| CAC40 TOTAL RETURN FUTURES | |
| Exchange contract code | FCT |
| Underlying indices | CAC 40® Index, CAC 40® Cumulative Dividend Index and CAC 40® Funding Index referring to €STR (combined as CAC 40® Synthetic Dividend Index) |
| Contract size | Contract valued at € 10 per index point (e.g. value € 41,000 at 4,100.0) |
| Unit of trading | 10 |
| Pricing unit/quotation | TRF spread as annualised rate expressed in basis points with one decimal (+/−/0) |
| Minimum TRF spread | +/- 0.5 bps (1 basis point = 0.0001) |
| Trading modes | Trade at Index Close (TAIC) with an index level based on the daily CAC 40® Index close Trade at Market (TAM) with a custom-defined index level |
| Expiry months | Up to 9 years and 11 months: 3, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, 54, 57, 60, 63 months quarterly (of the March, June, September, December cycle) and 72, 84, 96, 108 months yearly (of the December cycle) |
| Accrued distributions and accrued funding (index points) | The distribution and funding rate payments will be accumulated from the TRF product launch and added to the TRF futures price in index points. The daily changes in distributions and funding payments are paid out via variation margin. |
| Time convention | Actual/360 |
| Wholesale services | Large-in-Scale Facility (Minimum size 10 lots) |
| Euronext market | Paris |
| Last trading day | The Euronext exchange trading day immediately preceding the expiration day. The expiration day is the third Friday of the delivery month. In the event that the third Friday is not a business day, the Last Trading Day shall normally be the last business day preceding the third Friday |
| Settlement | Cash Settlement based on the EDSP |
| Settlement day | First business day after the final settlement day |
| Exchange Delivery Settlement Price (EDSP) | Price determined on expiry day and based on the following components: final settlement price of all CAC 40® Index Futures (CAC), accrued distributions and accrued funding from the product launch until the expiry date. |
| Clearing organization | Euronext Clearing |
| Trading hours | Central Order Book (TAIC): 09:30 - 17:30 CET Large-in-Scale Facility (TAIC & TAM): 09:30 - 18:30 CET |
| Trading platform | Optiq |
| Algorithm | Central order book applies a price-time trading algorithm with priority given to the first order at the best price |
| Last update | 9 SEP 2024 |