Eurex to launch first Total Return Futures on MSCI indexes

  • Eurex is expanding its Total Return Futures (TRF) segment
  • Launch of first TRFs covering MSCI indexes planned for 11 March
  • New contracts will be denominated in USD and initially available during US trading hours

Eurex is extending its Total Return Futures (TRF) segment through a cooperation with index and analytics tools provider MSCI. Scheduled for 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.

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.

Evolving demand for cleared and listed TRFs on global indexes

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, said in a statement: “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.”

George Harrington, managing director at MSCI, said in a statement: “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.”


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