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Gain exposure to the implied equity repo rate on the constituents of the CAC 40 Index, while trading on-exchange and benefitting from strong netting advantages, transparency and central clearing.
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Keeping on surfing the new wave of derivatives

Get on board with this innovative listed product that replicates the economics of a total return swap.

 

 

 

Source: Euronext Group (November 2018 - February 2023)

Total Return Future on the CAC 40® Index

The Total Return Future on the CAC 40® Index is a listed solution that replicates the economics of a total return swap, based on the benchmark CAC 40 index. It was created at client request in response to the increased capital requirements being imposed by Basel III and EMIR.

  • A cost-efficient solution replicating the economics of a Total Return Swap
  • Access the implied equity repo rate on the constituents of the CAC 40 Index in a transparent and secure trading environment.
  • Strong margin offsets with CAC 40 Index Future exposure
  • Quarterly maturities up to 10 years, meeting the needs of long-term investors
  • On-screen price transparency and liquidity provided by BNP Paribas as market maker quoting a spread as an annualised rate in basis points (+/-)
     

Migration methodology (The EONIA To €STR Phase 2 Transition for Total Return Futures On CAC 40 Index V1.1)