Index Total Return Futures
The Index Total Return Future (TRF) is an exchange-listed solution for implicit equity repo trading on the EURO STOXX 50® index and 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 and cost-efficient product
TRFs aim to replicate the returns of traditional bilaterally negotiated equity or equity index-based swaps. Therefore, EURO STOXX® and FTSE 100 index-linked TRFs trading help to move the market from OTC to listed derivatives.
Our products
EURO STOXX 50® Index Total Return Futures (TESX)
EURO STOXX® Banks Total Return Futures (TESB)
EURO STOXX® Select Dividend 30 Index Total Return Futures (TEDV)
iSTOXX® Europe Collateral Index Total Return Futures (TCBX)
iSTOXX® Europe EUR Group 1 Collateral Large Index Total Return Futures (TC1L)
FTSE 100 Index Total Return Futures (TTUK)
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. - Market access
Total Return Futures are accessible for U.S. direct market access thanks to the CFTC approval.
Assets
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.
Prices/Quotes
Market Makers
| Company | Member ID | Contact | Phone number |
Barclays | BZWFR | Nathaniel Coleman Ryan Woolwright (only STOXX®) Rupert Harbig | +44 20 7773 9622 +44 20 3134 8632 +44 20 7773 6784 |
BNP Paribas Arbitrage | BNAPA | Hugo Hillon (SX5E) Bastien Donnadieu (SX7E / SD3E) Yanis Escudero (FTSE) | +33 1 58 16 07 68 +33 1 57 43 09 10 +33 1 40 14 98 52 |
Goldman Sachs | GSIEB | Ken-Ji Low | +44 20 7051 4517 |
JP Morgan | JPMFR | Omar Bennani Gabriel Messika | +44 20 7134 3735 |
Société Générale | SOGFR | Philippe Perrier (only STOXX®) Mhand Bouchefra | +33 1 42 13 67 20 +34 915 89 50 30 |
Optiver | OPXAM | Jesse Correia | +31 20 708 7722 +31 20 708 7682 +31 20 708 7665 |
Unicredit | BVMMU | Laurent Brel Thomas Laurent | +39 02 8862 0873 +39 02 8862 0685 |
Find out how Total Return Futures work
Usage of Total Return Futures
In this video, Antoine Porcheret, Director for Equity Trading Strategy at Citi, discusses the expected progress of the usage of Total Return Futures in 2022, particularly with regards to the most popular equity financing carry trade.
Why are Total Return Futures unique
Nicolas Delhay, responsible for Structuring Retail Asia & Institutional at Amundi, discusses why Total Return Futures are unique and what specifically they provide for investors.
Evolution of Total Return Futures
Antoine Porcheret, Director for Equity Trading Strategy at Citi, elaborates on the evolving use of Total Return Futures.
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 EURO STOXX 50® 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 EURO STOXX 50® 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.
* The overnight funding rate is currently based on €STR + 0.085%. A full switch to just €STR is expected in the course of 2020.
Webcasts on demand
Contacts
