Underlying terminology
- Underlying price is the official closing price of the underlying specific share
- Underlying Dividend Index is the relevant Equity Dividend Index (EDI) specific to the underlying share
- Underlying Funding Rate Index is €STR, for Equity Total Return Futures denominated in GBX/GBP SONIA
Settlement
Cash settlement, payable on the first exchange day following the final settlement day.
Contract size
100 shares
Quotation and minimum change of the TRF spread
TRF spread as annualised rate expressed in basis points with one decimal place. The minimum change of the TRF spread is +/- 0.5 basis points (1 basis point = 0.0001).
Trade types
Trade at Close (TAC) with an underlying price based on the official closing price of the share on the relevant primary cash market.
Trade at Market (TAM) with an underlying price predetermined and entered by the Exchange Participants. TAM is only available in Basket Trades of Equity Total Return Futures in TES.
Accrued Distributions and Accrued Funding
The accumulated dividend distributions and the funding rate payments are added into the calculation of TRF futures price. The daily changes in price, dividend distributions and funding payments are incorporated into the Variation Margin.
Contract months
Up to 24 months: At any time the nearest four semi-annual months of the June and December cycle, five quarterly months of the March, June, September and December cycle and three successive calendar months are available for trading.
Where expirations would overlap according to the prior sentence only a single expiration will be available.
Last trading day and final settlement day
The third Friday of each maturity month, if this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing Total Return Futures on the last trading day is at 17:30 CET.
Daily settlement price
The daily settlement price is established on the current exchange trading day based on the following components: underlying official closing price of the share on the relevant primary cash market, Daily Settlement TRF Spread, Accrued Dividends and Accrued Funding accumulated from the product launch of the respective Equity Total Return Futures contract until the current date.
Final settlement price
The final settlement price is established by Eurex on expiry date based on the following components: underlying official closing price of the share on the relevant primary cash market on the expiry date, Accrued Dividends and Accrued Funding from the product launch of the respective Equity Total Return Future until the expiry date.
Further details are available in the clearing conditions and the contract specifications.
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 35 contracts