Equity & Basket Total Return Futures

Eurex Exchange introduced the Equity Total Return Futures and Basket Trades of Equity Total Return Futures. The new Total Return Futures on Shares (“Equity Total Return Futures”) are meant to be the basic building block for Baskets of Equity Total Return Futures. The enhancement for trading Equity Total Return Futures (ETRF) and Baskets of Equity Total Return Futures (BTRF) is incorporated within the T7 Release 7.1. This product is added to Eurex's Total Return Futures (TRF) portfolio which currently includes the TRF on the EURO STOXX 50® (TESX) launched in 2016: Total Return Futures.

Technical implementation: 27 May 2019
Production start: 7 October 2019

Equity Total Return Futures (ETRF)

ETRFs are fully fungible contracts aiming to replicate the performance of an OTC equity TRS. Equity Total Return Futures (ETRFs) represent the theoretical borrowing of cash to purchase the underlying equity at trade date and assuming holding to expiry, i.e. there is immediate exposure to the cash leg of the underlying equity. The holder of a long position will therefore receive the returns associated with holding the cash equity – against which they will pay the financing associated with this purchase. The cost of financing will be comprised of the overnight funding rate and the determined traded “spread”. This traded spread represents the additional rate, over the overnight benchmark funding rate, required by the seller to provide the returns of the cash equity until expiry.

Basket Trades of Equity Total Return Futures (BTRF)

BTRF is a package of multiple Equity TRFs constructed by traders within certain parameters in relation to eligible equity shares. Basket Trades at Eurex Exchange are to be incorporated within T7 Release 7.1. Note that in C7 the functionality will be available from 24 June 2019.

An overview of the T7 enhancements for Equity Total Return Futures and Baskets of Equity Total Return Futures is contained in the T7 Release 7.1 Preliminary Release Notes available at: > Technology > T7 Trading architecture > System documentation  > Release 7.1

Corresponding Circulars

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Market Status


The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

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