A listed solution for implied equity repo trading

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

Product Diff. to prev. day last Last price Contracts Time
TESX +0.69% 4,808.22 0 18:55:49
TESB +0.18% 106.39 0 18:56:04
TEDV +0.71% 2,001.02 0 18:56:04
TC1L +0.54% 263.71 0 18:56:06
TCBX +0.69% 278.74 0 18:56:04
TTUK +0.19% 7,354.25 0 18:55:52
Oct 22, 2021 18:56:06 PM

15 min. delayed -

Market Makers

Market Makers

CompanyMember IDContactPhone number

Barclays

BZWFR

Nathaniel Coleman

Ryan Woolwright (only STOXX®)

Rupert Harbig (only FTSE)

+44 20 7773 9622

+44 20 3134 8632

+44 20 7773 6784

BNP Paribas Arbitrage

BNAPA

Nicolas Certner (SX5E)

Didier Momot (SX7E / SD3E)

Ankur Taparia (only FTSE)

+33 1 55 77 82 47

+33 1 40 14 62 05

+44 20 7595 8715

UniCredit

BVMMU

Quentin Maurice (only STOXX®)

+44 20 7826 6801

Goldman Sachs

GSIEB

Ken-Ji Low

Yanis Escudero

+44 20 7051 4517

+44 20 7051 5933

JP Morgan

JPMFR

Omar Bennani 

+44 20 7134 3735

Société Générale

SOGFR

Philippe Perrier (only STOXX®)

Mhand Bouchefra
Guillaume Staedel (only FTSE)

+33 1 42 13 67 20

+34 915 89 50 30

Optiver

OPXAM

Thibaut Herens (only STOXX®)

+31 20 708 7702

Find out how Total Return Futures work

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

Sales

Damien Zinck

T +1 312 544-1051

damien.zinck@deutsche-boerse.com

Marketing

Cora Meinecke

T +49 69 211-1 34 54

cora.alexandra.meinecke@eurex.com

Equity & Index Product Design

Stuart Heath

T +44 207 8 62-72 53

Equity & Index Product Design

Elena Marchidann

T +44 207 8 62-72 65

elena.marchidann@eurex.com

Equity & Index Product Design

Floris Florquin

T +49-69-211-1 56 98

floris.florquin@eurex.com