Adjusted Interest Rate (AIR) Total Return futures on U.S. Indices
Total return equity index exposure, now enhanced with a floating rate.
Adjusted Interest Rate (AIR) Total Return futures on U.S. indices are designed to give you total return exposure with an Effective Fed Funds Rate (EFFR) overnight floating rate built in. The enhanced contract design provides similar economics to an equity index total return swap with the margin efficiency of listed futures.
What's new? The listing schedule for AIR S&P 500 Total Return Index (EFFR) futures has been expanded to include monthly expiries. Manage risk with greater flexibility using expiries that better align with your trading strategy.
- FAQ: AIR S&P 500 Total Return (SOFR) futures
- FAQ: Adjusted Interest Rate S&P 500 Total Return (EFFR) futures
- AIR Total Return Futures Explained (T+1)
- AIR Total Return Futures Explained (T+2)
- FTSE 100 AIR Total Return futures
- Airing Out the Differences Between AIR Total Return Futures and Index Forwards
- AIR Supply: boosting capital efficiency with cleared derivatives
Capital-efficient total return equity index swap exposure with a low initial margin and curtailed dividend risk.
Trading convention reminiscent of the OTC TRS market through use of Basis Trade at Index Close (BTIC) transactions.
Cross margining with benchmark CME Group Equity Index products, including E-mini S&P 500 futures and options.
Expands your trading flexibility with choice of vanilla and new AIR Total Return futures contracts.
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 (EFFR).
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.
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.
View a summary and preliminary contract specifications that you can download, share, and print.
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.
Learn about Basis Trade at Index Close (BTIC) transactions available at CME Group.
Take a breath of AIR: Get to know AIR Total Return futures
View our whitepaper to get an understanding of AIR Total Return futures, including a detailed explanation of contract valuation, specifications, and use cases.
FAQ: AIR S&P 500 Total Return (EFFR) futures
Get answers to frequently asked questions about Adjusted Interest Rate (AIR) Total Return futures, including product details and trading hours.
Airing Out the Differences Between AIR Total Return Futures and Index Forwards
Learn about the benefits of using AIR Total Return futures in place of OTC equity total return swaps (TRS), or index forwards.
Using Adjusted Interest Rate Total Return futures to trade equity financing levels along the curve
Learn how trading calendar spreads of AIR TRFs can help investors isolate the financing spread differential for equity financing level trades.
AIR Supply: boosting capital efficiency with cleared derivatives
Learn how market participants can take advantage of capital efficiencies by trading Adjusted Interest Rate Total Return futures from CME Group.
Accrued financing data for AIR Total Return futures is published each business day at about 8:35-8:40 a.m. CT. There are multiple ways to get access:
- Bloomberg: Bloomberg: via ID field P2937 ("ACCRUED_FUNDING")
- QuikStrike calculator: The Accrued Financing number is populated within the calculator available here.
- AIR Datafiles:
- Via EREP: see report IDs AIR_TOP and AIR_COMP
- Via CME DataMine at datamine.cmegroup.com/#/datasets/cme.air
- RDAPI: Access data via Reference Data API (“RDAPI”). View details here.
- Settlements & Valuation Channel: Via the Data Insights: Settlements & Valuation Channel ID 251, part of CME Group’s Market Data Platform. View details here.
- Refinitiv: DLY_FUND (FID #10335) holds the calculated funding rate from the previous day underlying index and ACC_FUND (FID #10337) holds the accumulated daily funding since product launch.
Contract Name |
Adjusted Interest Rate Nasdaq-100 Total Return (EFFR) futures |
Adjusted Interest Rate Dow Jones Industrial Average Total Return (EFFR) futures |
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Contract unit |
$25 x S&P 500 AIR Total Return Index Price |
$10 x Nasdaq-100 AIR Total Return Index Price |
$10 x Russell 1000 AIR Total Return Index Price |
$10 x Russell 2000 AIR Total Return Index Price |
$2 x DJIA AIR Total Return Index Price |
$25 x S&P 500 AIR Total Return Index Price |
Underlying index |
S&P 500 Total Return Index (SPTR) |
Nasdaq 100 Total Return Index (XNDX) |
Russell 1000 Total Return Index (RU10INTR) |
Russell 2000 Total Return Index (RU20INTR) |
DJIA Total Return Index (DJITR) |
S&P 500 Total Return Index (SPTR) |
Reference rate |
Effective Fed Funds Rate (EFFR) |
Secured Overnight Financing Rate (SOFR) |
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Trading quotation |
TRF spread in basis points expressed as an annualized number | |||||
Trading hours |
CME Globex: BTIC: Sunday - Friday 6:00 p.m. - 4:00 p.m. Eastern Time (ET) |
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Minimum price fluctuation |
0.5 Basis Points in terms of TRF Spread The resultant cleared AIR TRF future price will be rounded to 2 decimals. |
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Product code |
CME Globex: ASR ASR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: AQR AQR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ARR ARR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: A2R A2R is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ADR ADR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
CME Globex: ASPR ASPR is not tradable (except as BTIC) and will be available only for margining and position assignment (EFRP) |
Listed contracts |
Quarterly contracts (Mar, Jun, Sep, Dec) listed for 13 consecutive quarters, 3 non-Jan serials, 1 nearest Jan contract and 7 additional Dec quarterly contracts |
Quarterly contracts listed for the 9 nearest quarters on the Mar Quarterly cycle (Mar, Jun, Sep, and Dec) and 5 additional Dec contract months. |
8 Dec quarterly contracts |
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Settlement method |
Financially settled | |||||
Termination of trading |
Trading terminates on the 3rd Friday of the contract month. BTIC: Trading terminates on the business day prior to 3rd Friday of the contract month. |
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Settlement procedures |
Daily settlement price of contract shall be determined based on the following formula: = (SPTRt - AFt)+SPTRt × 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: SPTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (XNDXt-AFt)+XNDXt× 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: XNDXTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (RU10INTRt-AFt)+RU10INTRt× 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: RU10INTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (RU20INTRt-AFt)+RU20INTRt× 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: RU20INTRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (DJITRt-AFt)+DJITRt× 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: DJITRTSOQ-AFT |
Daily settlement price of contract shall be determined based on the following formula: = (SPTRt - AFt)+SPTRt × 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: SPTRTSOQ-AFT |
Block Minimum |
250 |
250 |
50 |
50 |
250 |
250 |
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