Equity Index Futures

Fixed Income, Credit and Inflation Futures

Equity Index Futures

The Exchange for Swaps (EFS) facility is available for the following combinations of Eurex equity index futures and OTC equity index swaps:

Futures Leg

Cash Leg

Cash transactions in EFS trades for equity indexes are equity index swaps with the following characteristics:

• The share basket reflected via the swap shall be composed of at least ten different index components or a number of shares which represent at least half of the equity index underlying the futures contract
• The market value of the part of the share basket reflected via the swap the values of which are part of the equity index underlying the futures contract shall be at minimum 20 percent of the market value of the entire cash transaction
• All single shares in the share basket reflected via the swap shall be part of the STOXX® Europe TMI Index, the Dow Jones Global Titans 50 Index^SM, the Dow Jones Sector Titans Indexes^SM, the MSCI Russia Index, the MSCI Japan Index or the SENSEX
• Written under the terms of an ISDA Master Agreement
• All swap payments must be denominated in a currency of the OECD Member States

Clearing of Exchange for Swaps
EFS trades are supported by Eurex Clearing AG for clearing and settlement.

• The EFS facility allows Eurex members to clear futures positions resulting from EFS trades through Eurex Clearing AG
• The EFS facility is not used to conclude cash transactions (see Cash Leg)
• Equity index futures positions resulting from EFS trades are administered as normal exchange positions by the Eurex® system and may be closed through the regular market