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MSCI derivatives at Eurex

May 2019

www.eurexchange.com

MSCI Derivatives May 2019

2

With more providers of MSCI

related ETFs, swaps and

additional structures and a

growing competition on pricing

these, an increased need for

cheap and efficient hedging

tools (futures & options) arises

Historically, MSCI has been the

index provider of choice for the

buy-side (fund managers,

insurances, pension plans,

endowments) seeking broad and

reliable benchmarks to compare

with their own performance and

looking for tools to analyse risk

and returns

The growing success of indexation

via ETFs and index swaps has

brought MSCI further to the

forefront of asset allocation, not

only on the investment side, but

also in trading. Globally, 40% of

the ETF assets in equity ETFs are

based on MSCI indexes

2.

3.

1.

MSCI estimates

that about USD 11 trillion

are benchmarked

against their indexes

More than USD 600

billion are invested in

equity ETFs based on

MSCI indexes

2.In 2017 more than

80 million MSCI

Futures & options

traded globally

2.1.

MSCI Indexes have seen high levels of success and growth

Development in three major steps

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3

Derivatives on MSCI Indexes provide cheap and efficient hedging opportunities

Portfolio beta /

duration adjustment Purchase/sale of equity index futures to adjust portfolio beta/duration.

Stock picking Sale of index futures against purchase of cash equity to isolate or mitigate market risk

Hedging Sale of futures/buying of puts or collars to protect portfolio value.

Region / country

overlay

Purchase/sale of regional/country equity index futures to increase/decrease exposure to a

region/country within the equity portfolio.

Cash equitizationReinvestment of coupon and dividend income and investment of new flows or funds

generated via asset sales by purchasing equity index futures

Transition

management / tactical

asset allocation

Sale of equity index and simultaneous purchase of bond futures to assist in the reallocation

of funds from equities to bonds (or vice versa).

Portfolio yield

enhancement

1. Sale of out-of-the-money (OTM) index calls, anticipating limited market upside.

2. Sale of OTM index puts anticipating limited market downside.

3. Sale of OTM index/bond calls and puts, anticipating range bound market conditions.

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MSCI derivatives at Eurex are becoming an increasingly popular hedging and trading tool

4

• Total trading volume in April 2019 has been ~ 672K

contracts – with an ADV of over 32K contracts

• In the same period in 2018, 468K contracts were traded

Strong growth in all categories (Block & Book, Futures & Options, Volume & OI)

• Open interest in MSCI derivatives is currently at 2.5 mn

contracts

• This is a growth of 30% vs last year

• MSCI options reached 593K open interest, which is an

increase of 52% over the level a year ago

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19

MSCI Derivatives - Evolution of Volume

Futures Options

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19

MSCI Derivatives - Evolution of Open Interest

Futures Options

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Futures on MSCI World have played a big part in this growth

5

Open interest of the main benchmarks

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MSCI World Derivatives

OMWP

OMWO

OMWN

FMWO

FMWN

FMWM

FMOV

FMOG

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MSCI EM Derivatives

OMEN

OMEM

OMEF

FMMG

FMEN

FMEM

FMEF

-

50,000

100,000

150,000

200,000

250,000

MSCI EAFE Derivatives

OMFP

FMFP

FMFA

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MSCI EM Regions Derivatives

OMEA

FMEL

FMEE

FMEA

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However growth has also come from futures on other MSCI regional and country indexes

6

• 116 Futures are

currently listed at Eurex

• Out of those, 89

products have open

interest

• The table shows the top

25 MSCI futures in

terms of notional open

interest

EM regional Index

DM Regional Index

Eurex

CodeIndex Name % Off-Book (April)

% Agency

Cleared Volume

(April)

Notional Value per

Contract (USD)ADV 2019 Volume (April)

Volume in EUR

(April)

Open Interest as of

April 30th, 2019

Open Interest in

EUR as of April

30th, 2019

FMEAMSCI Emerging

Markets Asia 95.5% 22.9% 5,669 10,692

176,680 8,896,463,651 269,097 13,292,118,692

FMWN MSCI World 74.9% 46.6% 1,438 7,588 147,944 4,220,953,380 248,223 6,866,796,085

FMWO MSCI World 77.5% 37.4% 63,160 5,983 183,846 10,211,862,947 108,568 5,938,565,260

FMEMMSCI Emerging

Markets 96.3% 6.0% 5,064 3,043

124,902 5,590,443,005 116,111 5,114,396,271

FMED MSCI Europe 94.9% 4.0% 66,565 1,643 40,170 2,362,097,120 76,354 4,403,050,663

FMNAMSCI North

America0.0% 0.0% 83,620 493

102 7,569,366 51,659 3,759,597,152

FMEU MSCI Europe 56.6% 17.8% 1,130 7,843 89,386 2,004,917,500 164,277 3,575,451,405

FMFA MSCI EAFE 51.0% 0.0% 59,720 718 1,020 53,791,315 60,417 3,138,621,068

FMGC MSCI Canada 99.9% 49.6% 75,040 982 21,982 1,479,002,801 33,432 2,185,231,838

FMEEMSCI Emerging

Markets EMEA75.3% 21.9% 3,359 2,368

11,754 348,724,557 67,457 1,911,114,179

FMEL

MSCI Emerging

Markets Latin

Am.

73.1% 27.1% 5,171 1,856 11,800 548,142,162 40,679 1,868,214,081

FMJP MSCI JAPAN 82.5% 5.2% 62,330 1,178 12,280 675,182,571 32,826 1,794,412,960

FMEFMSCI Emerging

Markets 98.8% 62.9% 5,436 1,527

65,304 3,156,800,026 37,498 1,765,976,007

FMCN MSCI China Free 81.1% 32.0% 4,554 1,833 33,710 1,353,099,446 43,230 1,690,144,860

FMUS MSCI USA 97.6% 45.4% 78,750 327 1,640 112,810,568 24,443 1,661,452,390

FMFP MSCI EAFE 90.1% 6.3% 9,583 526 11,204 949,228,661 18,833 1,564,117,023

FMDK MSCI UK 95.8% 47.9% 65,350 503 626 36,357,091 22,953 1,309,762,555

FMZAMSCI South

Africa30.9% 0.0% 5,594 544

1,102 53,744,028 24,585 1,119,647,637

FMENMSCI Emerging

Markets 90.6% 47.4% 4,223 460

11,798 495,837,800 24,562 1,003,257,630

FMMX MSCI Mexico 51.1% 28.6% 2,384 878 948 20,109,379 28,983 582,497,677

FMHK MSCI Hong Kong 95.9% 36.6% 744,400 370 13,310 866,396,357 8,576 550,095,559

FMWP MSCI World 87.6% 0.0% 10,948 720 20,738 397,968,675 25,194 472,467,000

FMAU MSCI Australia 98.6% 40.3% 38,870 543 6,308 219,434,036 12,655 433,916,110

FMPXMSCI Pacific ex

Japan0.0% 0.0% 66,310 183

360 21,104,442 6,466 372,651,090

FMMU MSCI EMU 19.9% 19.7% 1,003 632 4,414 87,108,720 19,520 372,636,800

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7

*Calculation Date: 11 April 2018 **Near month Expiration: 18 June 2018

Eurex’s diversity of futures on MSCI Indexes allows for lower margin rates

Name EurexNotional

(USD)Long Short

Initial Margin

(in EUR)

Total Initial Portfolio

Margin

Without PRISMA (EUR)


Margin

With PRISMA (EUR)

Margin

savings

MSCI EM FMEM 100,000,000 2,316 0 10,929,176 €

21,816,758 € 8,453,359 € 61%

MSCI China FMCN 25,000,000 647 0 3,450,628 €

MSCI India FMIN 10,000,000 185 0 1,201,503 €

MSCI EM Asia FMEA 50,000,000 0 1,032 4,969,846 €

MSCI EM Latin

AmericaFMEL 10,000,000 0 223 3,450,628 €

• In the past, most exchanges were using similar margining models for their derivatives markets (like RBM at Eurex,

SPAN at ICE, SGX or CME)

• Whereas RBM and SPAN calculate risks on a per product basis only, Eurex PRISMA offers portfolio margining:

the better the portfolio is diversified, the higher are the margin offsets which can be granted

• Margin offsets are calculated seperately for Agency business and Proprietary business. Under PRISMA, all open

positions of a member on their Prop (P-) or Market Maker (M-) accounts are analyzed combinedly and offsets are

granted for all prop positions

Margin rate per notional: 4.3%

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Eurex’s diversity of Equity Futures allows for even lower margin rates

8


Name EurexNotional

(USD)Long Short

Initial Margin

(in EUR)


Margin

Without PRISMA (EUR)


Margin

With PRISMA (EUR)

Margin

savings

MSCI World

FuturesFMWN

100,000,00

04,102 0 8,089,603 €

14,833,374 € 4,396,306 € 70%

DAX® Futures FDAX 10,000,000 33 0 732,111 €

EURO STOXX 50®

Index FuturesFESX 50,000,000 0 1,497 3,570,720 €

EURO STOXX®

Banks FuturesFESB 20,000,000 0 3,255 2,440,941 €

Eurex is one of the biggest providers of equity derivatives, thus highest margin

offsets can be generated

Annual volume in Equity & Index Derivatives (2017)

SGX 3.5 mn contracts

ICE EU 3.1 mn contracts

ICE US 2.2 mn contracts

Eurex 50.0 mn contracts

Open interest in Index Derivatives (May 2018)


Margin rate per notional: 2.4%

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9

*Calculation Date: July 31, 2018 **Near month Expiration: 21 September 2018

Portfolio Pair

Product NameProduct Code

(Eurex)Position

Position Size

Initial Margin for the Portfolio (in EUR)

Notional in EUR Total Portfolio

Notionalwith PRISMA (EUR)

Margin rate per Notional with

PRISMA

1

MSCI Europe (EUR/NTR) FMEU Long 3

1,372 €

66,450 €

136,599 € 1.0%

EURO STOXX 50® Index Futures FESX Short 2 70,149 €

2

MSCI EM (USD/NTR) FMEM Long 1

1,046 €

43,187 €

91,612 € 1.1%

MSCI EM Asia (USD/NTR) FMEA Short 1 48,426 €

3

MSCI EM (USD/Price) FMEF Long 1

1,058 €

46,834 €

95,260 € 1.1%


4

MSCI World (USD/NTR) FMWO Long 1

2,309 €

52,798 €

101,223 € 2.3%


5

MSCI World (USD/Price) FMWP Long 2

1,893 €

37,038 €

83,872 € 2.3%

MSCI EM (USD/Price) FMEF Short 1 46,834 €

6

MSCI EM (USD/NTR) FMEM Long 1

1,740 €

43,187 €

86,140 € 2.0%

MSCI EM Latin America (USD/NTR) FMEL Short 1 42,953 €

Eurex’s PRISMA methodology offers lower margin rates for spreads

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• Eurex already has the best orderbook picture for MSCI World (FMWO) and MSCI Europe (FMEU).

• Average impact for a 1mn FMEU EUR order (according to Eurex Liquidity Measure - ELM) has decreased from ~7

bps in Q1, 2018 to ~ 5.4bps in Q1, 2019.

• In both products we can observe that the first algo-driven firms have started trading.

• Eurex anticipates new members that focus on ETF strategies will join the orderbook.

ELM in FMWO and FMEU for a 1mn EUR order Order book volumes in MSCI Europe & World

10

Order books on MSCI futures are now improving more frequently (I / II)Already very liquid orderbooks in Futures on MSCI Europe & World (USD & EUR)

-

5

10

15

20

25

30

35

40

45

Jul

Aug

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Oct

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b

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Jul

Aug

Sep

Oct

Nov

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Jan

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b

Mar

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Jul

Aug

Sep

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b

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Jul

Aug

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b

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Apr

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FMWO FMEU

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FMEU FMWO FMWN

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ELM in FMEM and FMEF for a 1M EUR order

• Spreads on MSCI EM Futures, for both the NTR index (FMEM) as well as for Price index (FMEF), are tightening as well.

• Average impact for a 1M EUR order in EM has decreased from ~ 9 bps in Q1, 2018 to ~7 bps in Q1, 2019

• Orderbook volumes have increased on average 5% month-over-month for both FMEN and FMEM for the past year.

• Algo firm participation, which is usually a function of ADV, is expected to increase further.

11

In other contracts (like MSCI EM), order book liquidity has continuously improved

since 2015Order book volumes in MSCI EM (NTR, USD & EUR)

Order books on MSCI futures are now getting better more permanently (II / II)

-

5

10

15

20

25

30

35

Jul

Au

g

Sep

Oct

No

v

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Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

Dec Jan

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

Dec Jan

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

Dec Jan

Feb

Mar

Ap

r

2015 2016 2017 2018 2019

FMEF FMEM

0

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4000

6000

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10000

12000

14000

16000

18000

FMEM FMEN

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12

Note: The revenue sharing schemes are additive, i.e. Liquidity providers fulfilling a package may also qualify for the 15% revenue sharing per product

LP per product

Based on last years LP1 scheme (tight

spreads / small size) / for some products

quoting the roll is requested / former LP2

scheme skipped

20% revenue sharing (fees minus rebates),

thereof:

• 5% equally shared (per fulfilled timezone)

Max. 5 LPs per time zone

• 15% pro-rata on M account (OB + TES)

Max. 10 LPs

Market participants

European hours

9am – 5:30pm CET

U.S. Hours

3:30pm – 10pm CET

…cover 70 % of either one (or in a roll month quote the calendar)

Futures

50% fee rebates

Options

According to price list

…cover 85 %

European hours

9am – 5:30pm CET

Dev. Mark. package Em. Mark. package

Quote at least 20

out of 56 MSCI

futures

Quote at least 20

out of 40 MSCI

futures

15% revenue sharing (fees minus rebates),

thereof:

• 5% equally shared (per fulfilled timezone) -

Max. 5 LPs per time zone

• 10% pro-rata on M account (OB)

Max. 10 LPs

LP per product

Calls and puts in five

strike prices

LP1 min quote sizes

20% revenue

sharing (fees minus

rebates)

• 10% equally

• 10% pro-rata on

all accounts

(on+offbook)

• Max. 5 LPs p.

product p. month

LP package

Quote at least 5 out

of 19 option

products

15% revenue

sharing (fees minus

rebates)

• 5% equally

• 10% pro-rata on

all accounts

(on+offbook)

• Max. 5 LPs per

month

Asian hours

1am – 9:00am CET

An attractive revenue sharing program is helping attractmarket makers and develop order books

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Eurex’s extended trading hours (THX) have created more flow

13

• The MSCI EM index is dominated by Asian countries (~70% of the weight), however, 90%

of futures trading is currently done during US trading hours.

• Most of the global equity desks are located in Europe. Eurex is therefore much better

placed in the trading day to cover EM trading.

0%

10%

20%

30%

40%

50%

60%

70%

China Korea (South) Taiwan India Brazil

South Africa Russia Mexico Indonesia Malaysia

Thailand Philippines Chile Poland Turkey

Qatar United Arab Emirates

ICE US core trading

Eurex (THX)

Share of MSCI EM index open for trading

THX has been crucial to compete in EM / Chinese markets

Eurex Trading Hours

European & US Trading Hours

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0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

Dec-17 Dec-18 Mar-19

Evolution of MSCI Options OI

OMEU

OMWN

OMEN

OMEA

OMEM

OMFP

OMWP

OMWO

OMEF

Eurex’s MSCI Options are gaining momentum as well

• Eurex is the main global market for MSCI options

• Offering F&O on one platform offers advantages in hedging,

margining, strategy trading

• Focus is on EM, World & EAFE indices, whereby (in opposite

to MSCI Futures) the main interest is on price indices

• 22 bn EUR are currently invested in 8 different options

• Market Making quotation (on-screen) is still fairly thin

14

Based on higher liquidity in MSCI Futures, the options are getting traction as well

Markets Eurex Code Index Name Currency Index Type Index Code (Close) Options Bloomberg Multiplier Tick Min. Block

Size

% Off-Book

(April)

% Agency

Cleared

Volume

(April)

Notional

Value per

Contract

(USD)

ADV 2019 Volume

(April)

Volume in EUR

(April)

Open

Interest as of

April 30th,

2019

Open Interest in

EUR as of April

30th, 2019

DM OMWP MSCI World USD NTR NDDUWI Index MXWO <Index> OMON 10.00 0.10 150.00 98.9% 9.6% 1,698 39,774 719,327,740 168,747 2,934,189,061

DM OMFP MSCI EAFE USD Price MSDUEAFE Index DMSCIEA1 <Index> OMON 50.00 0.10 100.00 100.0% 5.5% 1,029 26,400 2,116,740,117 108,284 8,254,686,248

DM OMWO MSCI World USD NTR NDDUWI Index M1WO <Index> OMON 10.00 0.10 100.00 100.0% 29.5% 707 6,100 324,539,637 45,762 2,212,426,186

DM OMJP MSCI Japan USD NTR NDDUJN Index NDDUJN <Index> OMON 10.00 0.10 1.00 0.0% 0.0% - - - - -

DM OMWB MSCI World USD NTR NDDUWI Index MDWO <Index> OMON 10.00 1.00 1.00 0.0% 0.0% - - - - -

DM OMWN MSCI World USD NTR NDDUWI Index MBWO <Index> OMON 10.00 0.10 10.00 0.0% 0.0% - - - - -

DM & EM OMAS

MSCI AC

Asia Pacific

ex Japan

USD NTR NDUECAPF Index M1APJ <Index> OMON 100.00 0.10 50.00 100.0% 50.0% 25 1,064 43,393,918 1,033 40,467,290

EM OMEF

MSCI

Emerging

Markets

USD NTR NDUEEGF Index DMSCIEF1 <Index> OMON 100.00 0.10 100.00 100.0% 2.3% 2,724 43,200 1,910,959,751 210,948 8,774,103,293

EM OMEA

MSCI

Emerging

Markets

Asia

USD NTR NDUEEGFA Index M1MS <Index> OMON 100.00 0.10 50.00 100.0% 50.0% 139 7,732 357,108,520 5,852 256,861,593

EM OMEM

MSCI

Emerging

Markets

USD NTR NDUEEGF Index M1EF <Index> OMON 100.00 0.10 100.00 0.0% 0.0% 177 - - - -

EM OMEN

MSCI

Emerging

Markets

USD NTR NDUEEGF Index MBEF <Index> OMON 100.00 0.10 1.00 0.0% 0.0% 182 - - - -

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