CME: AIR TRFs reach record open interest and volume

CME Group announced that S&P 500 Adjusted Interest Rate (AIR) Total Return futures (TRFs) reached an open interest (OI) record of 414,000 contracts on November 15, surpassing the prior record of 408,000 contracts on November 14. AIR TRFs average daily volume stands at 4,220 contracts for 2023, up a record 54% year over year.

Additionally, open interest represents more than $100 billion in equivalent equity index notional value, an increase of 49% year over year.

“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, in a statement “We look forward to continuing to grow the volume and participation in these products to help clients meet their risk management needs.”


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