Intercontinental Exchange, a global leader in technology and data and home to the most liquid markets for trading MSCI® Futures, announced the launch of MSCI® Index Total Return Futures (TRFs).
ICE's MSCI® TRFs offer investors the opportunity to gain exposure to MSCI's flagship indices: MSCI EAFE Index, MSCI Emerging Markets Index, MSCI USA Index and MSCI World Index. The TRF contracts serve as an exchange-traded alternative to over-the-counter total return swaps, which aim to track the performance of the MSCI indices in a more capital efficient and transparent manner.
The contracts are based on the underlying US financing rate SOFR (Secured Overnight Financing Rate), which measures the cost of borrowing cash overnight. Quarterly and annual contracts are available for the transition until 2033.
“ICE Markets account for over 70% of global MSCI futures trading volume, making ICE the natural home for clients to trade MSCI total return futures alongside our highly liquid MSCI futures offering,” said Caterina Caramaschi , Vice President of Financial Derivatives at ICE . “We worked directly with the market to design the TRF contracts, which allow clients to profit from trading in a US time zone against the closing level of the MSCI index and report the trade on the same day, while maintaining the “To leverage the truly global nature of ICE’s equity offering derivatives.”
ICE offers the most liquid futures on the MSCI EAFE, MSCI Emerging Markets, MSCI ESG and MSCI Climate indices, providing participants around the world with a range of tools to manage equity risk. In 2023, the average daily volume of ICE's MSCI complex was approximately 214,000 contracts, representing an estimated notional value of $14 billion. ICE MSCI futures traded over 53 million contracts in 2023.
“Goldman Sachs is pleased to launch the ICE MSCI Index TRFs. We expect this to be an excellent product for clients seeking a cost-effective solution to access a range of the major MSCI indices,” said Daria Sentuc, Managing Director, Emerging Markets Global Synthetics at Goldman Sachs. ” As a long-standing liquidity provider across the MSCI complex, we look forward to supporting the growth of this new product.”
“We are pleased to license ICE as they expand their TRF segment to include MSCI indices,” said George Harrington, Managing Director, Global Head of Fixed Income and Derivatives at MSCI. “This reflects increasing demand for new products linked to MSCI’s global benchmarks.”
Source: ICE
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