CME Group will launch Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures on 26 August, pending regulatory review.
AIR Total Return futures on US indices are designed to provide total return exposure with an overnight floating rate built-in. The model for the new AIR S&P 500 Total Return futures remains the same but the new product will use the Secured Overnight Financing Rate (SOFR) as the embedded rate instead of the current Effective Federal Funds Rate (EFFR).
Paul Woolman, global head of equity index products, CME Group, said: “As SOFR has become the preferred industry benchmark rate for short-term US overnight financing, the addition of a SOFR-based AIR TRF contract will complement our current offerings and provide additional flexibility for managing swap exposure.
“Year-to-date, we have seen record average daily volume of 9,800 contracts in our existing suite of AIR Total Return futures, up more than 113% year-over-year, underscoring the demand for effective and cost-efficient alternatives to OTC equivalents,” Woolman added.
AIR Total Return futures, based on the EFFR, are available across a range of major global indices – S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average, and the FTSE 100.
Launched in May 2018, CME Group SOFR futures have reached a year-to-date average daily volume of 3.3 million contracts.
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