A listed solution for implied equity repo trading

Index Total Return Futures

Index TRF Products

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, STOXX® Europe 600 and FTSE 100 index as well as MSCI indexes. 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®, STOXX® Europe 600, MSCI and FTSE 100 index-linked TRFs trading help to move the market from OTC to listed derivatives.

Let’s explore the expanding universe of TRF

Index Total Return Futures (TRF) whitepaper

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Webcast (replay): Focus Day on MSCI & MSCI TRF

Access to global markets using MSCI derivatives

Watch the recordings: Focus Day on Futurization

Listed alternatives to the OTC instruments, trading Dividend Derivatives & Total Return Futures.

Traded Contracts and Open Interest in Millions (EUR)

TRF Traded Contracts in Thousands (EUR)

EURO STOXX®

FTSE

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.
Cleared volume YTM

Prices/Quotes

Product	Diff. to prev. day last	Last price	Contracts	Time
TESX	-0.28%	6,160.73	0	19:00:42
TESB	-1.00%	225.53	0	19:00:42
TEDV	-0.18%	2,371.15	0	19:00:42
TTUK	-0.66%	9,115.02	0	19:00:42
TMEM	+0.74%	631.37	0	18:35:34
TMFA	-0.84%	8,991.65	0	18:35:34
TMWO	-0.11%	12,160.89	0	18:35:34

Market Makers

Company	Member ID	Contact	Phone number
Barclays	BZWFR	Ryan Woolwright (only STOXX) Rupert Harbig	+44 20 3134 8632 +44 20 7773 6784
BNP Paribas Arbitrage	BNAPA	Syliman Abdel-Maksoud Bastien Donnadieu Yanis Escudero Ed Kalaher (only MSCI)	+33 1 43 16 89 15 +33 1 57 43 09 10 +33 1 40 14 98 52 +44 20 7595 8718
Goldman Sachs	GSIEB	Nicole Gilbert Paulo Costa	+44 20 7552 2692 +44 20 7774 2672
JP Morgan	JPMFR	Tomasz Bigo Gabriel Messika	+33 1 87 03 25 02 +33 1 87 03 26 33
Société Générale	SOGFR	Philippe Perrier (only STOXX) Mhand Bouchefra Guillaume Staedel (only FTSE)	+33 1 42 13 67 20 +34 915 89 50 30 +34 915 89 50 62
Optiver	OPXAM	Jesse Correia Brendan Fox Hans Hakkenberg	+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

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.

TRF Webcast (replay): TRFs Today - How Trading Strategies Are Evolving Among Buy & Sell Side

How hedge funds & active strategies profit from new instruments on regulated exchanges

Contacts

Damien Zinck
Equity & Index Sales America

T +1-312-544-10 51

damien.zinck@eurex.com

Stuart Heath
Equity & Index Product Design

T +44-207-8 62-72 98

stuart.heath@deutsche-boerse.com

Elena Marchidann
Equity & Index Product Design

T +44-207-8 62-72 65

elena.marchidann@eurex.com

Seo Young Kwon
Marketing

T +49-69-211-1 34 54

seoyoung.kwon@eurex.com

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