CME Group announced that its suite of Adjusted Interest Rate (AIR) Total Return futures reached an open interest (OI) record of 710,358 contracts on November 20. This represents an equivalent notional value of $224 billion, indicating significant market participation. The record highlights the growing adoption of these products by institutional investors.
The average daily volume (ADV) for AIR Total Return futures stands at a record 11,600 contracts for 2024, marking a 152% increase year-over-year. This substantial growth demonstrates increasing demand for efficient tools to manage interest rate, balance sheet, and counterparty risks. These products offer a cost-effective alternative to OTC total return swaps.
To provide clients with further precision, additional monthly expirations will become available for AIR S&P 500 Total Return futures based on the Effective Federal Funds Rate (EFFR) starting December 9. This expansion enhances flexibility for clients to better manage their equity financing risk by trading calendar spreads along the entire equity financing curve.
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