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Eurex’ Total Return Futures (TRF) demonstrate that they meet client’s needs. Since their launch on Friday, 2 December 2016, over 30,000 contracts have been traded, with a notional value of more than one billion Euro.
“Immediate take-up of Total Return Futures has been a major success. It has demonstrated the capability of Eurex to design innovative products in close collaboration with our customers,” said Mehtap Dinc, Global Head of Derivatives Product Development at Eurex.
The highly innovative product concept is helping market participants navigate a rapidly changing regulatory landscape and contributes to market resilience and transparency.
On Saturday, 4 February 2017, Europe has started to phase in new margin rules on non-cleared derivatives, increasing the need for Exchange Traded Derivatives designed to replicate Over the Counter (OTC) instruments. TRF offer returns analogous to Equity Index Total Return Swaps, effectively replicating the function of these OTC instruments. As a result, the market is able to continue trading in the new environment of stronger capital requirements.
“Market participants can replicate their OTC products and, at the same time, benefit from the liquidity and position netting available on standardised futures,” Dinc added.
In line with current market convention, Eurex’ Total Return Futures trade in ‘spread’ basis points and allow the implied repo rate associated with cash basket replication to be traded for the first time. All maturities are actively quoted by market makers BNP Paribas, JP Morgan and Unicredit, assuring round-the-clock liquidity.
“We expect that larger market participants will adopt the new Total Return Futures, and the transparency and fungibility they provide, to meet their hedging needs in the months to come,” said Régis Lavergne, Deputy Global Head of Equity Derivatives in charge of trading activities at Natixis when Eurex launched TRF.
