Intercontinental Exchange, Inc. (NYSE:ICE) today announced the launch of the MSCI Index Total Return Futures (TRF).
ICE’s MSCI® TRFs offer investors a way to gain exposure to MSCI’s leading indices: MSCI EAFE Index, MSCI Emerging Markets Index, MSCI USA Index and MSCI World Index. TRF contracts serve as a listed alternative to OTC total return exchanges that seek to replicate the performance of MSCI indices in a more capital efficient and transparent manner.
The contracts use the underlying US funding rate SOFR (Secured Overnight Financing Rate) which measures the cost of borrowing cash overnight. Contracts are available to trade the curve through 2033, with quarterly and annual expirations.
“ICE’s markets represent over 70% of global MSCI futures trading by volume, making ICE the natural home for clients to trade MSCI Total Return Futures alongside the deeply liquid MSCI Futures suite,” said Caterina Caramaschi , Vice President, Financial Derivatives at ICE. . “We have 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 to report the trades on the same day, using the truly global nature of ICE shares derivatives offering’.
ICE offers the most liquid futures contracts on the MSCI EAFE, MSCI Emerging Markets, MSCI ESG and MSCI Climate indices, providing participants worldwide with a set of tools to manage equity risk. In 2023, average daily volume for ICE’s MSCI cluster was approximately 214,000 contracts, equal to an estimated notional value of $14 billion. ICE MSCI futures traded over 53 million contracts in 2023.
“We are delighted to license ICE as they expand their TRF division to include MSCI indices,” said George Harrington, Managing Director, Global Head of Fixed Income and Derivatives at MSCI. “This reflects growing demand for new products linked to MSCI’s global benchmarks.”