- How does AIR S&P 500 Total Return (SOFR) futures work?
- What impact does this new contract have on legacy AIR Total Return futures?
- Why did CME Group list this product?
- Does CME Group plan on delisting the EFFR version?
- Are AIR TRF (EFFR) listed side by side against AIR TRF (SOFR)?
- Will CME Group offer AIR TRF (SOFR) contracts on additional indices?
- What are the product codes for the AIR TRF (SOFR) contract?
1. How does AIR S&P 500 Total Return (SOFR) futures work?
AIR Total Return futures on U.S. indices are designed to provide total return exposure with an overnight floating rate built in. The contract provides similar economics to an equity index total return swap with futures’ margin efficiency. The model for the new AIR S&P 500 Total Return (SOFR) futures remains the same; however, the new product will use SOFR as the embedded rate instead of the Effective Federal Funds Rate (EFFR).
You can find more details about the methodology in the Adjusted Interest Rate (AIR) Total Return Futures Explained Whitepaper.
View AIR S&P 500 Total Return (SOFR) futures to find detailed contract specification, quotes and more.
2. What impact does this new contract have on legacy AIR Total Return futures?
There are no changes other than to the name to indicate the embedded interest rate being used. The legacy product has become AIR S&P 500 Total Return futures (EFFR).
3. Why did CME Group list this product?
As SOFR is the preferred industry benchmark rate for short-term U.S. overnight financing, we added a SOFR-based AIR TRF contract to complement the EFFR contract and provide more flexibility for managing swap exposure.
4. Does CME Group plan on delisting the EFFR version?
No. CME Group does not intend to delist the EFFR version.
5. Are AIR TRF (EFFR) listed side by side against AIR TRF (SOFR)?
Yes. The initial listing for the SOFR version will be for December 2026 with annual expirations through December 2033. We may look to expand the SOFR-based product’s listing schedule at a later date.
6. Will CME Group offer AIR TRF (SOFR) contracts on additional indices?
CME Group may look to expand the AIR TRF (SOFR) Index offering beyond the S&P 500 at a later date based on continued client demand, but not at this stage.
7. What are the product codes for the AIR TRF (SOFR) contract?
| Globex | Bloomberg | Refinitiv | |
|---|---|---|---|
| Adjusted Interest Rate S&P 500 Total Return Index (SOFR) futures | ASPR | TVOA Index | RAPS |
| BTIC on Adjusted Interest Rate S&P 500 Total Return Index (SOFR) futures | ASPT | TXOA Index | POAT |
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
