Exploring Market on Close Facilities, Part 1: The Americas
Guests: Nick Birkett, CFA, Portfolio Manager, Vanguard and John Kraynak, CFA, Portfolio Manager, Vanguard
Host: Peter Haynes, Managing Director and Head of Index and Market Structure Research, TD Securities
In Episode 71, Peter is joined by two market-on-close (MOC) experts from Vanguard, portfolio managers Nick Birkett and John Kraynak. Nick has been trading the U.S. close for the past eight years from his perch in the Scottsdale office. Prior to moving to the U.S., Nick was with the portfolio trading team at JP Morgan in London for 14 years. John is based out of Malvern and has been with Vanguard for 15 years. He manages portfolios for the international team and is active in trading closing order flow for Vanguard in Canada and Brazil. John is involved in working with Mexican officials on the potential creation of a MOC auction modeled off the new relatively new, and very well received, TSX MOC facility.
Nick and John go through the nuances of each model and order type important to closing auctions and debate the pros and cons of various features of each MOC facility. The two portfolio managers finish up with tips for traders navigating on close risk in the Americas; a process that requires local knowledge that takes into consideration unique trading conventions in each market.
This podcast was recorded on May 5, 2025.
Full transcript to come.
