June 2023

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Total Return Futures (TRF) continue to gain market share in the prime brokerage financing space as an alternative to Total Return Swaps (TRS). TRF are part of the overall evolution of balance sheet management tools that include repo (cleared and bilateral), TRS, futures, and structured products, all of which provide ways to position, manage and hedge.

TRFs are based on the underlying index’s total return, which includes price movements and cash flows such as dividends. Introduced globally by major European, US, and Asian exchanges, the product set is evolving to meet the differing needs of market participants who use the product to replicate, offset, and trade certain exposures.

This report provides an overview of Total Return Futures: history, use, uptake, and how they compare to alternatives. We look at growth drivers, including the spike in TRF trading volume during the pandemic-induced volatility and the takeaway lessons from that period. We also examine how market participants leverage TRFs offered by exchanges and where the market is headed in the near future.

The report is written for financing desks, repo and securities lending professionals looking to employ TRFs as part of their strategy, and for regulators, technology firms and others wanting to understand trends and changes in the market.

Table of Contents

  • Executive Summary
  • Why TRFs in 2023
    • – The Regulatory Drivers of TRF Growth
    • – Utilization Trends
  • Product Mechanics and Balance Sheet Considerations
  • Developments Across Europe, North America and Asia
  • Market Evolution
  • About Finadium LLC

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