30
Eurex Dividend Derivatives March 2018
Eurex Dividend DerivativesMarch 2018
www.eurexchange.com
Eurex Dividend Derivatives
Eurex offers a wide range of Dividend DerivativesEvolution of the dividend market segment and product portfolio
2
Launch of EURO STOXX
50® Index Dividend
Futures (FEXD)
Jun 2008
May 2010
Launch of EURO
STOXX 50® Index
Dividend Options
(OEXD)
Launch of 50 Single Stock
Dividend Futures (SSDFs)
on EURO STOXX 50®
components)
Jan/Mar 2010
Launch of UK
SSDFs
Feb 2011
Change of SSDFs
multiplier from 100 to
1000 underlying
shares
Oct 2010
Jun 2009
Launch of 4 additional
index dividend futures
(SMI®, DAX®, EURO
STOXX® Select
Dividend, DivDAX®)
Nov 2010
Launch of 10
Swiss SSDFs
Eurex Dividend Derivatives
Mar 2012
Launch of Sector
Index Dividend
Futures
Launch of U.S.
SSDFs
Apr 2014
Jan/Feb 2015
Launch of 31
European SSDFs
EURO STOXX 50®
Dividend Futures –
Tradability in the U.S.
Jan 2017
www.eurexchange.com
Eurex Dividend Derivatives
Dividend Derivatives volume developmentVolume & Open Interest
3
0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
Jun
-08
Sep-08
Dec-08
Mar-0
9
Jun
-09
Sep-09
Dec-09
Mar-1
0
Jun
-10
Sep-10
Dec-10
Mar-1
1
Jun
-11
Sep-11
Dec-11
Mar-1
2
Jun
-12
Sep-12
Dec-12
Mar-1
3
Jun
-13
Sep-13
Dec-13
Mar-1
4
Jun
-14
Sep-14
Dec-14
Mar-1
5
Jun
-15
Sep-15
Dec-15
Mar-1
6
Jun
-16
Sep-16
Dec-16
Mar-1
7
Jun
-17
Sep-17
Dec-17
Mar-1
8
Op
en
Inte
rest
Trad
ed
C
on
trac
ts
Eurex Index and Single Stock Dividend Derivatives
Index Dividend Futures Traded Volume Index Dividend Options Traded Volume
Single Stock Dividend Futures Traded Volume Total Dividend Derivatives Open Interest
www.eurexchange.com
Eurex Dividend Derivatives
Your benefits trading Dividend DerivativesPotential uses & applications of trading listed futures and options
• Income protection – allows investors to lock in expected & implied dividends to assure income
returns
• Hedging of dividend risk – particularly for structured products and equity options
• Directional views on dividends – trading of house views on earnings and distributions
• Isolation of price return/capital growth on equities
• Dispersion / correlation – trading single stock vs index dividends
• Opportunistic trades
• Curve trading – terms structures / calendar spreads
• Diversification
• Relative value trading – to other asset classes e.g. credit
• Underlying for dividend linked structures
Dividend
Derivatives
4
Listed
futures
• No counterparty risk & no documentation required
• More liquidity and transparency comparing to the OTC
• Standardized treatment of corporate actions adjustments
• Underlying index for each contract and maturity to monitor accrued dividend
• Possibility to monitor the history of implied dividends across market events
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Eurex Dividend Derivatives
• Dividend Derivatives allow investors to take positions in, or hedge, future dividend
payments – and can be based on individual stocks or on equity indexes.
• The futures and options contracts themselves settle to the realized value of dividend
payments in a future period – i.e. that period referenced by the contract.
• In Europe the most common settlement period is an annual one (Dec to Dec) and the
settlement of each contract is the value equivalent to dividends paid - either in cash (for
individual stocks) or the dividend amount in index point equivalents.
• Gross (100%) of declared dividends, paid either in cash or shares, unless the related
primary derivatives exchange / index provider makes an adjustment to underlying.
• Stock dividends are usually included at the cash equivalent amount.
• Dividends declared special or extraordinary by the issuer are usually excluded*
• Return of capital: they follow the related underlying exchange rules.
• Share buy-backs are excluded.
Eurex Dividend Derivatives outline What are they & which dividends count?
5
Outline
Qualifying
dividends
* However where such a special dividend is adjusted in the underlying price index by an amount net of withholding tax –
that withholding tax element is used in the calculation for the gross dividend points.
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Futures Volume & Open Interest
6
0
120,000
240,000
360,000
480,000
600,000
720,000
840,000
960,000
1,080,000
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
Jun
-08
Sep
-08
De
c-08
Ma
r-09
Jun
-09
Sep
-09
De
c-09
Ma
r-10
Jun
-10
Sep
-10
De
c-10
Ma
r-11
Jun
-11
Sep
-11
De
c-11
Ma
r-12
Jun
-12
Sep
-12
De
c-12
Ma
r-13
Jun
-13
Sep
-13
De
c-13
Ma
r-14
Jun
-14
Sep
-14
De
c-14
Ma
r-15
Jun
-15
Sep
-15
De
c-15
Ma
r-16
Jun
-16
Sep
-16
De
c-16
Ma
r-17
Jun
-17
Sep
-17
De
c-17
Ma
r-18
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest
EURO STOXX® 50 Index Dividend Futures
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Futures Capital Volume
7
0
1,000,000,000
2,000,000,000
3,000,000,000
4,000,000,000
5,000,000,000
6,000,000,000
7,000,000,000
8,000,000,000
9,000,000,000
10,000,000,000
Jun
-08
Sep
-08
De
c-08
Ma
r-09
Jun
-09
Sep
-09
De
c-09
Ma
r-10
Jun
-10
Sep
-10
De
c-10
Ma
r-11
Jun
-11
Sep
-11
De
c-11
Ma
r-12
Jun
-12
Sep
-12
De
c-12
Ma
r-13
Jun
-13
Sep
-13
De
c-13
Ma
r-14
Jun
-14
Sep
-14
De
c-14
Ma
r-15
Jun
-15
Sep
-15
De
c-15
Ma
r-16
Jun
-16
Sep
-16
De
c-16
Ma
r-17
Jun
-17
Sep
-17
De
c-17
Ma
r-18
EURO STOXX 50® Index Dividend Futures - Capital Volume
Capital Volume
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Futures March 2018 (by maturity)
8
0
50,000
100,000
150,000
200,000
250,000
300,000
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
2018 2019 2020 2021 2022 2023 2024 2025 2026 2027
Tota
l V
olu
me
s -
in C
on
trac
ts
EURO STOXX 50® Index Futures - Contract Expiry
Traded as Principal Traded as Market Maker Traded as Agency Month End Open Interest
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Futures Price range February 2018
9
90.0
95.0
100.0
105.0
110.0
115.0
120.0
125.0
130.0
135.0
Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25 Dec-26 Dec-27
Open 126.3 127.6 128.2 125.3 122.4 118.6 116.1 111.5 110.6 106.5
High 126.6 128.4 129.9 127.1 122.5 119.1 116.1 112.7 110.6 107.2
Low 125.9 123.8 123.7 120.0 114.9 111.5 107.3 104.8 101.3 99.2
Close 126.3 127.8 128.4 125.8 122.7 119.5 116.8 114.2 111.7 108.9
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend FuturesUnderlying
The EURO STOXX 50® Index Dividend Futures is based upon the underlying calculation of dividends for the constituents of the EURO STOXX 50® (SX5E) blue chip benchmark index determined by STOXX Ltd. Index dividend futures settle to the annual value of the EURO STOXX 50® DVP Dividend Points (DVP) Index (SX5ED) which calculates the dividends of the constituents for each annual period running from (but excluding) the third Friday in December of the preceding year to (and including) the third Friday in December of the reference year. The calculation is based on the cash equivalent value of dividend payments for all stock incorporated in the index with the total eligible dividend value as at ex-date converted into index points using the Index Divisor of SX5E.
In the case where STOXX® determine that a dividend is “special” – they will adjust the underlying SX5E price index divisor based upon the net of withholding tax value of this special dividend. To ensure the SX5ED incorporates the effect of a gross dividend – the SX5ED (DVP) Index will in this case incorporate the withholding tax equivalent amount into it’s calculation.
10
• As an example to SX5ED value as at end of March 2018 is shown below:
STOXX
Record Date
Dividend Ex-Date
(Effective)
EURO STOXX 50® (SX5E)
Constutuent Currency Country
Gross
Dividend
Paid €
Free Float
Factor Shares in Index
Dividend Amount
in Index
Paid To Date
3/9/2018 3/8/2018 CRH ID EQUITY EUR IR 0.49 1.002 838.9703450 840.7979000
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Eurex Dividend Derivatives
Other Index Dividend Futures* Volume & Open Interest
11
*DAX® Price Index Dividend Futures (FDXD), DivDAX® Dividend Futures (FDVD),
SMI® Dividend Futures (FSMD),
EURO STOXX® Select Dividend 30 Index Dividend Futures (FD3D),
EURO STOXX® Banks Dividend Futures (FEBD), EURO STOXX® Insurance Dividend Futures (FEID), EURO STOXX® Oil&Gas Dividend Futures (FEED), EURO STOXX®
Telecommunications Dividend Futures (FETD), EURO STOXX® Utilities Dividend Futures (FEUD),
STOXX® Europe 600 Banks Dividend Futures (FSBD), STOXX® Europe 600 Insurance Dividend Futures (FSID), STOXX® Europe 600 Oil&Gas Dividend Futures (FSED), STOXX®
Europe 600 Telecommunications Dividend Futures (FSTD), STOXX® Europe 600 Utilities Dividend Futures (FSUD)
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Jun
-09
Sep
-09
De
c-09
Ma
r-10
Jun
-10
Sep
-10
De
c-10
Ma
r-11
Jun
-11
Sep
-11
De
c-11
Ma
r-12
Jun
-12
Sep
-12
De
c-12
Ma
r-13
Jun
-13
Sep
-13
De
c-13
Ma
r-14
Jun
-14
Sep
-14
De
c-14
Ma
r-15
Jun
-15
Sep
-15
De
c-15
Ma
r-16
Jun
-16
Sep
-16
De
c-16
Ma
r-17
Jun
-17
Sep
-17
De
c-17
Ma
r-18
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest
Other Index Dividend Futures
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Options Volume & Open Interest
12
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
2,000,000
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
500,000
Jun
-10
Sep
-10
De
c-10
Ma
r-11
Jun
-11
Sep
-11
De
c-11
Ma
r-12
Jun
-12
Sep
-12
De
c-12
Ma
r-13
Jun
-13
Sep
-13
De
c-13
Ma
r-14
Jun
-14
Sep
-14
De
c-14
Ma
r-15
Jun
-15
Sep
-15
De
c-15
Ma
r-16
Jun
-16
Sep
-16
De
c-16
Ma
r-17
Jun
-17
Sep
-17
De
c-17
Ma
r-18
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest
EURO STOXX® 50 Index Dividend Options
www.eurexchange.com
Eurex Dividend Derivatives
EURO STOXX 50® Index Dividend Options
Capital Volume
13
0
500,000,000
1,000,000,000
1,500,000,000
2,000,000,000
2,500,000,000
3,000,000,000
Ma
y-1
0Ju
l-1
0Se
p-1
0N
ov-
10
Jan
-11
Ma
r-11
Ma
y-1
1Ju
l-1
1Se
p-1
1N
ov-
11
Jan
-12
Ma
r-12
Ma
y-1
2Ju
l-1
2Se
p-1
2N
ov-
12
Jan
-13
Ma
r-13
Ma
y-1
3Ju
l-1
3Se
p-1
3N
ov-
13
Jan
-14
Ma
r-14
Ma
y-1
4Ju
l-1
4Se
p-1
4N
ov-
14
Jan
-15
Ma
r-15
Ma
y-1
5Ju
l-1
5Se
p-1
5N
ov-
15
Jan
-16
Ma
r-16
Ma
y-1
6Ju
l-1
6Se
p-1
6N
ov-
16
Jan
-17
Ma
r-17
Ma
y-1
7Ju
l-1
7Se
p-1
7N
ov-
17
Jan
-18
Ma
r-18
Options on EuroStoxx 50 Index Dividend Futures - Capital Volume
Capital Volume
www.eurexchange.com
Eurex Dividend Derivatives
Single Stock Dividend Futures
Volume & Open interest
14
0
250,000
500,000
750,000
1,000,000
1,250,000
1,500,000
1,750,000
2,000,000
2,250,000
2,500,000
2,750,000
3,000,000
3,250,000
3,500,000
3,750,000
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
500,000
550,000
600,000
650,000
700,000
Jan
-10
Ma
r-10
Ma
y-1
0Ju
l-1
0Se
p-1
0N
ov-
10
Jan
-11
Ma
r-11
Ma
y-1
1Ju
l-1
1Se
p-1
1N
ov-
11
Jan
-12
Ma
r-12
Ma
y-1
2Ju
l-1
2Se
p-1
2N
ov-
12
Jan
-13
Ma
r-13
Ma
y-1
3Ju
l-1
3Se
p-1
3N
ov-
13
Jan
-14
Ma
r-14
Ma
y-1
4Ju
l-1
4Se
p-1
4N
ov-
14
Jan
-15
Ma
r-15
Ma
y-1
5Ju
l-1
5Se
p-1
5N
ov-
15
Jan
-16
Ma
r-16
Ma
y-1
6Ju
l-1
6Se
p-1
6N
ov-
16
Jan
-17
Ma
r-17
Ma
y-1
7Ju
l-1
7Se
p-1
7N
ov-
17
Jan
-18
Ma
r-18
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest
Single Stock Dividend Futures
www.eurexchange.com
Eurex Dividend Derivatives
Single Stock Dividend Futures
Capital Volume
15
0
100,000,000
200,000,000
300,000,000
400,000,000
500,000,000
600,000,000
700,000,000
800,000,000
Jan
-10
Ma
r-10
Ma
y-1
0Ju
l-1
0Se
p-1
0N
ov-
10
Jan
-11
Ma
r-11
Ma
y-1
1Ju
l-1
1Se
p-1
1N
ov-
11
Jan
-12
Ma
r-12
Ma
y-1
2Ju
l-1
2Se
p-1
2N
ov-
12
Jan
-13
Ma
r-13
Ma
y-1
3Ju
l-1
3Se
p-1
3N
ov-
13
Jan
-14
Ma
r-14
Ma
y-1
4Ju
l-1
4Se
p-1
4N
ov-
14
Jan
-15
Ma
r-15
Ma
y-1
5Ju
l-1
5Se
p-1
5N
ov-
15
Jan
-16
Ma
r-16
Ma
y-1
6Ju
l-1
6Se
p-1
6N
ov-
16
Jan
-17
Ma
r-17
Ma
y-1
7Ju
l-1
7Se
p-1
7N
ov-
17
Jan
-18
Ma
r-18
Single Stock Dividend Futures - Capital Volume
Capital Volume
www.eurexchange.com
Eurex Dividend Derivatives
Single Stock Dividend Futures – Monthly figures Volume distribution March 2018
16
Germany24%
France27%
Italy25%
Spain3%
UK6%
Switzerland6%
Netherlands1%
Belgium3%
Finland5%
Total SSDFs - Capital Volume in EUR
Italy, 187,867
Spain, 41,580
France, 49,840
Germany, 28,955
Netherlands, 2,500
Finland, 27,650
Belgium, 2,440
EURO STOXX 50® Constiuent SSDFs - Volumes
www.eurexchange.com
Eurex Dividend Derivatives
Dividends and margin benefits
*Calculation date: 2017/01/30
SX5E Index
Futures
472,484 €
SX5E Divi
Futures
94,002 €
Portfolio
FEXD + FESX
331,240 €
41%
savings
Single Margins Portfolio Margining
Name Eurex Long Short Exp. Date Initial
Margin (in
EUR)
Liquidity
add on (in
EUR)
Margin
Total (in
EUR)
Portfolio
Margin
Total (in
EUR)
Margin
savings
SX5E Divi
Future
FEXD 100 0 2021/12/17 92,776 1,226 94,002
331,240 41%SX5E
Index
Future
FESX 0 100 2017/09/15 357,763 114,721 472,484
Example FEXD vs FESX
• With Eurex´ Clearing Prisma Portfolio Margining, trading the
EURO STOXX 50 Index Dividend Futures versus the EURO
STOXX 50 Index Futures makes you benefit from netting effects.
15
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Eurex Dividend Derivatives
Market Makers
EURO STOXX 50® Index Dividend Futures (FEXD)
ADG Market Making LLP
Banco Santander
BNP Paribas
DRW
HiQ Trading
HSBC
Morgan Stanley
Société Générale
AMMLO
BSAMD
BNAPA
LOTLO
HIQAM
MIDLO
MGILO
SOGFR
Dmitri Zaporozhets
Alfonso Ruiz Poveda
Nicolas Certner
Chad Miller
Jan-Jaap Surie
Alexandre Chevallier
Kunal Sodha
Massimiliano Pignatelli
+ 44 20 78 561 625
+ 34 91 25 721 72
+ 44 20 7595 1342
+ 44 20 7031 1369
+ 0031 20 535 3499
+ 44 20 7991 1463
+ 44 20 7425 5037
+ 44 20 7762 5971
18
SMI® Dividend Futures (FSMD)
BNP Paribas (Suisse) SA
Société Générale
Société Générale
BNPBS
SOGFR
SOGFR
Geoffray Zanin
Eric Carballeda
Massimiliano Pignatelli
+ 41 22 787 7566
+ 33 10 42133224
+ 44 20 7762 5971
Single Stock Dividend Futures (SSDFs)
BNP Paribas
Morgan Stanley
Société Générale
Banco Santander
BNAPA
MGILO
SOGFR
BSAMD
Yanis Escudero (EURO STOXX 50®)
Maximilian Leuschner
Massimiliano Pignatelli
Alfonso Ruiz Poveda
+ 44 20 7595 1691
+ 44 20 7677 9112
+ 44 20 7762 5971
+ 34 91 25 721 72
www.eurexchange.com
Eurex Dividend Derivatives
Further market contacts
19
Sector Index Dividend Futures
BNP Paribas
Société Générale
Société Générale
BNAPA
SOGFR
SOGFR
Aurélien Cristini
Eric Carballeda
Massimiliano Pignatelli
+ 44 20 7595 8998
+ 33 1 42 133 224
+ 33 1 42 133 224
EURO STOXX 50® Index Dividend Options (OEXD)
Deutsche Bank
BNP Paribas
Exane Derivatives
JP Morgan
Key Capital Partners
Société Générale
DBKFR
BNAPA
EXDPA
JPMFR
n/a
SOGFR
Bharat Garg
Karim Chaoui
Charles Lacarriere
Duncan Barclay
Javier Tomás
Laurent van Hollemeersch
+ 44 20 7547 56291
+ 44 20 7595 8402
+ 33 144 9540 00
+ 44 207 1341 422
+ 34 914 9053 85
+ 33 1 42 13 64 34
EURO STOXX 50® Index Dividend Futures (FEXD)
Altura Markets
BoA Merrill Lynch
Goldman Sachs
HPC
JP Morgan
Key Capital Partners
ALMMD
MLILO
GSIEB
PAFPA
JPMFR
n/a
Enrique Castillo
Ian Bower
Lorenzo Longo
Benjamin Banet, Grégory Banet
Ziad Kerbage
Javier Tomás
+ 34 913 7453 15
+ 44 207 9960 606
+ 44 207 0518 618
+ 33 1 153 2932 - 13 or -20
+ 44 207 7426 582
+ 34 914 9053 85
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Eurex Dividend Derivatives
20
Appendix
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Eurex Dividend Derivatives
Contract specifications – Index Dividend Futures
Reference contractEURO STOXX 50® Index
Dividend Futures
EURO STOXX® Select
Dividend 30 Index
Dividend Futures
SMI® Dividend
Futures
DAX® Price Index
Dividend Futures
DivDax® Dividend
Futures
Underlying dividend
points calculationEURO STOXX 50® DVP
EURO STOXX® Select
Dividend 30 DVP
SMI® Dividend
Points Index
DAX® Dividend
Points Index
DivDAX® Dividend
Points Index
Index provider STOXX Ltd. STOXX Ltd.SIX Swiss Exchange
Ltd.Deutsche Börse AG Deutsche Börse AG
Eurex product ID FEXD FD3D FSMD FDXD FDVD
Launch date 30 Jun 2008 22 Jun 2009
Contract valueEUR 100 per index dividend
point
EUR 100 per index
dividend point
CHF 100 per index
dividend point
EUR 100 per index
dividend point
EUR 1.000 per index
dividend point
Price quotation in points, with one decimal placein points, with two
decimal places
Minimum price change0.1 index points, equivalent to a
value of EUR 10
0.1 index points,
equivalent to a value of
EUR 10
0.1 index points,
equivalent to a value
of CHF 10
0.1 index points,
equivalent to a value
of EUR 10
0.01 index points,
equivalent to a value
of EUR 10
Settlement Cash settlement, all values payable on the first exchange day following the final settlement date.
Contract months
The ten nearest successive
annual contracts of the
December cycle (from the first
exchange day after the last
trading day of the calendar year
up to the final settlement day of
the following calendar year) are
available for trading at any time.
The five nearest successive annual contracts of the December cycle (from the first exchange day
after the last trading day of the calendar year up to the final settlement day of the following
calendar year) are available for trading at any time.
Last trading dayLast trading day is the final settlement day. Final settlement day is the third Friday of each December maturity month if this is an
exchange day; otherwise the exchange day immediately preceding that day.
Trading hours
08:30-22:00 CET
(12:00 CET on the last trading
day)
08:30-18:30 CET
(12:00 CET on the last
trading day)
08:30-17:27 CET
(09:00 CET on the
last trading day)
08:30-18:30 CET
(12:00 CET on the
last trading day)
08:30-18:30 CET
(12:00 CET on the
last trading day)
Transaction fees
Regular transactions: EUR 1.20 CHF 1.80 EUR 2.00
OTC Block Trades: EUR 1.80 CHF 2.40 EUR 3.00
Cash settlement: EUR 1.20 CHF 1.80 EUR 2.00
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Eurex Dividend Derivatives
Contract specifications – Sector Dividend Futures
22
UnderlyingEURO STOXX® Banks / Utilities / Telecommunications / Insurance / Oil&Gas DVP
STOXX® Europe 600 Banks / Utilities/ Telecommunications / Insurance / Oil&Gas DVP
Currency EUR
Contract months
The five nearest successive annual contracts of the December cycle (from the first exchange day after the last trading
day of the calendar year up to the final settlement day of the following calendar year) are available for trading at any
time.
Contract value EUR 500 per index point.
Price quotation and
minimum price change
The price quotation is in points, with two decimal places. The minimum price change is 0.01 points, equivalent to a
value of EUR 5 per contract.
Settlement Cash settlement, payable on the first exchange day following the final settlement day.
Last trading day and final
settlement day
Last trading day is the final settlement day. Final settlement day is the third Friday of each December maturity month if
this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing
futures on the last trading day is at 12:00 CET, for SMI® Dividend Futures at 9:00 CET.
Final settlement price
The final settlement price is established by Eurex on the final settlement day at 12:00 CET based on the final value of
the underlying index for the relevant contract period. Determining is the cumulative total of the relevant gross
dividends declared and paid by the individual constituents of the underlying index as calculated in the form of index
points by STOXX Ltd. for the contract period.
Contract (dividend) period
The contract period, for purposes of dividends declared and paid, will be from, but excluding the third Friday of
December of the year preceding the maturity year, if this is an exchange day; otherwise from and excluding the
exchange day immediately preceding that day, up to and including the third Friday of December of the maturity year if
this is an exchange day; otherwise up to and including the exchange day immediately preceding that day.
Trading hoursOrder book: 8:30 – 17:30 CET
OTC Block Trading: 8:30 – 18:30 CET
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Eurex Dividend Derivatives
Contract specifications – EURO STOXX 50® Index Dividend Options
Underlying EURO STOXX 50® DVP (Dividend Points Index)
Contract value EUR 100 per index dividend point of the underlying.
Settlement Cash settlement, payable on the first exchange day following the final settlement day.
Price Quotation and minimum
price change
The price quotation is in points, with two decimal places. The minimum price change is 0.01 points, equivalent to a value of
EUR 1 per contract.
Contract monthsThe ten nearest successive annual contracts of the December cycle (from the first exchange day after the last trading day of
the calendar year up to the final settlement day of the following calendar year) are available for trading at any time.
Last trading day and final
settlement day
Last trading day is the final settlement day. Final settlement day is the third Friday of each December expiration month if this
is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the expiring option series
on the last trading day is at 12:00 CET.
Daily settlement priceThe daily settlement price is established by Eurex. The daily settlement prices for EURO STOXX 50® Index Dividend Options
are determined through the Black/Scholes 76 model.
Final settlement price
The final settlement price is established by Eurex on the final settlement day at 12:00 CET based on the final value of the
underlying index for the relevant contract period. Determining is the cumulative total of the relevant gross dividends declared
and paid by the individual constituents of the underlying index as calculated in the form of index points by STOXX Ltd.,
Deutsche Börse AG as well as SIX Swiss Exchange for the contract period.
ExerciseEuropean-style; an option can only be exercised on the final settlement day of the respective option series until the end of the
Post-Trading Full Period (20:30 CET).
Exercise pricesAt least nine exercise prices shall be available for each expiry for each call and put, such that four exercise prices are in-the-
money, one is at-the-money and four are out-of-the-money.
Strike price intervals
EURO STOXX 50® Index Dividend Options have execution prices with intervals in the amount of not less that one point.
Option series with a term of up to 59 months may have exercise prices of five points or of ten points for option series with a
term of more than 59 months.
Option premium/Margining The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade.
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Eurex Dividend Derivatives
Contract specifications – Single Stock Dividend FuturesUnderlying Annual dividend payments
Price quotation and
minimum price change
The price quotation is in EUR/CHF/USD with three decimal places and in pence with two decimal places respectively.
The minimum price change is EUR/CHF/USD 0.001 and 0.01 pence, equivalent to a value of EUR/CHF/USD 1 and 10
pence per contract respectively.
Contract value Dividend payments in relation to a contract size of 1000 shares.
Contract years and
reference period
The five nearest successive annual contracts of the December cycle (from the first exchange day after the Last
Trading Day of the calendar year up to the final settlement day of the following calendar year) are available for trading
at any time.
Each dividend is determined as paid on ex-dividend date.
All dividends determined as paid within the contract period will be added to determine the final settlement price.
Last trading day and final
settlement day
Last trading day is the final settlement day. Final settlement day is the third Friday of each December maturity month if
this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing
futures on the last trading day is at 12:00 CET.
Daily settlement price
The daily settlement price for the current maturity month is derived from the volume-weighted average of the prices of
all transactions during the minute before 17:30 CET (reference point), provided that more than five trades transacted
within this period.
For the remaining maturity months, the daily settlement price for a contract is determined based on the average
bid/ask spread of the combination order book.
Final settlement price The final settlement price is established by Eurex on the final settlement day at 12:00 CET, corresponding to the
dividend for the respective company's business year. The final settlement price is determined to four decimal places.
Corporate actions
Corporate actions are treated in the same manner like Eurex Single Stock Futures in the adjustment of contract sizes
and issuing of new contract series where necessary.
Adjustments to contract sizes etc. will be made for special/extraordinary dividends – which are excluded from the
contracts final settlement price.
Eurex will target “home market” (IDEM) treatment of corporate actions for Italian names.
Trading hours 8:30 – 17:30 CET (12:00 CET on the last trading day)
24
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Eurex Dividend Derivatives
SSDFs – Current product suite and pricing
25
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Eurex Dividend Derivatives
Dividends in Prisma
• Dividend Derivatives were migrated from RBM to Prisma in November 2016.
• New Prisma functionalities P&L Scaling and Event Risk are used.
• Dividend Derivatives are part of the Equity Liquidation Group PEQ01
• A final set of Prisma parameters have been developed based on member feedback:
– Use proxy parameters from FEXD vs FESX regression for all proxied div futures.
– Allow netting of event risk per underlying across all maturities, exclude front-year
from event risk, take the worst scenario loss as event risk.
– Base liquidity risk parameters on a few dividend future benchmarks (standard
calibration) and scale market capacities with relative cash equity trading volumes.
Exception: FEXD uses average open interest as market capacity.
26
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Eurex Dividend Derivatives
Key methodology for dividend derivatives in Prisma
27
• Most Dividend Derivatives are illiquid and receive infrequent price updates Historical simulation not possible
• Solution: use return time series of corresponding index or single stock future as proxy. Exception: EUROSTOXX 50
Dividend Future (FEXD) is liquid and proxying is not required
• Regression against benchmark daily returns not possible due to staleness of time series
• Solution: use betas from linear regression of FEXD maturities vs EUROSTOXX 50 as benchmark betas for all proxied
dividend futures. Conservative error of 10% validated via backtesting
• Motivation: High uncertainty estimating margins for Single Stock Dividend Futures on single product level but
diversification effects expected for diversified portfolios
• Event Risk is an additional margin floor:
• Event Risk calculates loss under scenario shifts per risk factor
• The sum of the worst N scenario losses in a portfolio make up the Event Risk
• Worst N is the number of scenarios expected to occur during risk horizon (e.g., N = 1, i.e. 1 underlying)
• Scenario shifts proposed as +28%/-29% per risk factor, based on 99% quantile of observed returns
• Two scenarios per underlying: all risk factors (maturities) up and all risk factors down
• No netting between different underlying event scenarios
𝐼𝑀 = max 𝑀𝑅𝐼𝑀𝐹𝐻𝑆, 𝜔𝑆𝑃 ∙ 𝑀𝑅𝐼𝑀𝑆𝑃, 𝜔𝐸𝑅 ∙ 𝑬𝑹 + 𝐿𝐴 + 𝐿𝑂𝐶
• Scale scenario P&Ls by the product of 2 components
• Upscaling (𝝆𝒇𝒍𝒐𝒐𝒓): Dividend Future prices may drop to (near) zero. Hence, assume a min. level of dividend
yield, applied to benchmark single stock or index future price, to define a minimum Dividend Future price. This
ensures that non-zero scenario prices, PnLs, and VaR are calculated
• Downscaling (𝝆𝒅𝒊𝒗𝒊𝒅𝒆𝒏𝒅): Risk after dividend season becomes small but this is not reflected in the proxied return
time series. Automatically scale down front-year scenarios by factor of max(1 – PaidDividends/DivFutPrice, 𝑑0)
where the downscaling is floored a minimum level 𝑑0, proposed at 0.01
Full Proxying
New feature: Event Risk
New feature: P&L Scaling
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Eurex Dividend Derivatives
Further information
Eurex Exchange > Market data > Statistics > Monthly statistics
Eurex Exchange > Products > Dividend Derivatives
Eurex Exchange > Resources > Publications
Eurex Exchange > Trading > Market model > Market-Making
28
Statistics
Product overview
Publications
Market-Making
28
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Eurex Dividend Derivatives
Markus Georgi
Eurex Frankfurt AG
68 Des Voeux Road Central
Hong Kong
P: +852 25 30-78 20
F: +852 25 30-78 21
Stuart Heath
Deutsche Börse AG
11 Westferry Circus, Canary Wharf
E14 4HE London
United Kingdom
P: +44 20 7862 7253
F: +44 20 7862 9253
Sales Asia & Middle East
Simona Simon
Eurex Frankfurt AG
Mergenthalerallee 61
65760 Frankfurt / Main
Germany
P:+49 69 2 11-1 82 18
F:+49 69 2 11-61 82 18
Contacts
Derivatives Product R&D - Equity and Index
Lorena Dishnica
Deutsche Börse AG
11 Westferry Circus, Canary Wharf
E14 4HE London
United Kingdom
P: +44 20 7862 72 42
F: +44 20 7862 92 42
Nicolas Kageneck
Deutsche Börse AG
Representative Office France
17, rue de Surène
75008 Paris
France
P: +33 1 55 27 67 76
F: +33 1 55 27 67 50
Derivatives Sales – Equity and Index
2929
Murat Baygeldi
Deutsche Börse AG
11 Westferry Circus, Canary Wharf
E14 4HE London
United Kingdom
P: +44 20 7862 7230
F: +44 20 7862 9230
Vincenzo Zinnà
Eurex Zürich AG
Manessestrasse 85
8045 Zürich
Switzerland
P:+41 43 430 7125
F:+41 58 499 24 66
Sales Americas
Buy Side:
Damien Zinck
P: +1 312 544 1051
Sell Side:
Rachna Mathur
P: +1 212 309 9308
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Eurex Dividend Derivatives
3030
© Eurex 2018
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including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication
This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire
or dispose of any investment or to engage In any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions,
examples and calculations contained in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products
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Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50® Index Futures, EURO STOXX 50®
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STOXX® Index Futures, EURO STOXX® Large/Mid/Small Index Futures, STOXX® Europe 50 Index Futures, STOXX® Europe 600 Index Futures, STOXX® Europe 600 Banks/Industrial
Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX® Europe Large/Mid/Small 200 Index Futures, DAX®/Mini-DAX®/MDAX®/TecDAX® Futures, SMIM®
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Interest Rate Derivatives).
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GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. All MSCI indexes are service marks and the exclusive property of MSCI Barra. ATX®, ATX® five,
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