Expand your trading possibilities
Access capital-efficient total return equity index swap exposure with the margin efficiency of futures and curtailed dividend risk. Adjusted Interest Rate (AIR) S&P 500 Total Return futures based on SOFR (Secured Overnight Financing Rate) are now available.
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Key benefits
Built-in overnight rate
Get access to total return exposure enhanced with a built-in floating rate (SOFR) to accommodate financing costs.
Total return swap exposure
The trading convention is reminiscent of the OTC TRS market through use of Basis Trade at Index Close (BTIC) transactions.
Versatility to manage positions
Expand your trading flexibility with the choice of AIR TRF based on EFFR or SOFR.
Greater capital efficiency
Enjoy potential margin offsets against other benchmark Equity Index contracts.
How AIR Total Return futures work
AIR Total Return futures (TRF) have a known maturity date, and its valuation will be based on three key components: the underlying equity index, accrued financing rate and a financing spread adjustment.
AIR TRF = (Equity Index - Accrued Financing) + Financing Spread Adjustment
Equity index value
This will always be the official index daily close.
E.g. daily close price of the S&P 500 Total Return Index (SPTR).
Accrued financing
Represents the sum of the daily accrued financing from the product’s listing date, accrued daily based upon the benchmark reference rate (SOFR).
The sum is incorporated into the daily settlement of the product and netted with the equity index performance as shown above – giving the AIR TRF buyer the index exposure minus the sum of the accrued daily financing to date.
Financing spread adjustment
Represents the amount the counterparties will agree to lock into a spread +/- to the reference rate (TRF spread) for the remaining time to maturity.
The spread rate will be determined primarily by the rebate value the market ascribes to the value of the underlying index’s stocks. Thus, the TRF spread is equivalent to the spread that would be charged above or below the benchmark reference rate in an equity index swap.
Explore this product in depth
Courses to build your knowledge
If you’re new to futures, the courses below can help you quickly understand the AIR Total Return futures market.
If you're new to futures, the courses below can help you quickly understand the Adjusted Interest Rate (AIR) Total Return futures contract and start trading.
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Connect with a member of our expert Equity team for more information about our products.
