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MSCI Total Return Futures (TRFs) on ICE

MSCI TRFs on ICE Futures U.S. are listed contracts that replicate the economics of MSCI index swaps - delivering total return exposure, including dividends, in a transparent, regulated format. They offer a capital-efficient, centrally cleared alternative to OTC swaps, with access to implied equity repo and alignment with today’s regulatory landscape.

MSCI TRF Calculator

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Contract
Maturity
Source Data Date
MSCI Index Level
Basis Price in BPS

Use the MSCI TRF calculator to compute MSCI Total Return futures prices

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Accrued Funding

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Days to Maturity

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Total return futures price

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