GERMANY: EUREX Launches Equity Total Return Future

Thursday October 10 2019

On 7^th October 2019, the Eurex Exchange introduced Total Return Futures on single equities. The new futures complement the Eurex suite of equity index derivatives and support the market in complying with new EMIR financial market regulation.

Eurex offers Equity Total Return Futures (ETRF) for 255 euro-denominated equities. Product structure and design are based on the Total Return Futures on the EURO STOXX 50 Index (TESX) launched in 2016.

ETRFs replicate returns on equity analogous to equity swaps. This allows the migration of traditional bilateral negotiated swaps into standardized futures contracts that are exchange-traded and centrally cleared.

Furthermore, a new Eurex functionality supports basket trades of ETRFs (BTRF) to construct and flexibly manage synthetic equity portfolios for the first time.

In line with OTC swap convention, Eurex’s ETRFs are quoted in a spread expressed in basis points. They reference to the new ECB short term rate €STR as underlying funding rate. Maturities are available from one month out to two years.

Click on the above link for further information.