Deutsche Börse Group’s derivates arm Eurex is set to extend its first Total Return Futures (TRF) offering by launching on three MSCI indexes on 11 March 2024 in a bid to support the global shift from swap instruments to listed and centrally cleared derivatives.
Randolf Roth
Randolf Roth, member of the Eurex executive board, said: “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.”
Specifically, the TRF’s, denominated in US dollars, will launch on: MSCI World Index, MSCI EAFE Index, and MSCI Emerging Markets Index.
The underlying benchmark US funding rate is SOFR, initially available during US trading hours before further expansion into European morning and Asian trading sessions later in 2024.
According to Eurex, “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.”
Eurex’s TRF suite – launched in 2016 – already includes benchmark Index TRFs, individual Equity TRFs and Basket TRFs. Currently, the open interest in TRFs at Eurex is more than 3 million contracts, €125 billion in notional terms.
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“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,” said George Harrington, managing director of MSCI.