IMG
Eurex Market-on-Close Futures

Eurex Market-on-Close Futures (Eurex MOC Futures) are designed to significantly facilitate MOC trading since the index futures can be traded at the underlying cash market index close ahead of its actual publication.

Article also available in : English EN | français FR

Most futures trading for market-on-close (MOC) in Europe currently takes place on the OTC markets. Market participants usually agree on the basis in the inter-dealer-broker market and enter their futures trades into the Eurex® system after index close, which involves higher operational efforts and reduces risk management capabilities. What’s more, transactions need to have a certain size, to be able to participate in the OTC market, limiting access for market participants. In addition, slippage costs are likely as the calculated final futures price is more precise than the available tick size of the listed index future.

Benefiting the market: a listed solution for basis trading

Eurex Market-on-Close Futures (Eurex MOC Futures) are designed to significantly facilitate MOC trading since the index futures can be traded at the underlying cash market index close ahead of its actual publication. The contract represents the basis, defined as the difference between the current futures price and the current index cash price. The first Eurex MOC Futures will be based on EURO STOXX 50® Index Futures (FESX), covering one of the most liquid index futures worldwide.

Application opportunities

Eurex MOC Futures are an efficient hedging instrument for products benchmarked against the index close: • Exchange-traded funds (ETFs) • Index options and structured products • OTC swaps and options • Cash equalization and balance sheet management

Key benefits
Increased efficiency and minimized tracking risk Market participants benefit from straight-through processing for Eurex MOC transactions resulting in reduced front office workload as well as lower tracking error.

Enhanced market transparency and consolidated liquidity On-exchange trading offers immediate liquidity and price information.

Eliminated slippage risk

The smaller tick size of Eurex MOC Futures offers more precise pricing with the cash market index close level being provided with two decimals according to market conventions.

Immediate availability of index futures after settlement
The intraday delivery of the underlying makes the EURO STOXX 50® Index Futures immediately available to market participants during the trading session.

Lower transaction costs
On-exchange trading offers capital efficiencies compared to OTC business.

Easy market access
The minimum trading size of one contract means equal access to the order book for all market participants. TES Block Trade transactions are available starting at 500 contracts.

Automated risk management
Immediately after the transaction of the basis, Eurex MOC trades will be included in the market participants’ risk management system. As central counterparty to each trade, Eurex Clearing mitigates counterparty risks.

Trading in Eurex MOC Futures is offered during the trading day up until the cash market index close level is determined. After publication, the exact index close level is added to the traded price of the basis (Eurex MOC Futures) to calculate the final settlement price with up to two decimals accuracy. Physical settlement into EURO STOXX 50® Index Futures takes place at approximately 18:30 CET. The EURO STOXX 50® Index Futures will be available for trading to market participants immediately after settlement.

Eurex T7 Entry Services

Use our T7 Entry Services to enter bilaterally agreed off-book block trades and benefit from the advantages of centralized clearing and settlement. This means that when it comes to position keeping and the clearing and settlement of transactions, investors benefit from all the advantages of a listed derivative product.

Contract specifications

JPEG - 102.5 kb
* FESX has a term of up to 24 months

Market Maker

Next Finance 5 December

Article also available in : English EN | français FR

Read also
Tags


Share


Comment

In the same section