Trade at Index Close

Market participants need to efficiently move between cash and derivative markets. To meet market demand, Eurex has introduced a new order type, the Trade at Index Close. This order type supports the entry of off-book trades in equity index futures based on the combination of the next available index closing price plus basis.

In other words, two Eurex Trading Participants, having agreed on relevant details for a futures transaction in equity index futures that are priced by reference to a prospective closing level of the underlying index plus basis (guaranteed price), can enter the relevant information for this transaction via the EFP-I Trade Service. The order information for the trade has to be entered as soon as the daily underlying index close price is available and all trade details have been reconfirmed by the involved counterparties. The final futures price is determined by adding the basis to the index close.

Trades at Index Close at Eurex …

• are available for all Eurex equity index futures admitted to the EFPI Trade.
• must qualify as a Trade at Index Close, for example:
   
  • The entry of the order information must indicate that the trade is a “Trade at Index Close“ and the basis agreed upon between the counterparties.
  • The order information must be entered whenever the next official closing price of the underlying index is available. For MSCI Futures, this is normally on the next trading day.
  • Selected index futures contracts must be admitted for Exchange for Physicals (EFPI) Service.
  • Minimum sizes must be at least 10 percent of the Block Trade size in place for the respective index futures contract.
  • On request, participants are required to provide evidence for the respective transactions. The evidence must include the guaranteed price and the relation to the relevant official closing price of the underlying index.
  • Non-delivery of evidence will be punished and cancelation fee or contractual fines will be charged.