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
- * FESX has a term of up to 24 months
Market Maker
