CME’s Adjusted Interest Rate (AIR) Total Return futures provide total return exposure with an 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.
AIR futures are typically quoted as such swaps are, by specifying the daily interest rate for the financing leg as a differential in basis points from a benchmark interest rate – in effect, a form of BTIC trading. CME’s dollar-denominated AIR futures use the Fed Funds benchmark, and the GBP-denominated contracts use Sonia. Every morning, when these rates are published, CME calculates and publishes the accrued funding value for each AIR contract. The GBP values are published at about 9:04am London time, and the USD values at about 9:04am New York time.
The AIR datafiles published in the morning – the “Final” files -- provide the final value of the accrued funding values for the current business day, together with all data used in their derivation. The files published in the afternoon – the “Next-Day” files – provide the settlement prices for today’s contracts as well as the preliminary value for accrued funding for the next business day.
In addition to CME DataMine, the AIR datafiles are available on CME’s website, public and private FTP sites, and via email, and the accrued funding values are also published via CME’s Reference Data API (RDAPI) and the Settlements & Valuation (“S&V”) Channel on CME’s market data platform. Full details are available at cmegroup.com/airtrf.
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Dates Available
AIR Futures data is available for the following Indices and time frames:
Index | Historical Data Available |
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S&P 500 | 09/18/2020 - Present |
FTSE 1000 | 06/07/2021 - Present |
FAQ
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Where can I find collateral on how to understand this data? https://www.cmegroup.com/airtrf What is the file format of this data? The files come in CSV format. How many files are available per day? There will be 8 total files available per day, with both indices publishing 4 respectively. What is the delivery frequency of the data? Two delivery times daily. What time will the files be delivered each day?
What is the average daily file size? Files range from 4KB to 128KB. Are the files compressed? No Are sample files available? Yes. Is there a certain process I must use to be able to use the data? If you have pre-sales questions please reach out to CMEDataSales@cmegroup.com What reports are available for distribution? Please inquire with CMEDataSales@cmegroup.com What is Early and Final? Use the early top-day file to obtain the final values for the current business day for
What is the Complete File? At each of these two points in time, use the complete file if in addition to the current |
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*Refers to fields that are not populated for a given business day until they are final. |