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Sustainable Finance Data

ICE FTSE 100 Index Total Return futures

A more flexible way to trade equity repo

ICE’s FTSE 100 Index Total Return Future provides a listed alternative to over-the-counter Total Returns Swaps, with increased market transparency. Through TRFs, investors can trade the implied equity repo, taking directional exposure to the FTSE 100 Index, the FTSE 100 Distribution Points Index and the Sterling short term funding rate (SONIA).

FTSE 100 Index TRFs represent the theoretical total returns exposure to the FTSE 100 Index from the trade date assuming the position is held to expiry and offer market participants an exchange listed mechanism to trade the equity repo curve, locking in on long-term financing spreads. In addition, the proceeding economic exposure associated with a TRF (including market and dividend risk) can be achieved without owning the cash underlying.

Benefits

Increase capital efficiency with margin offsets against correlated offsetting FTSE positions.
Replicate OTC TRS market exposure via an exchange listed and centrally cleared contract.
Reduce risks associated with Uncleared Margin Rules (UMR).
Accurate daily Mark-to-Market settlements made by daily variation margin payments.
Increase capital efficiency with margin offsets against correlated offsetting FTSE positions.
Replicate OTC TRS market exposure via an exchange listed and centrally cleared contract.
Reduce risks associated with Uncleared Margin Rules (UMR).
Accurate daily Mark-to-Market settlements made by daily variation margin payments.