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Eurex
Since Friday, 2 December 2016, Eurex, Europe's largest derivatives exchange, offers Total Return Futures on the EURO STOXX 50® Index.
11 of the 21 listed maturities (up to March 2022) have been traded by market participants. In line with current market convention the Total Return Futures trade in „spread“ in basis points and allow the implied repo rate associated with cash basket replication to be traded for the first time. All maturities are actively quoted by three Market Makers providing constant liquidity.
The new futures complement our suite of equity index derivatives and support the market in complying with new financial market legislation. Under the Basel III capital standards banks already face increased capital requirements when entering Over-the-Counter (OTC) transactions. Our Total Return Futures will offer returns analogous to Total Return Swaps; thus representing a functional replacement for these OTC instruments.
"This is exactly the right time to launch Total Return Futures. They allow the market to continue trading in the new regulatory environment with stronger capital requirements by replicating OTC products whilst introducing the liquidity and position netting available in a standardised futures “, commented Emmanuel Dray, Head of EQD Institutional Sales & Linear Trading at BNP Paribas last year.