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Eurex supports electronification with Market-on-Close Futures

Release date: 12 Sep 2017 | Eurex Exchange

Eurex supports electronification with Market-on-Close Futures

As of Monday, 30 October 2017, Eurex Market-on-Close (MOC) Futures will be providing a concept to trade index futures at a price level directly linked to the underlying cash market index close, prior to its actual publication. MOC Futures represent the basis, e.g. the difference between the current futures price and the current index cash price.

MOC Futures are designed to boost efficiencies and to further support the regulatory agenda by facilitating the migration from OTC instruments to the transparent on-exchange environment. Initially MOC Futures will be launched on EURO STOXX 50® Index Futures, Europe's leading blue chip index for the Eurozone covering 50 stocks from 11 Eurozone countries.

This new offering 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.

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’ T7 Entry Services. Following the trade of Eurex MOC Futures, Eurex Clearing offers immediate risk management and efficient clearing solutions.