10 November 2016
Frankfurt
Reporter: Mark Dugdale

Eurex to launch total return futures


Eurex will begin offering total return futures on the Euro Stoxx 50 Index from 2 December.

The new futures contract design is aimed at replicating the payout profile of the funded purchase of a cash equities basket representing the components of the underlying index.

The total return futures will trade in ‘spread’ in basis points and allow the implied repo rate associated with cash basket replication to be traded for the first time.

Basel III capital standards are already increasing the cost of over-the-counter (OTC) trades and new rules for non-cleared that are likely to come into force next year will encourage a move to exchange-traded derivatives.

"The product is launched ahead of the bilateral margin rules on non-cleared swaps which are likely to be introduced in Europe in early 2017,” commented Mehtap Dinc, global head of derivatives product development at Eurex.

“We therefore expect market participants to cut back on their OTC swap positions and instead choose futures to meet their trading and hedging needs in the months to come.”

Total return futures will offer returns analogous to total return swaps, added Dinc, making them a functional replacement.

The new swaps will also bring the additional benefit of standardisation, which allows netting. Eurex Clearing acting as central counterparty will also mitigate counterparty risks.

Régis Lavergne, deputy global head of equity derivatives in charge of trading activities at Natixis, expects larger market participants to adopt the new total return futures, “and the transparency and fungibility they provide, to meet their hedging needs in the months to come”.

More swaps news
The latest news from Securities Lending Times
Join Our Newsletter

Sign up today and never
miss the latest news or an issue again

Subscribe now
J.P. Morgan and Citi collaborate on truePTS post-trade platform
15 December 2017 | New York | Reporter: Zsuzsa Szabo
The New-York-based startup processes ecosystem for the global $700 trillion derivatives market
Eurex Clearing secures five signups for its OTC partnership programme
05 December 2017 | Frankfurt | Reporter: Zsuzsa Szabo
BGC Partners, Bloomberg, TP ICAP Group subsidiary i-Swap, Tradeweb and, Tradition’s Trad-X are on track to become approved platforms as part of the Eurex Clearing partnership programme
NEX boasts major client growth for collateral management service
28 November 2017 | New York | Reporter: Drew Nicol
NEX Optimisation has secured more than 100 clients for its collateral management service, triResolve Margin
Eurex introduces fresh fixed income hedging tools
16 November 2017 | Frankfurt | Reporter: Drew Nicol
The Deutsche Boerse Group noted significant end-user demand for European-listed fixed income ETF options, with institutional investors in Europe ready to migrate from US-listed options once the options are listed
LCH migrates to new Swiss reference rate
18 October 2017 | Zurich | Reporter: Jenna Lomax
Basler Kantonalbank, Credit Suisse and Zürcher Kantonalbank are due to be among the first financial services to clear using the new rate from December 2017
Tradeweb launches first electronic swaption trade on TW SEF
17 October 2017 | New York | Reporter: Jenna Lomax
The trade, which was executed by asset management firm, Garda Capital, and processed through MarketWire, officially marked the launch of swaptions trading on the TW SEF
Eurex Clearing launches partnership programme
09 October 2017 | Frankfurt | Reporter: Theo Andrew
The programme plans to build a “balanced ecosystem”, responsible for aligning responsibilities and benefits related to economics and governance, bringing “greater choice and transparency” to the market