Total Return Futures

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.

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 5 years, meeting the needs of long-term investors
• On-screen price transparency and liquidity provided by market makers quoting a spread as an annualised rate in basis points (+/-)

Resources

TRF Factsheet

TRF Presentation

Total Return Futures: Finadium article (free to register)

Pricer / converter

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