E-mini Dow Jones offset at a 1:1 ratio: 85% credit
  • Dow Jones Total Return versus E-mini Nasdaq-100 offset at a 1:1 ratio: 60% credit
  • Dow Jones Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 70% credit
  • Dow Jones Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 80% credit

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Total Return Index Futures

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