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Quantitative Finance · Begrippenlijst

Wat is Total return future?

Definition 22.4 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 22 — Equity Index and Single-Stock Futures Worldwide

A 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.

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