Total Return Futures files Editorial

The TRF Conversion Parameters files provide the following data on a daily basis:

  • Contract referential data: Contract code, Maturity, Number of days to expiry, Daily Settlement Price, etc.
  • Pricing of Funding leg and Dividend leg: Daily accrued funding, Daily accrued dividend, Accumulated funding, Accumulated dividend, etc.

A Start Of Day (SOD) file is available before opening with limited data at 07:00 CET and an End Of Day (EOD) file is available after closing with extended data before 20:00 CET.
The detailed file specifications are available here.

Total Return Futures files

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