Eurex supports electronification with Market-on-Close Futures

Eurex has  launched a product to support market participants in
electronifying their trading business. As of 30 October, Eurex
Market-on-Close (MOC) futures provide a concept to trade index futures at a price level
directly linked to the underlying cash market index close, prior to its
actual publication.

”This is of particular importance to investors using or offering
benchmarked products like swaps or Exchange Traded Products. They utilize index futures
at the index close level for hedging purposes, but require a more granular
futures pricing than in the regular index futures trading to avoid slippage costs“,
says Mehtap Dinc, Member of the Eurex Executive Board and Head of
Derivatives Product Research & Development at Deutsche Börse Group.

Eurex designed MOC futures to boost efficiencies and to further support the
regulatory agenda by facilitating the migration from OTC instruments to the
transparent on-exchange environment. As a first step, the exchange launches
MOC futures on the Euro STOXX 50 index futures, one of the most liquid index
futures globally. Europe’s leading blue-chip index for the Eurozone covers
50 stocks from 11 Eurozone countries. It is licensed to financial institutions
to serve as underlying for a wide range of investment products such as
Exchange Traded Products, futures, options and structured products worldwide.

Eurex MOC futures represent the basis, e.g. the difference between the
current futures price and the current index cash price. 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 the Euro
STOXX 50 index futures takes place one hour approximately after close of the
European cash markets. Post settlement, the Euro STOXX 50 index futures will be
immediately available to market participants. Execution of Eurex MOC futures will be possible in the order book and via Eurex’ Trade Entry Services. Following the trade of Eurex MOC futures,
Eurex Clearing offers immediate risk management and efficient clearing solutions.