FTSE 100 Total Return Futures

Moving futurization

The Index Total Return Future (TRF) is an exchange-listed solution for implicit equity repo trading on the FTSE 100 index. The index futures complement the TRF product suite on Eurex. With this listed solution for implied equity repo trading, the equity index derivatives portfolio continues to grow. This illustrates our leading expertise in this segment.

Innovative TRF offering is key

TRFs aim to replicate the returns of traditional bilaterally negotiated equity or equity index-based swaps. Therefore, FTSE 100 index-linked TRFs trading help to move the market from OTC to listed derivatives. 



Key Benefits

  • Reduce balance sheet costs
    TRFs aim to cost-effectively replicate the payoff profile of OTC Total Return Swaps, creating a positive effect on capital requirements.
  • Portfolio margining
    Trade TRFs with other Equity and Equity Index ETDs within PRISMA, e.g., EURO STOXX® for high netting effects up to 80%.
  • Increased transparency
    Based on a standardized set of contract specifications (standardized maturities), on screen liquidity providers, and having daily published settlement prices.
  • Risk mitigation
    Provides the widest toolkit to support the structured products, allowing the hedging of delta, dividend, and repo exposure on the two biggest underlying benchmarks in Europe.

Product Specifications

  • Underlying indices
    FTSE 100 Index (UKX)
    FTSE 100 Cumulative Dividend Points Index
    Sterling Overnight Index Average (SONIA)
  • Contract multiplier
    GBP 10 per index point
  • Minimum TRF spread change
    +/- 0.5 basis points
  • Contract months
    Up to ten years: Twelve quarterly months of the March, June, September and December cycle and the following seven annual December expiries
  • Last trading day
    final settlement day (third Friday of each expiration month)
  • Trading hours

    Order book (TAC): 10:15 – 17:25 CET
    Trade Entry Services (TAIC & TAM): 10:15 – 22:00 CET 
    Last trading day trading until 17:30 CET

Products

Market Maker

CompanyMember IDContactPhone Number

Barclays

BZWFR

Rupert Harbig

Nathaniel Coleman

+ 44 20 7773 6784

+ 44 20 7773 9622

BNP Paribas Arbitrage

BNAPA

Ankur Taparia

+44 20 7595 8715

Goldman Sachs

GSIEB

Filip Hagman

+44 20 7774 3087

JP Morgan

JPDFR

Omar Bennani

+44 20 7134 3735

Société Générale

SOGFR

Mhand Bouchefra
Guillaume Staedel

+34 915 89 50 30

Find out how Total Return Futures work

What is a Total Return Future and what are its key features?

Regulatory changes are driving OTC business to listed solutions. The Eurex Total Return Future (TRF) on the FTSE 100 index is a prime example of this futurization process. In this video, we explain the concept of Total Return Futures and its key features.

How does the interaction with the market work?

Total Return Futures enable investors to trade the implied repo rate on the FTSE 100 index. In this video, we explain how this calculation of implied repo works in TRFs.

What are the key differences between a TRS and a TRF?

Total Return Futures are the listed alternative to Total Return Swaps. In this video, we explain the key differences between the two products.

Contacts

Sales

Nicolas von Kageneck

T +33 1 55276-7 76

nicolas.von.kageneck@deutsche-boerse.com

Marketing

Cora Meinecke

T +49 69 211-1 34 54

cora.alexandra.meinecke@eurex.com

Equity & Index Product Design

Stuart Heath

T +44 207 8 62-72 53

Equity & Index Product Design

Elena Marchidann

T +44 207 862 7265

elena.marchidann@eurex.com