CME Group hits record numbers in Adjusted Interest Rate futures

CME Group announced that S&P 500 Adjusted Interest Rate (AIR) Total Return futures have achieved a record open interest. The average daily volume for AIR Total Return futures in 2023 has increased by a record 54% year over year, reaching 4,220 contracts. This increase signifies heightened investor interest and participation in these futures.

Delving into specifics, on Nov. 15, S&P 500 Adjusted Interest Rate (AIR) Total Return futures achieved a record open interest of 414,000 contracts, surpassing the Nov. 14 record of 408,000 contracts. The resulting open interest signifies a substantial increase of 49% year over year, representing more than $100 billion in equivalent equity index notional value. These AIR Total Return futures are accessible across various major global indices, including S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average and the FTSE 100 according to a press release by CME Group.

In relation to this success,"As evidenced by our record open interest and average daily volumes market participants are embracing these products as a listed alternative to OTC total return swaps as UMR impacts investors more broadly after Phase 6," said Paul Woolman Global Head of Equity Products at CME Group according to a press release by CME Group "We look forward to continuing to grow the volume and participation in these products to help clients meet their risk management needs."

Exploring further about AIR total return futures,AIR Total Return futures on U.S. indices provide means to gain total return exposure with an added overnight floating rate offering economic similarities to an equity index total return swap while maintaining the margin efficiency of listed futures. This design offers practical benefits, including capital-efficient exposure reduced initial margin, and controlled dividend risk. The trading convention incorporating Basis Trade at Index Close (BTIC) transactions resembles the OTC total return swap market, and cross-margining is facilitated with benchmark CME Group Equity Index products like E-mini S&P 500 futures and options according to the Adjusted Interest Rate website provided by CME Group.