• Removes the quarterly roll- and the dividend exposure risk
  TRFs provide access to long-term maturities while it removes the quarterly roll and dividend exposure risk that exists with EURO STOXX 50® Index Futures. Especially future rolls are historically volatile during the dense Eurozone dividend season with uncertainties on repo levels and financing risks.
• Fully fungible product
  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® Futures for high netting effects up to 80%.

Why you should trade TRFs from a buy-side perspective:

• Manage dividend risk
  Market participants trade TRFs as a substitute for the regular price index future due to the unique levels of volatility and dividend uncertainty. Given the total return nature of TRFs, price sensitivity to dividends is lower compared to price-return futures.
• Calendar spread trading on the repo term structure
  In a TRF spread, the delta position on the index cancels out, as well as the overnight funding payments. The investor's cash flow depends on the short and long-term repo levels and the spot level. The repo exposure changes linearly with the spot. This is a typical strategy used by hedge funds or absolute return funds to trade on the calendar spread of two repos with different tenors.
• Delta One beta replacement
  TRFs offer further benefits for institutional investors as a beta replacement with the short-term TRFs (1Y).
• Downside portfolio protection
  Typically, insurance companies often buy downside protection for their portfolio against a potential market downturn, i.e. long-term "out-of-the-money" puts. They may wish to hedge their repo risk by buying the long-term implicit repos through a TRF vehicle. One of the main advantages of a futures product over an OTC swap is that it increases the number of available participants.  

EURO STOXX 50® Index Total Return Futures (TESX)

iSTOXX® Europe Collateral Index Total Return Futures (TCBX)

iSTOXX® Europe EUR Group 1 Collateral Large Index Total Return Futures (TC1L)

Market Makers

• Time to switch to Total Return Futures when dividends are uncertain
  In this interview, Amy Borgquist from Goldman Sachs explains how dividend uncertainty affected the equity index futures roll and how TRFs can be an alternative to price index futures.
• The rise of TRFs - how funds use them to generate alpha
  The interview with Antoine Deix was conducted by DerivSource and dicussed how firms use TRFs, the benefits firms can gain compared with total return swaps (TRS) or index futures, and how he sees the space developing in the next year.
• Total Return Futures: practicalities of using this instrument to manage repo risks
  This short article summarizes the key messages of a DerivSource webinar on TRFs. Experts from Eurex Exchange, Citi, BFAM Partners Limited and the University of Kent disputed about the rapid rise of TRFs – the instrument to manage repo risk on equity markets.
• How Total Return Futures Deliver Margin Efficiency & Trading opportunities for Buy and Sell Side
  The Q&A with Nicolas von Kageneck and Stuart Heath highlights how market participants can incorporate listed solutions like TRFs into their trading strategies.
• Total Return Derivatives: Can Repo Emerge as a New Asset Class?
  Antoine Porcheret talks about trends on the TRS and TRF market, the main differences between both products and the key advantages of trading a listed solution.

• Eurex research – EURO STOXX 50 Index implied repo trading at Eurex
• Presentation – EURO STOXX 50 Total Return Futures
• Circular No. 011/19 - Total Return Futures: Implementation of maintenance fees for Total Return Futures on the EURO STOXX 50® Index (TESX)
• Circular No. 110/16 - EURO STOXX 50® Index Total Return Futures (TESX): Introduction of Designated Market-Making scheme, vendor product codes and mistrade parameters
• Press release - Eurex supports market participants and regulatory change with Total Return Futures
• Total Return Futures conversion parameters