CME and CBOT - Adjusted Interest Rate (AIR) - Total Return Futures

Normal Daily Settlement Procedure

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: 

1. The sum of accrued daily overnight financing until settlement.

2. 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:

Tier 1:  Each contract month settles to its own volume-weighted average price (VWAP) of all CME Globex and CME ClearPort transactions that meet reasonability thresholds and occur during the settlement period, rounded to the nearest tradable tick. Calendar spreads executed on CME ClearPort will be used in the derivation of each month’s settlement using the individual leg prices entered for this transaction.

Calendar spreads executed on Globex will not be used in the derivation of daily settlements due to CME Globex leg assignment protocol.

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

1. 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.

2. 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