Eurex expands Total Return Futures offering to include Collateral Index TRFs

  • Building on the recent expansion of their Total Return product suite into Equity & Basket TRFs, Eurex has today announced the launch of Collateral Index TRFs.
  • The construction of the index for Collateral Index TRFs is specifically designed to represent generic index financing or collateral baskets.

Eurex Group today announced the launch of a new product, Collateral Index TRFs, designed to assist in the diversification of swap counterparties for buy-side investors which use synthetic portfolio replication. This is a comprehensive solution for those clients that require a total return product on the collateral basket underlying an ETF.

The launch of Collateral Index TRFs complements Eurex’s existing Total Return Futures offering, which includes Index TRFs, Individual Equity TRFs and Equity Basket TRFs. With Collateral Index TRFs, ETF provider rules – stipulating, for example, the inclusion of only certain high-quality assets – set the framework for inclusion in the collateral basket.

“After we introduced the EURO STOXX 50® index Total Return Futures, we were approached regarding products to assist in the diversification of swap counterparties for ETFs which used synthetic portfolio replication,” says Stuart Heath, Equity and Index Products at Eurex. “This latest launch – Collateral Index TRFs – is in response to this market demand. While an Index TRF can only provide a partial solution for many ETFs, this product offers a full solution based on the collateral or substitute basket underlying an ETF.”

Eurex already provides a significant range of products to assist in the management of Delta One risks and the needs of equity financing desks, and is now in the process of enhancing this offering. October last year saw the launch of both Equity Total Return Futures – designed to replicate the performance of an OTC equity Total Return Swap – and Basket Trades of Equity Total Return Futures, a package of multiple Equity TRFs constructed by traders within certain parameters in relation to eligible equity shares.

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