Eurex is extending its Total Return Futures (TRF) segment through a cooperation with MSCI, a leading provider of essential decision tools and services to the global investment community.

Effective 11 March 2024, the derivatives arm of Deutsche Börse Group plans to launch TRF contracts on three MSCI indexes: MSCI World Index, MSCI EAFE Index, and MSCI Emerging Markets Index. The launch reflects Eurex’s commitment to provide pioneering solutions that support the global shift from swap instruments towards listed and centrally cleared derivatives.

The new TRFs will mark an additional milestone in Eurex’s TRF success story, as for the first time TRFs on global indexes are offered, which are increasingly in demand by market participants. The new contracts will cover the net return versions of the following indexes: MSCI World Index (TMWO), MSCI EAFE Index (TMFA), and MSCI EM Index (TMEM). The TRFs will be denominated in USD.

The underlying benchmark US funding rate is SOFR (Secured Overnight Funding Rate). For technical reasons, they will initially be available during US trading hours (14:30 – 22:00 CET, 08:30 am ET – 04:00 pm ET). Expansion to European morning and Asian trading sessions is planned later in 2024.

Randolf Roth, member of the Eurex Executive Board, commented:

“Eurex reinforces its commitment and continues to lead in delivering innovative solutions that address increased capital requirements by offering important capital efficiencies to our sell-side and buy-side customers. We are pleased to work with MSCI to further strengthen and expand the TRF success story.”

George Harrington, managing director at MSCI, added:

“We’re pleased to work with Eurex as they expand their TRF segment to include MSCI Indexes. This reflects the increasing demand for cleared and listed TRFs on global benchmarks, offering enhanced capital efficiencies to market participants.”

TRFs’ objective is to replicate the returns of traditional bilaterally negotiated equity or equity index-based swaps. However, compared to swaps, central clearing enables portfolio margining, simplifies settlement, and mitigates counterparty risk.

The new TRF contracts complement Eurex’s existing TRF suite, which includes benchmark Index TRFs, individual Equity TRFs and Basket TRFs. Eurex is the leading global marketplace with the broadest offering in TRFs and the largest open interest pool.

Eurex launched the TRF segment in 2016 with the listing of the first Total Return Futures on the EURO STOXX 50 Index. Equity Total Return Futures on EUR-denominated stocks with more than 250 underlyings and the new basket trade functionality followed in October 2019. FTSE 100 Index TRFs and additional GBP-denominated equity TRFs on 73 stocks have been available since March 2021 and November 2023 respectively.

Since launch, Eurex has managed to migrate most of the EURO STOXX 50 OTC Swaps market to its product. The current open interest in TRFs at Eurex stands at more than 3 million contracts or EUR 125 billion in notional terms.