FTSE 100 Adjusted Interest Rate (AIR) Total Return futures
Expand your horizons with total return exposure to the FTSE 100 Index
Adjusted Interest Rate (AIR) Total Return futures on the FTSE 100 Index are designed to give you total return exposure with an overnight floating rate built in, using SONIA as the financing reference rate. Offering European equity benchmark exposure, the enhanced contract design provides similar economics to an equity index total return swap with the margin efficiency of listed futures.
Reduce UMR-related risks
Capital-efficient total return equity index swap exposure with a low initial margin and curtailed dividend risk.
Replicate OTC TRS market exposure
Trading convention reminiscent of the OTC TRS market through use of Basis Trade at Index Close (BTIC) transactions.
Increase capital efficiency
Cross margining with standard and E-mini S&P 500 futures and options and other benchmark CME Group Equity Index products.
Add versatility to manage Total Return exposure
Expand your trading choices with our growing suite of Total Return futures, including vanilla Total Return futures, S&P 500 AIR TRF, and new FTSE 100 AIR TRF.
Here is the basic premise behind the contract. 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 that follow this basic formula:
- Equity index value – will always be the official index daily close.
- Accrued financing – represents the sum of the daily accrued financing from the product’s listing date, accrued daily based upon the benchmark reference rate (SONIA).
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.
Find a detailed methodology of the contract in the resources section below.
Accrued financing data for S&P 500 AIR Total Return futures is published each business day at about 10:35-10:40 a.m. London Time. There are multiple ways to get access:
- QuikStrike calculator: The Accrued Financing number is populated within the calculator available here.
- AIR Datafiles: View easy-to-use CSV-format datafiles (here’s complete documentation):
- With any web browser at cmegroup.com/ftp/settle/air
- Via anonymous FTP at ftp://ftp.cmegroup.com/pub/settle/air
- Via the Firm FTP Server (SFTP), in the pub/settle/air directory
- Via email: write us at ccs@cmegroup.com to sign up.
- Via EREP: see report IDs AIR_TOP and AIR_COMP
- Via CME DataMine at cmegroup.com/#/datasets/cme.air
- Settlements & Valuation Channel: Via the Data Insights: Settlements & Valuation Channel ID 251, part of CME Group’s Market Data Platform. View details here.
FTSE 100 Adjusted Interest Rate Total Return futures: Explained
Get a detailed description of how the AIR TRF contracts works: the mechanics, the cash flows, use case examples, and more.
Learn about Basis Trade at Index Close (BTIC) transactions at CME Group
Total Return Index futures at CME Group
Explore the full suite of Total Return Index futures you can trade from the CME Group Equity Index product line-up.
AIR Total Return futures on the S&P 500 Index
Find out more about AIR Total Return futures on the S&P 500 Index.
Take a breath of AIR: Get to know S&P 500 AIR Total Return futures
View our whitepaper to get an understanding of S&P 500 AIR Total Return futures, including a detailed explanation of contract valuation, specs, and use cases.
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Get answers to frequently asked questions about FTSE 100 AIR Total Return futures, including product details and trading hours. Please, press the button to start editing this field.
Contract Specifications
View full contract specsContract unit |
£10x AIR FTSE 100 Total Return Index Price |
|---|---|
Underlying index |
FTSE 100 Total Return Index (UKXDUK) |
Reference rate |
Sterling Overnight Index Average (SONIA) |
Trading quotation |
TRF spread in basis points expressed as an annualized number |
Trading hours |
CME Globex: Outright: Sunday - Friday 5:00 p.m. - 4:00 p.m. Central Time (CT) Clearport: Outright: Sunday - Friday 5:00 p.m. - 5:45 p.m. CT |
Minimum price fluctuation |
0.5 Basis Points in terms of TRF Spread Outright futures = 0.01 index points |
| Product code | CME Globex: AFR CME ClearPort: AFR Clearing: AFR BTIC: AFT |
Listed contracts |
Quarterly contracts listed for 9 quarters and 5 additional December contract months. |
Settlement method |
Financially settled |
Termination of trading |
Trading terminates on the 3rd Friday of the contract month. |
Settlement procedures |
Daily settlement price of contract shall be determined based on the following formula: = (UKXDUKt - AFt)+UKXDUKt × τt× stsettle where the Spread Settle (stsettle) for the day shall be determined based on market activities (quotes, traded price) or prior day settle if no market activities, and AFt is the sum of accrued daily overnight financing until settlement. Final settlement price shall be determined based on the following formula: UKXDUKTUK EDSP-AFT |
Block minimum |
50 |
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