AIR Futures

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.

Dates Available

AIR Futures data is available for the following Indices and time frames:

Index

Historical Data Available

Index

Historical Data Available

S&P 500

09/18/2020 - Present

FTSE 1000

06/07/2021 - Present

Sample Files 

Dataset

Sample File

Dataset

Sample File

AIR Futures  - Top of Day Early

3/31/2021

AIR Futures -  Top of Day Final

3/31/2021

AIR Futures -  Complete Early

3/31/2021

AIR Futures -  Complete Final

3/31/2021

 

 


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FAQ

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?

AIR Futures  - Top of Day Early

10am CST

AIR Futures -  Top of Day Final

6pm CST

AIR Futures -  Complete Early

10am CST

AIR Futures -  Complete Final

6pm CST

 

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
the key accrued financing values for the USD-denominated contracts. This file is
published as soon as possible after the Fed Funds benchmark interest rate becomes
available.


Use the final top-day file to obtain the final values for the current business day for
the index and the daily settlements for the USD-denominated BTIC and cleared
contracts, and/or to obtain the preliminary values of accrued financing for the next
business day

 

What is the Complete File?

At each of these two points in time, use the complete file if in addition to the current
and next-day data, you want the complete history of each business day’s data for
each contract, starting with its first day of trading.

Field Name

CSV Column

Example Value

Description 

Field Name

CSV Column

Example Value

Description 

CO

A

CME

Clearing Organization

Exch

B

CME

Exchange

BTICSpreadCode

C

AST

BTIC Spread (Traded As) Product Code

MarkerCode

D

ASM

Product Code that holds the marker (index) price

IndexCode

E

SPTR

Index Code

FuturesCode

F

ASR

Futures (Cleared As) Product Code

Period

G

202103

Contract Period Code (for example, 202012)

FDT

H

6/23/2020

First day of trading 

SDT

I

3/19/2021

Clearing settlement date

BusDate

J

12/7/2020

Exchange Business Date

PrevBusDate

K

12/4/2020

Previous Exchange Business Date

ValueDate

L

12/9/2020

Equity Settlement Date for Exchange Business Date

PrevValueDate

M

12/8/2020

Equity Settlement Date for Previous Exchange Business Date

FundingDays

N

1

Number of Funding Days

FundingAnn

O

360

Annualization factor for funding

SettleValueDate

P

3/23/2021

Equity Settlement Date for Futures Clearing Settlement Date

DTM

Q

104

Days to Maturity

MatAnn

R

360

Annualization factor for time to maturity

IndexPxPrev

S

7634.77

Index Price previous exchange business day

FundingRate

T

0.09

Funding Rate, in percent

DailyFunding

U

0.0190869

Daily Financing Cost

AccruedFunding

V

1.3736056

Accrued Financing Cost

BTICSpreadSettle

W

 

*BTIC Spread contract settlement Price, in basis points

IndexSettle

X

 

*Total Return Equity Index daily settlement

SpreadAdj

Y

 

*Financing Spread Adjustment

FuturesSettle

Z

 

*Futures Settlement Price

 

 

 *Refers to fields that are not populated for a given business day until they are final.

 

 

 

 

 

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