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Equity & Basket Total Return Futures

Equity & Basket Total Return Futures

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On Monday, 29 July 2019 Eurex Exchange will be introducing:

  • 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)will be incorporated within the T7 Release 7.1, which is scheduled for Monday, 27 May 2019.

This product will be added to Eurex´ Total Return Futures (TRF) portfolio which currently includes the TRF on the EURO STOXX 50® (TESX) launched more than 2 years ago: > Products > Total Return Futures

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


If you have any questions or require further information, please contact your dedicated Key Account Manager.


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