Eurex Dividend Derivatives. February 2019
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- Felicity Kelly
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1 February 2019
2 Eurex offers a wide range of Dividend Derivatives Evolution of the dividend market segment and product portfolio Launch of EURO STOXX 50 Index Dividend Futures (FEXD) Launch of 50 Single Stock Dividend Futures (SSDFs) on EURO STOXX 50 components) Change of SSDFs multiplier from 100 to 1000 underlying shares Launch of UK SSDFs Launch of U.S. SSDFs EURO STOXX 50 Dividend Futures Tradability in the U.S. Jun 2008 Jan/Mar 2010 Oct 2010 Feb 2011 Apr 2014 Jan 2017 Jun 2009 May 2010 Nov 2010 Mar 2012 Jan/Feb 2015 Jul 2017 Launch of 4 additional index dividend futures (SMI, DAX, EURO STOXX Select Dividend, DivDAX ) Launch of EURO STOXX 50 Index Dividend Options (OEXD) Launch of 10 Swiss SSDFs Launch of Sector Index Dividend Futures Launch of 31 European SSDFs Launch of Nordic SSDFs 2
3 Traded Contracts Dividend Derivatives volume development Volume & Open Interest Eurex Index and Single Stock Dividend Derivatives 9,000,000 2,500,000 8,000,000 7,000,000 2,000,000 6,000,000 1,500,000 5,000,000 4,000,000 1,000,000 3,000, ,000 2,000,000 1,000,000 0 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 0 Index Dividend Futures Traded Volume Single Stock Dividend Futures Traded Volume Index Dividend Options Traded Volume Total Dividend Derivatives Open Interest Year Traded Contracts Daily Average YoY Change Order Book Share No. of Trades Market Share Agent MM Principal Market Share Options Futures ,436,598 64, % 16% 138,121 53% 36% 11% 15% 85% ,475,143 37,157-11% 17% 66,614 60% 28% 12% 11% 89% ,707,228 41, % 25% 105,262 54% 35% 11% 12% 88% ,929,948 35,614-7% 32% 134,062 53% 35% 12% 17% 83% 3
4 Your benefits trading Dividend Derivatives Potential 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 Dividend Derivatives 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 No counterparty risk & no documentation required Listed futures 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 4
5 outline What are they & which dividends count? 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. Outline 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* Qualifying dividends Return of capital: they follow the related underlying exchange rules. Share buy-backs are excluded. * 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. 5
6 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Traded Contracts EURO STOXX 50 Index Dividend Futures Volume & Open Interest EURO STOXX 50 Index Dividend Futures 1,400,000 1,400,000 1,200,000 1,000,000 1,200,000 1,000, , , , ,000 Open Interest 400, , , , Order Book Volume Off Book Volume Open Interest 6
7 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 EURO STOXX 50 Index Dividend Futures Capital Volume 16,000,000,000 EURO STOXX 50 Index Dividend Futures - Capital Volume 14,000,000,000 12,000,000,000 10,000,000,000 8,000,000,000 6,000,000,000 4,000,000,000 2,000,000,000 0 Capital Volume 7
8 Total Volumes - in Contracts EURO STOXX 50 Index Dividend Futures January 2019 (by maturity) 250, , , , , , , , , ,000 50, ,000 50, EURO STOXX 50 Index Futures - Contract Expiry Traded as Principal Traded as Market Maker Traded as Agency Month End Open Interest 0 8
9 EURO STOXX 50 Index Dividend Futures Price range January Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25 Dec-26 Dec-27 Dec-28 Open High Low Close
10 EURO STOXX 50 Index Dividend Futures Underlying 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. As an example to SX5ED value as at end of September 2018 is shown below: STOXX Record Date Dividend Ex-Date (Effective) EURO STOXX 50 (SX5E) Constutuent Currency Country Paid To Date Gross Dividend Paid Free Float Factor Shares in Index Dividend Amount in Index 1/31/2019 1/30/2019 SAN SQ EQUITY EUR SP ,
11 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Traded Contracts Other Index Dividend Futures* Volume & Open Interest 50,000 Other Index Dividend Futures 120,000 45,000 40, ,000 35,000 80,000 30,000 25,000 20,000 60,000 Open Interest 15,000 40,000 10,000 20,000 5, Order Book Volume Off Book Volume Open Interest *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) 11
12 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Traded Contracts EURO STOXX 50 Index Dividend Options Volume & Open Interest 600,000 EURO STOXX 50 Index Dividend Options 2,000, ,000 1,800,000 1,600, ,000 1,400, , ,000 1,200,000 1,000, , ,000 Open Interest 100, , , Order Book Volume Off Book Volume Open Interest 12
13 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Nov-18 EURO STOXX 50 Index Dividend Options Capital Volume 8,000,000,000 Options on EuroStoxx 50 Index Dividend Futures - Capital Volume 7,000,000,000 6,000,000,000 5,000,000,000 4,000,000,000 3,000,000,000 2,000,000,000 1,000,000,000 0 Capital Volume 13
14 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Traded Contracts Single Stock Dividend Futures Volume & Open interest 1,500,000 1,450,000 1,400,000 1,350,000 1,300,000 1,250,000 1,200,000 1,150,000 1,100,000 1,050,000 1,000, , , , , , , , , , , , , , , , , , ,000 50,000 0 Single Stock Dividend Futures 5,500,000 5,250,000 5,000,000 4,750,000 4,500,000 4,250,000 4,000,000 3,750,000 3,500,000 3,250,000 3,000,000 2,750,000 2,500,000 2,250,000 2,000,000 1,750,000 1,500,000 1,250,000 1,000, , , ,000 0 Open Interest Order Book Volume Off Book Volume Open Interest 14
15 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Single Stock Dividend Futures Capital Volume 1,200,000,000 Single Stock Dividend Futures - Capital Volume 1,000,000, ,000, ,000, ,000, ,000,000 0 Capital Volume 15
16 Single Stock Dividend Futures Monthly figures Volume distribution January 2019 Total SSDFs - Capital Volume in EUR Netherlands 1% Belgium 0% Finland 1% Ireland 0% US 0% EURO STOXX 50 Constiuent SSDFs - Volumes Netherlands, 11,075 Finland, 46,600 Belgium, 800 UK 2% Switzerland 14% Germany 18% Germany, 125,315 Spain 4% Italy, 552,270 Italy 12% France, 249,250 France 48% Spain, 181,510 16
17 Single Stock Dividend Futures Top Traded Stocks Volume and Contract distribution December 2018 SSDFs - Top 10 Single Stocks Capital Volume in EUR SSDFs - Top 10 Single Stocks Traded Contracts BNP Paribas 12% Others 25% Intesa Sanpaolo 473,940 Others 36% AXA 10% BNP Paribas 129,677,000 AXA 111,712,505 Sanofi-Aventis 96,365,400 Roche Holding 90,101,976 Intesa Sanpaolo 33.24% Banco Santander S.A. DIVIDENDS 164,260 Vodafone Group PLC Dividends 106,100 AXA 87,056 Deutsche Telekom 47,860 Allianz 2% Deutsche Telekom 3% Banco Santander S.A. DIVIDENDS 3% Société Générale 4% Intesa Sanpaolo 8% DAIMLER 5% Sanofi-Aventis 9% Roche Holding 8% Intesa Sanpaolo 85,748,100 Sanofi-Aventis DAIMLER 53,542,250 2% Orange Société Générale 44,796,880 2% Banco Santander S.A. DIVIDENDS 37,845,700 Deutsche Telekom 31,182,455Crédit Agricole 3% Allianz 25,485,355 BNP Paribas 3% Deutsche Telekom Nokia Corp. Oyj Div. 3% 3% AXA 6% Vodafone Group PLC Dividends 8% Banco Santander S.A. DIVIDENDS 12% Nokia Corp. Oyj Div. 46,600 BNP Paribas 44,485 Crédit Agricole 35,250 Orange 32,600 Sanofi-Aventis 31,514 Others 356,165 17
18 Dividends and margin benefits Example FEXD vs FESX With Eurex s 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. SX5E Divi Futures 94,002 SX5E Index Futures 472,484 41% savings Portfolio FEXD + FESX 331,240 Single Margins Portfolio Margining Name Eurex Long Short Exp. Date Initial Margin (in EUR) SX5E Divi Future SX5E Index Future Liquidity add on (in EUR) Margin Total (in EUR) FEXD /12/17 92,776 1,226 94,002 FESX /09/15 357, , ,484 Portfolio Margin Total (in EUR) Margin savings 331,240 41% *Calculation date: 2017/01/30 15
19 Liquidity providers EURO STOXX 50 Index Dividend Futures (FEXD) ADG Market Making LLP Banco Santander BNP Paribas DRW Mako LLP HSBC Morgan Stanley AMMLO BSAMD BNAPA LOTLO SDTLO MIDLO MGILO Dmitri Zaporozhets Alfonso Ruiz Poveda Nicolas Certner Chad Miller Konrad Malinowski Alexandre Chevallier Kunal Sodha Société Générale SOGFR Eric Carballeda Silver Peak Capital Ltd. SPCST Herve Grospellier SMI Dividend Futures (FSMD) BNP Paribas (Suisse) SA Société Générale BNPBS Geoffray Zanin SOGFR Eric Carballeda Single Stock Dividend Futures (SSDFs) BNP Paribas Morgan Stanley BNAPA MGILO Yanis Escudero Maximilian Leuschner (EURO STOXX 50 ) Société Générale SOGFR Eric Carballeda Banco Santander JP Morgan BSAMD JPMFR Alfonso Ruiz Poveda Guillaume Beuriot
20 Further market contacts Altura Markets BoA Merrill Lynch Goldman Sachs HPC JP Morgan Key Capital Partners EURO STOXX 50 Index Dividend Futures (FEXD) ALMMD MLILO GSIEB PAFPA JPMFR n/a Enrique Castillo Ian Bower Lorenzo Longo Benjamin Banet, Grégory Banet Guillaume Beuriot Javier Tomás or EURO STOXX 50 Index Dividend Options (OEXD) Deutsche Bank BNP Paribas JP Morgan Key Capital Partners Société Générale DBKFR BNAPA JPMFR n/a SOGFR Bharat Garg Karim Chaoui Duncan Barclay Javier Tomás Guillaume Rioult Sector Index Dividend Futures BNP Paribas BNAPA Aurélien Cristini Société Générale SOGFR Eric Carballeda
21 Appendix 21
22 Contract specifications Index Dividend Futures Reference contract Underlying dividend points calculation EURO STOXX 50 Index Dividend Futures EURO STOXX 50 DVP EURO STOXX Select Dividend 30 Index Dividend Futures EURO STOXX Select Dividend 30 DVP SMI Dividend Futures SMI Dividend Points Index DAX Price Index Dividend Futures DAX Dividend Points Index DivDax Dividend Futures 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 Jun 2009 Contract value EUR 100 per index dividend EUR 100 per index CHF 100 per index EUR 100 per index EUR per index point dividend point dividend point dividend point dividend point Price quotation in points, with one decimal place in points, with two decimal places Minimum price change 0.1 index points, 0.1 index points, 0.1 index points, 0.01 index points, 0.1 index points, equivalent to a equivalent to a value of equivalent to a value equivalent to a value equivalent to a value value of EUR 10 EUR 10 of CHF 10 of EUR 10 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 day Trading hours Transaction fees 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. 08:30-22:00 CET 08:30-18:30 CET 08:30-17:27 CET 08:30-18:30 CET 08:30-18:30 CET (12:00 CET on the last trading (12:00 CET on the last (09:00 CET on the (12:00 CET on the (12:00 CET on the day) trading day) last trading day) last trading day) last trading day) Regular transactions: EUR 1.20 CHF 1.80 EUR 2.00 TES Block Trades: EUR 1.80 CHF 2.40 EUR 3.00 Cash settlement: EUR 1.20 CHF 1.80 EUR
23 Contract specifications Sector Dividend Futures Underlying Currency Contract months EURO STOXX Banks / Utilities / Telecommunications / Insurance / Oil&Gas DVP STOXX Europe 600 Banks / Utilities/ Telecommunications / Insurance / Oil&Gas DVP EUR 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 Settlement Last trading day and final settlement day Final settlement price Contract (dividend) period Trading hours 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. Cash settlement, payable on the first exchange day following the 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. 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. 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. Order book: 8:30 17:30 CET OTC Block Trading: 8:30 18:30 CET 23
24 Contract specifications EURO STOXX 50 Index Dividend Options Underlying Contract value Settlement Price Quotation and minimum price change Contract months Last trading day and final settlement day Daily settlement price Final settlement price Exercise Exercise prices Strike price intervals Option premium/margining EURO STOXX 50 DVP (Dividend Points Index) EUR 100 per index dividend point of the underlying. Cash settlement, payable on the first exchange day following the final settlement day. 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. 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. 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. The 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. 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. European-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). At least nine exercise prices shall be available for each expiry for each call and put, such that four exercise prices are in-themoney, one is at-the-money and four are out-of-the-money. 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. The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade. 24
25 Contract specifications Single Stock Dividend Futures Underlying Price quotation and minimum price change Contract value Contract years and reference period Last trading day and final settlement day Daily settlement price Final settlement price Corporate actions Trading hours Annual dividend payments 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 and 0.01 pence, equivalent to a value of EUR/CHF/USD 1 and 10 pence per contract respectively. Dividend payments in relation to a contract size of 1000 shares. 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 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. 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. 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 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. 8:30 17:30 CET (12:00 CET on the last trading day) 25
26 SSDFs Current product suite and pricing (total:145) 26
27 Dividends in Prisma Dividend Derivatives were migrated from RBM to Prisma in November 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. 27
28 Key methodology for dividend derivatives in Prisma Full Proxying 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 New feature: Event Risk 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: IM = max MRIM FHS, ω SP MRIM SP, ω ER ER + LA + LOC 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 New feature: P&L Scaling Scale scenario P&Ls by the product of 2 components Upscaling (ρ floor ): 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 (ρ dividend ): 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, d 0 ) where the downscaling is floored a minimum level d 0, proposed at
29 Further information Statistics Eurex Exchange > Market data > Statistics > Monthly statistics Product overview Eurex Exchange > Products > Dividend Derivatives Publications Eurex Exchange > Resources > Publications Market-Making Eurex Exchange > Trading > Market model > Market-Making 29
30 Contacts Derivatives Sales Equity and Index Nicolas Kageneck Paul Beck Murat Baygeldi Vincenzo Zinnà Deutsche Börse AG Representative Office France 17, rue de Surène Paris France Deutsche Börse Group Clearstream International Lux The Square 42, Avenue JF Kennedy L-1855 Luxembourg Deutsche Börse AG 11 Westferry Circus, Canary Wharf E14 4HE London United Kingdom Eurex Zürich AG Manessestrasse Zürich Switzerland P: F: nicolas.kageneck@eurexchange.com P: paul.beck@deutsche-boerse.com P: F: murat.baygeldi@eurexchange.com P: F: vincenzo.zinna@eurexchange.com Sales Asia & Middle East Sales Americas Derivatives Product R&D - Equity and Index Markus Georgi Buy Side: Lorena Dishnica Stuart Heath Eurex Frankfurt AG 68 Des Voeux Road Central Hong Kong P: F: markus.georgi@eurexchange.com Damien Zinck P: damien.zinck@eurexchange.com Sell Side: Rachna Mathur P: rachna.mathur@eurexchange.com Deutsche Börse AG 11 Westferry Circus, Canary Wharf E14 4HE London United Kingdom P: F: lorena.dishnica@eurexchange.com Deutsche Börse AG 11 Westferry Circus, Canary Wharf E14 4HE London United Kingdom P: F: stuart.heath@eurexchange.com 30
31 Eurex 2019 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. 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While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. 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