Key Benefits
- ETRFs are fully fungible and build on the product structure of the EURO STOXX 50® / FTSE 100® Index TRF.
- Mitigates counterparty risk and bilateral margining for non-cleared OTC equity & basket TRS.
- Cross margining offsets with other equity and equity index derivatives within PRISMA, including EURO STOXX 50®, EURO STOXX® Banks, EURO STOXX® Select Dividend 30 and FTSE 100® Index TRF.
- Balance sheet benefits under a transparent and secure CCP environment.
Equity Total Return Futures
The building block for baskets
ETRFs are fully fungible contracts aiming to replicate the performance of an OTC equity total return swap (TRS). ETRFs represent the theoretical borrowing of cash to purchase the underlying equity at trade date, assuming it’s held till 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 is 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 Total Return Futures
The customized package
BTRFs are a package of multiple Equity TRFs constructed by traders within certain parameters concerning eligible equity shares. This negotiated and customized package of one or more ETRFs is traded with the same maturity and at the same TRF spread. Basket Trades at Eurex Exchange are incorporated within T7 Release 7.1.
How BTRFs work
- Trading via the T7 trading system
BTRFs can only be traded via the T7 trading system as block trades. - New dedicated screen in the T7 GUI
The ETRFs components of a basket are entered as a package via a new dedicated screen in the T7 GUI or new dedicated requests via the ETI interface. - Same maturity and traded TRF spread
All ETRFs must have the same maturity (expiry), same market side (buy or sell), same trade type (TAC or TAM) and same traded TRF spread in basis points upon initial execution.
Market Makers
| Company | Member ID | Contact | Phone number |
Société Générale | SOGFR | +33 1 42 13 64 12 |
