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Listed solution for implied equity repo trading via EURO STOXX 50® Index Total Return Futures complement the Eurex suite of equity index derivatives and support the market in complying with new financial market legislation.
Eurex Total Return Futures are designed to offer listed solutions for trading the implied equity repo rate. Index TRFs aim to replicate the payoff on an index total return swaps (TRS) in a cost efficient way. This research paper focuses on the inseparable relationship between implied repo rates and equity index total return swaps.
Written by Stuart Heath, Director Equity& Index R&D at Eurex this research paper covers the various aspects and calculations of both repo rates and the TRS.
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