{"id":58917,"date":"2016-12-07T03:51:00","date_gmt":"2016-12-07T02:51:00","guid":{"rendered":"http:\/\/beta.next-finance.net\/produit\/eurex-exchange-index-total-return-futures-trf\/"},"modified":"2019-12-31T01:20:07","modified_gmt":"2019-12-31T00:20:07","slug":"eurex-exchange-index-total-return-futures-trf","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/produit\/eurex-exchange-index-total-return-futures-trf\/","title":{"rendered":"Eurex Exchange: Index Total Return Futures (TRF)"},"content":{"rendered":"<p><em> <strong>Listed solution for implied equity repo trading via EURO STOXX 50\u00ae Index Total Return Futures (TESX)<\/strong> <\/em><\/p>\n<p>Index Total Return Futures (TRF) are designed to offer a listed<br \/>\nsolution for trading the implied equity repo rate. Index TRFs<br \/>\naim to replicate the payoff profile of an Index Total Return<br \/>\nSwaps (TRS) in a cost efficient way. The first TRF product<br \/>\nlaunch will be the EURO STOXX 50\u00ae Index Total Return<br \/>\nFutures (Product ID: TESX). This future will allow to:<\/p>\n<ul>\n<li> Provide cost-efficient access to the total returns of Europe\u2019s<br \/>\nbenchmark blue chip index whilst hedging the implied<br \/>\nequity repo rate.<\/li>\n<\/ul>\n<ul>\n<li> Mitigate capital costs and collateral usage and the envisaged<br \/>\nbilateral margining charges for non-cleared derivatives.<\/li>\n<\/ul>\n<ul>\n<li> Benefit from mitigation of counterparty risk with central<br \/>\nclearing and margin offsets with listed equity index products.<\/li>\n<\/ul>\n<p><strong>Key benefits<\/strong><\/p>\n<ul>\n<li> Fully fungible product aiming to provide cost-efficient<br \/>\naccess to the payoff profile of equity index TRS.<\/li>\n<\/ul>\n<ul>\n<li> Uses standardized trading convention \u2013 TRFs trade as<br \/>\na Spread expressed in basis points (+\/\u2013).<\/li>\n<\/ul>\n<ul>\n<li> Approximately 5 years exposure available via a single TRF<br \/>\nproduct allowing single trades and calendar spreads.<\/li>\n<\/ul>\n<ul>\n<li> Price discovery and liquidity provided by market makers<br \/>\nvia the Eurex T7 trading system.<\/li>\n<\/ul>\n<ul>\n<li> Offsetting margin effects for Index TRF Equity Index<br \/>\nFutures and Dividend Derivatives within the Listed<br \/>\nEquity (Index) Derivatives Liquidation Group (PEQ01).<\/li>\n<\/ul>\n<p><strong>How they work<\/strong><\/p>\n<ul>\n<li> Daily cash-flow structure with distributions and funding<br \/>\nrealised daily via the TRFs variation margin.<\/li>\n<\/ul>\n<ul>\n<li> TRF executed in spread in basis points via the order<br \/>\nbook or Trade Entry Services is automatically converted<br \/>\nto determine the futures price in index points within<br \/>\nT7 system.<\/li>\n<\/ul>\n<ul>\n<li> Order entry and execution is based on the TRF Spread<br \/>\nwhich is determined by the implied repo rate.<\/li>\n<\/ul>\n<ul>\n<li> Order book and off-book trading within the Eurex T7<br \/>\ntrading system via two trade types :<\/p>\n<ul>\n<li> Trade at Index Close (TAIC) with an equity strike level<br \/>\nbased on index close (e.g. EURO STOXX 50\u00ae Close).<\/li>\n<li> Trade at Market (TAM) based on custom-defined equity<br \/>\nstrike level provided by the investor. <\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p><strong>TRF versus TRS<\/strong><\/p>\n<p>&#8211; The new TRF futures contracts aim to replicate the payoff<br \/>\nprofile of an equity index TRS:<br \/>\n<img loading=\"lazy\" class=\" aligncenter size-full wp-image-58895\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions.jpg\" alt=\"payoff_d_un_trs_sur_indice_actions.jpg\" align=\"center\" width=\"555\" height=\"118\" srcset=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions.jpg 555w, http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions-300x64.jpg 300w, http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions-550x118.jpg 550w\" sizes=\"(max-width: 555px) 100vw, 555px\" \/><br \/>\n&#8211; TRF contracts will represent the theoretical exposure to<br \/>\nthe underlying index (i.e. its component basket) at trade<br \/>\ndate assuming holding to expiry.<\/p>\n<p>&#8211; The holder of a long position will additionally receive<br \/>\nthe distributions associated with holding the cash basket,<br \/>\nagainst which they will pay the financing associated<br \/>\nwith this purchase.<\/p>\n<p>&#8211; The financing cost of will be made up by the overnight<br \/>\nbenchmark\/funding rate (Eonia\u00ae) and additionally the traded<br \/>\nTRF Spread. This spread represents the additional repo rate<br \/>\nrequired by the seller over Eonia\u00ae rate to expiry.<br \/>\n<img loading=\"lazy\" class=\" aligncenter size-full wp-image-58897\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/cout_de_financement_trf.jpg\" alt=\"cout_de_financement_trf.jpg\" align=\"center\" width=\"568\" height=\"126\" srcset=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/cout_de_financement_trf.jpg 568w, http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/cout_de_financement_trf-300x67.jpg 300w\" sizes=\"(max-width: 568px) 100vw, 568px\" \/><br \/>\n&#8211; The payoff TRS structure comparison with the structure<br \/>\nfor Total Return Futures is:<br \/>\n<img loading=\"lazy\" class=\" aligncenter size-full wp-image-58899\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future.png\" alt=\"comparaison_du_payoff_du_trs_par_rapport_au_total_return_future.png\" align=\"center\" width=\"563\" height=\"165\" srcset=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future.png 563w, http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future-300x88.png 300w, http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future-559x165.png 559w\" sizes=\"(max-width: 563px) 100vw, 563px\" \/><div id='gallery-1' class='gallery galleryid-58917 gallery-columns-3 gallery-size-herald-lay-c1'><figure class='gallery-item'>\n\t\t\t<div class='gallery-icon landscape'>\n\t\t\t\t<a class=\"herald-popup\" href='http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions.jpg'><img width=\"470\" height=\"118\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/payoff_d_un_trs_sur_indice_actions-470x118.jpg\" class=\"attachment-herald-lay-c1 size-herald-lay-c1\" alt=\"\" loading=\"lazy\" \/><\/a>\n\t\t\t<\/div><\/figure><figure class='gallery-item'>\n\t\t\t<div class='gallery-icon landscape'>\n\t\t\t\t<a class=\"herald-popup\" href='http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/cout_de_financement_trf.jpg'><img width=\"470\" height=\"126\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/cout_de_financement_trf-470x126.jpg\" class=\"attachment-herald-lay-c1 size-herald-lay-c1\" alt=\"\" loading=\"lazy\" \/><\/a>\n\t\t\t<\/div><\/figure><figure class='gallery-item'>\n\t\t\t<div class='gallery-icon landscape'>\n\t\t\t\t<a class=\"herald-popup\" href='http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future.png'><img width=\"470\" height=\"165\" src=\"http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/12\/comparaison_du_payoff_du_trs_par_rapport_au_total_return_future-470x165.png\" class=\"attachment-herald-lay-c1 size-herald-lay-c1\" alt=\"\" loading=\"lazy\" \/><\/a>\n\t\t\t<\/div><\/figure>\n\t\t<\/div>\n\n","protected":false},"excerpt":{"rendered":"<p>Index Total Return Futures (TRF) are designed to offer a listed<br \/>\nsolution for trading the implied equity repo rate. Index TRFs<br \/>\naim to replicate the payoff profile of an Index Total Return<br \/>\nSwaps (TRS) in a cost efficient way. The first TRF product<br \/>\nlaunch will be the EURO STOXX 50\u00ae Index Total Return<br \/>\nFutures (Product ID: TESX). <\/p>\n","protected":false},"author":20,"featured_media":58895,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1485],"tags":[1718,1671,1675,1699,1651,1437,2211,2029,1650,2103],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/58917"}],"collection":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/users\/20"}],"replies":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/comments?post=58917"}],"version-history":[{"count":1,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/58917\/revisions"}],"predecessor-version":[{"id":58918,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/58917\/revisions\/58918"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media\/58895"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=58917"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=58917"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=58917"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}