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Daily settlements for Adjusted Interest Rate (AIR) Total Return futures (ASR, AQR, A2R, ADR, ARR, AFR) are based on applying the following components to the underlying total return index:
The sum of accrued daily overnight financing until settlement.
Trading activity of the corresponding BTIC on CME Globex and CME ClearPort during the settlement period. The settlement period is defined as the entire trade date typically beginning at 17:00 CT for CME Globex and 18:00 CT for CME ClearPort and ending at 15:00 CT the following day.
BTIC Component Derivation:
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Tier 2: In the absence of trading on CME Globex and/or CME ClearPort during the settlement period, the prior day’s settlement prices are used to determine settlements
If the prior day’s settlement price is outside of the CME Globex bid/ask spread, then the contract month settles to the nearest bid or ask price.
If the prior day’s settlement price is within the CME Globex bid/ask spread, or if a CME Globex bid/ask spread is not available, then the contract month settles to the prior day’s settlement price.
Additional information regarding the pricing of the Adjusted Interest Equity Futures is located here: https://www.cmegroup.com/trading/equity-index/us-index/air-total-return-index-futures.html
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