CoachA total return future is a listed future that replicates an equity total return swap (Definition 17.3): the holder receives the index’s price return and its distributions and pays an overnight benchmark rate plus a spread. It is quoted and traded in that spread, in basis points a year; the exchange converts the spread into a futures price in index points using the index close, the distributions accrued and the funding accrued.
Quantitative Finance · Glossaire