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Description

Total Return Futures (TRFs) are the centrally cleared alternative to OTC Total Return Swaps. TRFs are a listed solution for trading implied equity repo rate. Additional Information Tab above provides links for the FAQ, Fact Sheet, and TRF Data.

Market Specifications

Trading Screen Product Name

MSCI ACWI GTR TRF

Trading Screen Hub Name

ICUS

Underlying Index

MSCI All Country World GTR Index
SOFR Index

Contract Symbol

MAC

Contract Size

$25 per index point

Price Quotation

+/- 0.500 basis points - Screen Trading (CLOB)
+/- 0.010 basis points - Block Trading

Minimum Price Fluctuation

0.01 index points (equal to $0.25 per contract).

Block Trade Minimum

5 lots

Order Types

Trade at Close (“TAC”) with an index level based on daily MSCI ACWI GTR Index Close - TAC are both CLOB and block enabled.

Trade at Market (“TAM”) with a custom defined MSCI ACWI GTR index level. Custom defined index is an index level predetermined and entered by the exchange participant. - TAM are block only.

TAC and TAM trades have the same PCC so are fully fungible. Note: TAC trades are based on the daily MSCI ACWI GTR Index closing value. Until the closing index value is known, TAC trades are priced as preliminary trades (based on the Index Close value from the previous day).

Funding Rate

Secured Overnight Funding Rate (SOFR) (as a percentage)

Last Trading Day

The third Friday in the expiration month.

Expiration Date

Third Friday in the expiration month. In the event the third Friday is not a business day, the Expiration Day shall be the last business day preceding the third Friday.

Daily Settlement Price Quotation

Same calculation as Traded Futures Price above, Daily Settlement TRF spread is determined and used with index close level and time to maturity to calculate a Settlement Basis (same as Trade Basis) in index points. The Settlement Basis will be used in conjunction with the Accrued Funding to calculate DSP in index points..

Contract Series

Out to nine years and eleven months:
- Nearest 3 monthly expiries(includes Quarterly and Spot Cycle months)
- Nearest 12 quarterly months of the March, June, September and December cycle, and
- the subsequent 7 annual December expiries

Final Settlement

Final settlement: Index Futures EDSP (t) - Accrued Funding(t) + Traded Basis (t). ,

Where: Traded Basis is zero as on expiration the time to expiry is zero.

Settlement Date

Cash settlement on the 2nd business day after Expiration Day.

Trading Hours

TAC: 8:00pm - 6:00pm* Eastern time (*Next Day)
TAM: 8:30am - 6:00pm Eastern time

Preopen Starts 30 minutes prior to start of trading.

Other Information

TRF Spread will be converted into TRF futures price in index points. Conversion formula can be found in the rule book.

MIC Code

IFUS

Clearing Venues

ICUS

Related Products

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• MSCI Emerging Markets Asia (NTR) Index Futures
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Trading Hours

Codes