06 Jan 2023

Eurex

Total Return Futures set a record year in 2022

Total Return Futures become a success story

The Open Interest in Index Total Return Futures (TRF) saw, percentage-wise, a smaller expiry in the Dec-22 expiry compared to earlier expiries, with circa one-sixth of notional value expiring leaving a notional value of circa EUR 100bn.

December saw continued strength in the FTSE 100 Index TRF and the EURO STOXX® Banks TRF with an ADV of circa 6,000 contracts. This is a threefold increase on the year-to-date average and a record month for the FTSE product with 126K traded contracts.

In SX5E, the traded volumes in the TRF at 34k ADV in December were slightly lower than the yearly average. However, we still see negative spreads at the front of the curve, i.e., in the Mar-23 expiry (with 262k in open interest), suggesting that the market was still short-positioned over year-end, with a similar status in the SX7E TRF. 

Overall, 2022 proved a record year for Index TRFs, with more than 12 million contracts traded, representing more than EUR 550bn in notional volumes.


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