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Eurex Dividend Derivatives June 2020
Eurex Dividend DerivativesJune 2020
www.eurexchange.com
Eurex Dividend Derivatives June 2020
2
Eurex offers a wide range of Dividend DerivativesEvolution of the dividend market segment and product portfolio
Launch of EuroStoxx
50 Index Dividend
Futures (FEXD)
Jun 2008
May 2010
Launch of options on
EuroStoxx 50 Index
Dividend Futures
(OEXD)
Launch of 50 single
stock dividend futures
(EuroStoxx 50)
Jan/Mar 2010
Launch of UK single
stock dividend
futures
Feb 2011
Change of SSDF
multiplier from 100 to
1000 underlying
shares
Oct 2010
Jun 2009
Launch of 4
additional index
futures (SMI, DAX,
EuroStoxx Select
Dividend, DivDAX)
Nov 2010
Launch of 10 Swiss
single stock dividend
futures
Eurex Dividend Derivatives
Mar 2012
Launch of sector
index dividend
futures
New Pricing on
single stock dividend
futures
Sep 2013
Apr 2014
Launch of U.S.
single stock dividend
futures
Launch of 31
European Single
Stock Dividend
Futures
Jan/Feb 2015
FEXD - Tradability
for U.S. Participants
Jul 2017
Jan 2017
Launch of 5 Finnish
single stock dividend
futures
Longer maturities for
13 single stock
dividend futures
Nov 2018
Jul 2019
Launch of 43 single
stock dividend
futures and 2 Sector
Dividend Futures
Launch of 3 MSCI
Index Dividend
Futures
Oct 2019
Dec 2019
CFTC approval of
3 MSCI Index
Dividend Futures
www.eurexchange.com
Eurex Dividend Derivatives June 2020
3
Dividend Derivatives volume developmentVolume & Open Interest
YearTraded
Contracts
Daily
Average
YoY
Change
Order Book
Share
No. of
Trades
Market Share Volume Split
Agent MM Principal Options Futures
YTM 2020 11,847,762 94,029 30.26% 28.41% 205,671 55% 32% 13% 13% 87%
2019 16,475,056 65,118 0.23% 18.97% 146,637 55% 36% 9% 15% 85%
2018 16,436,598 64,967 74% 18.86% 137,099 53% 36% 11% 14% 86%
2017 9,475,143 37,157 -11% 10.95% 66,632 59% 29% 12% 11% 89%
2016 10,712,741 41,684 19% 18.39% 104,784 53% 36% 11% 12% 88%
0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
Jun
-08
Oct
-08
Feb
-09
Jun
-09
Oct
-09
Feb
-10
Jun
-10
Oct
-10
Feb
-11
Jun
-11
Oct
-11
Feb
-12
Jun
-12
Oct
-12
Feb
-13
Jun
-13
Oct
-13
Feb
-14
Jun
-14
Oct
-14
Feb
-15
Jun
-15
Oct
-15
Feb
-16
Jun
-16
Oct
-16
Feb
-17
Jun
-17
Oct
-17
Feb
-18
Jun
-18
Oct
-18
Feb
-19
Jun
-19
Oct
-19
Feb
-20
Jun
-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Eurex Index and Single Stock Dividend Derivatives
Index Dividend Futures Traded Volume Index Dividend Options Traded Volume Single Stock Dividends Futures Traded Volume Open Interest Adjusted
www.eurexchange.com
Eurex Dividend Derivatives June 2020
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 June 2020
• 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.
5
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.
Eurex Dividend Derivatives outlineWhat are they & which dividends count?
Outline
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Eurex Dividend Derivatives June 2020
6
EURO STOXX 50® Index Dividend Futures Volume & Open Interest
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
Jan
-08
Jun
-08
No
v-0
8
Ap
r-0
9
Sep
-09
Feb
-10
Jul-
10
De
c-1
0
May
-11
Oct
-11
Mar
-12
Au
g-1
2
Jan
-13
Jun
-13
No
v-1
3
Ap
r-1
4
Sep
-14
Feb
-15
Jul-
15
De
c-1
5
May
-16
Oct
-16
Mar
-17
Au
g-1
7
Jan
-18
Jun
-18
No
v-1
8
Ap
r-1
9
Sep
-19
Feb
-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest Adjusted
EURO STOXX® 50 Index Dividend Futures
www.eurexchange.com
Eurex Dividend Derivatives June 2020
7
EURO STOXX 50® Index Dividend Futures Capital Volume in EUR
0
5,000,000,000
10,000,000,000
15,000,000,000
20,000,000,000
25,000,000,000
Jun
-08
Oct
-08
Feb
-09
Jun
-09
Oct
-09
Feb
-10
Jun
-10
Oct
-10
Feb
-11
Jun
-11
Oct
-11
Feb
-12
Jun
-12
Oct
-12
Feb
-13
Jun
-13
Oct
-13
Feb
-14
Jun
-14
Oct
-14
Feb
-15
Jun
-15
Oct
-15
Feb
-16
Jun
-16
Oct
-16
Feb
-17
Jun
-17
Oct
-17
Feb
-18
Jun
-18
Oct
-18
Feb
-19
Jun
-19
Oct
-19
Feb
-20
Jun
-20
EURO STOXX 50® Index Dividend Futures - Capital Volume
www.eurexchange.com
Eurex Dividend Derivatives June 2020
8
EURO STOXX 50® Index Dividend Futures June 2020 (by maturity)
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
202012 202112 202212 202312 202412 202512 202612 202712 202812 202912
Op
ern
Inte
rest
Tota
l Vo
lum
es
-in
Co
ntr
acts
EURO STOXX 50® Index Futures - Contract Expiry
Traded as Agency Traded as Market Maker Traded as Principal Open Interest Adjusted
www.eurexchange.com
Eurex Dividend Derivatives June 2020
9
Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25 Dec-26 Dec-27 Dec-28 Dec-29
Open 83.80 74.10 87.20 89.80 88.80 87.50 84.60 82.30 80.30 77.00
High 87.30 88.00 97.60 100.60 99.40 97.90 95.10 91.90 88.40 86.20
Low 83.50 74.10 83.50 85.60 84.20 83.00 81.60 78.90 80.30 75.00
Close 85.40 81.90 91.30 92.50 90.50 88.90 87.30 85.30 83.60 82.00
55.0
60.0
65.0
70.0
75.0
80.0
85.0
90.0
95.0
100.0
105.0
EURO STOXX 50® Index Dividend FuturesPrice range June 2020
Open Price from June1st.
Close Price from June 30th.
www.eurexchange.com
Eurex Dividend Derivatives June 2020
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 February 2020 is shown below:
EURO STOXX 50® Index Dividend FuturesUnderlying
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
4/8/2020 4/7/2020 BBVA SQ EQUITY EUR SP 0.16 1.861101 3,569.9200000 6,643.9820000
02/21/2020 2/20/2020 UNA NA EQUITY EUR GB 0.4104 0.380509 3,604.4100000 1,371.5120000
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Eurex Dividend Derivatives June 2020
Development of Other* Index Dividend Futures
Traded Contracts and Open Interest
ADV
YTM
Traded
Contracts
YTM
Open
InterestADV YTM
Traded
Contracts
YTM
Open Interest
EURO STOXX® / STOXX® Europe 600 Sectors DAX®
FEBD /
FSBD
Banks
Dividend Futures 3,987 502,390 210,938 FDXD
DAX® Price
Index
Dividend Futures
- - -
FEID /
FSID
Insurance
Dividend Futures- - - DivDAX®
FEED /
FSED
Oil & Gas
Dividend Futures - - - FDVD
DivDAX®
Dividend Futures- - -
FETD /
FSTD
Telecommunications
Dividend Futures - - - SMI®
FEUD /
FSUD
Utilities
Dividend Futures - - - FSMD
SMI®
Dividend Futures6 800 1,123
FEAD /
FSAD
Automobile & Parts
Dividend Futures - - -
EURO STOXX® 30 Select
FD3DEURO STOXX® Select Dividend 30 Index
Dividend Futures 646 81,370 43,631
MSCI Indices
FWPDMSCI World Index
Dividend Futures- -
-
FEFDMSCI EM Index
Dividend Futures1 100 100
FFPDMSCI EAFE Index
Dividend Futures1 50 50
NEW!!!
NEW!!!
11
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Eurex Dividend Derivatives June 2020
12
EURO STOXX® BanksDividend FuturesVolume & Open Interest
EURO STOXX® Select Dividend 30 Index Dividend Futures
Volume & Open Interest
SMI® Dividend Futures
Volume & Open Interest
0
50,000
100,000
150,000
200,000
250,000
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
Jan
-17
Feb
-17
Mar
-17
Ap
r-17
May
-17
Jun
-17
Jul-
17
Au
g-17
Sep
-17
Oct
-17
No
v-17
Dec
-17
Jan
-18
Feb
-18
Mar
-18
Ap
r-18
May
-18
Jun
-18
Jul-
18
Au
g-18
Sep
-18
Oct
-18
No
v-18
Dec
-18
Jan
-19
Feb
-19
Mar
-19
Ap
r-19
May
-19
Jun
-19
Jul-
19
Au
g-19
Sep
-19
Oct
-19
No
v-19
Dec
-19
Jan
-20
Feb
-20
Mar
-20
Ap
r-20
May
-20
Jun
-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
EURO STOXX® Banks Dividend Futures
Order Book Volume Off Book Volume Open Interest Adjusted
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
50,000
0
5,000
10,000
15,000
20,000
25,000
30,000
Jan
-15
Ap
r-15
Jul-
15
Oct
-15
Jan
-16
Ap
r-16
Jul-
16
Oct
-16
Jan
-17
Ap
r-17
Jul-
17
Oct
-17
Jan
-18
Ap
r-18
Jul-
18
Oct
-18
Jan
-19
Ap
r-19
Jul-
19
Oct
-19
Jan
-20
Ap
r-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
EURO STOXX® Select Dividend 30 Index Dividend Futures
Order Book Volume Off Book Volume Open Interest Adjusted
0
500
1,000
1,500
2,000
2,500
0
100
200
300
400
500
600
700
Feb
-15
May
-15
Au
g-15
No
v-15
Feb
-16
May
-16
Au
g-16
No
v-16
Feb
-17
May
-17
Au
g-17
No
v-17
Feb
-18
May
-18
Au
g-18
No
v-18
Feb
-19
May
-19
Au
g-19
No
v-19
Feb
-20
May
-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
SMI® Dividend Futures
Order Book Volume Off Book Volume Open Interest Adjusted
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Eurex Dividend Derivatives June 2020
EURO STOXX 50® Index Dividend Options Volume & Open Interest
13
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
0
100,000
200,000
300,000
400,000
500,000
600,000
May
-10
Au
g-1
0
No
v-1
0
Feb
-11
May
-11
Au
g-1
1
No
v-1
1
Feb
-12
May
-12
Au
g-1
2
No
v-1
2
Feb
-13
May
-13
Au
g-1
3
No
v-1
3
Feb
-14
May
-14
Au
g-1
4
No
v-1
4
Feb
-15
May
-15
Au
g-1
5
No
v-1
5
Feb
-16
May
-16
Au
g-1
6
No
v-1
6
Feb
-17
May
-17
Au
g-1
7
No
v-1
7
Feb
-18
May
-18
Au
g-1
8
No
v-1
8
Feb
-19
May
-19
Au
g-1
9
No
v-1
9
Feb
-20
May
-20
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest Adjusted
EURO STOXX® 50 Index Dividend Options
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Eurex Dividend Derivatives June 2020
14
EURO STOXX 50® Index Dividend OptionsCapital Volume in EUR
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
May
-10
Sep
-10
Jan
-11
May
-11
Sep
-11
Jan
-12
May
-12
Sep
-12
Jan
-13
May
-13
Sep
-13
Jan
-14
May
-14
Sep
-14
Jan
-15
May
-15
Sep
-15
Jan
-16
May
-16
Sep
-16
Jan
-17
May
-17
Sep
-17
Jan
-18
May
-18
Sep
-18
Jan
-19
May
-19
Sep
-19
Jan
-20
May
-20
Options on EURO STOXX® 50 Index Dividend Futures - Capital Volume
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Eurex Dividend Derivatives June 2020
EURO STOXX 50® Index Dividend Options June 2020 (by maturity)
15
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
0
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
90,000
202012 202112 202212 202312 202412 202512
Tota
l Vo
lum
es
-in
Co
ntr
acts
EURO STOXX 50® Index Options - Contract Expiry
Traded as Agent Traded as Market Maker Traded as Principle Open Interest Adjusted
www.eurexchange.com
Eurex Dividend Derivatives June 2020
Single Stock Dividend Futures Volume & Open interest
16
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
5,000,000
5,500,000
6,000,000
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
Jan
-10
Ap
r-1
0Ju
l-1
0O
ct-1
0Ja
n-1
1A
pr-
11
Jul-
11
Oct
-11
Jan
-12
Ap
r-1
2Ju
l-1
2O
ct-1
2Ja
n-1
3A
pr-
13
Jul-
13
Oct
-13
Jan
-14
Ap
r-1
4Ju
l-1
4O
ct-1
4Ja
n-1
5A
pr-
15
Jul-
15
Oct
-15
Jan
-16
Ap
r-1
6Ju
l-1
6O
ct-1
6Ja
n-1
7A
pr-
17
Jul-
17
Oct
-17
Jan
-18
Ap
r-1
8Ju
l-1
8O
ct-1
8Ja
n-1
9A
pr-
19
Jul-
19
Oct
-19
Jan
-20
Ap
r-2
0
Op
en
Inte
rest
Trad
ed
Co
ntr
acts
Order Book Volume Off Book Volume Open Interest Adjusted
Single Stock Dividend Futures
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Eurex Dividend Derivatives June 2020
17
Single Stock Dividend Futures Capital Volume in EUR
0
200,000,000
400,000,000
600,000,000
800,000,000
1,000,000,000
1,200,000,000
Jan
-10
May
-10
Sep
-10
Jan
-11
May
-11
Sep
-11
Jan
-12
May
-12
Sep
-12
Jan
-13
May
-13
Sep
-13
Jan
-14
May
-14
Sep
-14
Jan
-15
May
-15
Sep
-15
Jan
-16
May
-16
Sep
-16
Jan
-17
May
-17
Sep
-17
Jan
-18
May
-18
Sep
-18
Jan
-19
May
-19
Sep
-19
Jan
-20
May
-20
Cap
. Vo
lum
e in
Eu
ro
Month
SSDF - Capitalised Volume in EUR
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Eurex Dividend Derivatives June 2020
Single Stock Dividend Futures – Monthly figures Volume distribution June 2020
18
Switzerland4.50%
Germany28%
Spain3%
Finland2%
France40.95%
Great Britain1%
Italy16%
Netherlands5%
Total SSDFs - Capital Volume in EUR
Germany, 42,085 Netherlands, 7,285
France, 111,120
Ireland, 0
Italy, 223,712
Spain, 49,830
Finland, 2,000 Belgium, 0
EURO STOXX 50® Constituent SSDFs - Volumes
Germany
Netherlands
France
Ireland
Italy
Spain
Finland
Belgium
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Eurex Dividend Derivatives June 2020
Single Stock Dividend Futures – Top Traded StocksVolume and Contract distribution June 2020
19
BASF15%
AXA11%
TOTAL7%
ENI6%
Intesa Sanpaolo4%
Orange3%Cie Generale des
Etablissement - Michelin3%
DAIMLER3%
Assicurazioni Generali3%
LOréal2%
Other43%
SSDFs - Top 10 Single Stocks Capital Volume in EUR
Intesa Sanpaolo
32%
ENI9%
AXA7%
Orange5%
Telefónica3%
ENEL3%
BASF3%
Vodafone Group PLC Dividends
3%
Assicurazioni Generali
3%
TOTAL2%
Other30%
SSDFs - Top 10 Single Stocks Traded Volume
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Eurex Dividend Derivatives June 2020
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 2020/12/17 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‘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.
18
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Eurex Dividend Derivatives June 2020
Liquidity providersEURO STOXX 50® Index Dividend Futures (FEXD)
Banco Santander
BNP Paribas Arbitrage
Optiver
Mako LLP
HSBC
HIQ Invest
Morgan Stanley
Société Générale
Silver Peak Capital Ltd.
BSAMD
BNAPA
OPXAM
SDTLO
MIDLO
HIQAM
MGILO
SOGFR
SPCST
Alfonso Ruiz Poveda
Nicolas Certner
Thibaut Herens
Konrad Malinowski
Alexandre Chevallier
Jan-Jaap Surie/Patrick Karsten
Kunal Sodha
Jeremy Cohen
Herve Grospellier
+ 34 91 2572 172
+ 44 20 7595 1342
+ 31 20 7087 702
+ 44 20 7862 0454
+ 44 20 7991 1463
+ 31 20 5353 497
+ 44 20 7425 5037
+ 44 20 7762 5493
+ 44 79 8089 0545
21
SMI® Dividend Futures (FSMD)
BNP Paribas (Suisse) SA
Société Générale
BNPBS
SOGFR
Geoffray Zanin
Eric Carballeda
+ 41 22 7877 566
+ 33 10 4213 3224
Single Stock Dividend Futures (SSDFs)
Morgan Stanley
Société Générale
Banco Santander
JP Morgan
MGILO
SOGFR
BSAMD
JPMFR
Maximilian Leuschner
Massimiliano Pignatelli
Alfonso Ruiz Poveda
Amandine Hedges/Omar Bennani
+ 44 20 7677 9112
+44 20 7762 5971
+ 34 91 2572 172
+ 44 207 424 474
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Eurex Dividend Derivatives June 2020
Further market contacts
22
Sector Index Dividend Futures
BNP Paribas
Société Générale
BNAPA
SOGFR
Aurélien Cristini
Eric Carballeda
+ 44 20 7595 8998
+ 33 14 2133 224
EURO STOXX 50® Index Dividend Options (OEXD)
BNP Paribas
JP Morgan
Mako LLP
Société Générale
BNAPA
JPMFR
SDTLO
SOGFR
Reda Benali
Duncan Barclay
Konrad Malinowski/Jack Hulme
Laurent van Hollemeersch
+ 1 21 2841 2882
+ 44 20 7779 3407
+44 (0)20 7862 0454
+ 33 142 1364 34
EURO STOXX 50® Index Dividend Futures (FEXD)
Altura Markets
BoA Merrill Lynch
DRW Investments
Goldman Sachs
HPC
JP Morgan
Key Capital Partners
ALMMD
MLILO
GLELO
GSIEB
PAFPA
JPMFR
n/a
Enrique Castillo
Ian Bower
Chadwick Miller
Lorenzo Longo
Benjamin Banet, Grégory Banet
Amandine Hedges
Javier Tomás
+ 34 91 3745 359
+ 44 20 7996 0606
+ 44 20 7031 1369
+ 44 20 7051 8618
+ 33 11 5329 32 - 13 or -20
+ 44 20 7742 4474
+ 34 91 4905 385
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Eurex Dividend Derivatives June 2020
23
Appendix
www.eurexchange.com
Eurex Dividend Derivatives June 2020
Reference contractEURO STOXX 50®
Index Dividend Futures
EURO STOXX® Select Dividend
30 Index Dividend FuturesMSCI® Index Dividend Futures
Underlying dividend
points calculationEURO STOXX 50® DVP
EURO STOXX® Select
Dividend 30 DVPMSCI EAFE & World MSCI EM
Index provider STOXX Ltd. STOXX Ltd. MSCI
Eurex product ID FEXD FD3D FFPD, FWPD FEFD
Launch date 30 Jun 2008 22 Jun 2009 21 Oct 2019
Contract valueEUR 100 per index
dividend pointEUR 100 per index dividend point USD 100 per index dividend point USD 500 per index dividend point
Price quotation in points, with one decimal in points, with two decimals
Minimum price change0.1 index points, i.e.
EUR 100.1 index points, i.e. EUR 10 0.1 index points, i.e. USD 10 0.01 index points, i.e. USD 5
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.
Final settlement day Final settlement day is the last trading dayFinal settlement day is the exchange day immediately following the
last trading day
Trading hours
08:30-22:00 CET
(12:00 CET on the last
trading day)
08:30-19:00 CET
(12:00 CET on the last trading
day)
8:30-22:00
Transaction fees
Regular transactions: EUR 1.20 A: USD 1.40 ; P/M: USD 1.20 A: USD 2.00 ; P/M: USD 1.80
TES Block Trades: EUR 1.80 A: USD 2.10 ; P/M: USD 1.80 A: USD 3.00 ; P/M: USD 2.10
Cash settlement: EUR 1.20 A: USD 1.40 ; P/M: USD 1.20 A: USD 2.00 ; P/M: USD 1.80
24
Contract specifications –Dividend Futures (1/2)
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Eurex Dividend Derivatives June 2020
25
Contract specifications – Dividend Futures (2/2)
Reference contract SMI® Dividend Futures DAX® Price Index Dividend Futures DivDax® Dividend Futures
Underlying dividend
points calculationSMI® Dividend Points Index DAX® Dividend Points Index DivDAX® Dividend Points Index
Index provider SIX Swiss Exchange Ltd. Deutsche Börse AG Deutsche Börse AG
Eurex product ID FSMD FDXD FDVD
Launch date 22 Jun 2009
Contract value 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 place in points, with one decimal place in points, with two decimal places
Minimum price change 0.1 index points, equivalent to a value of CHF 100.1 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 monthsThe 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.
Final settlement day Final settlement day is the last trading day
Trading hours08:30-17:27 CET
(09:00 CET on the last trading day)
08:30-19:00 CET
(12:00 CET on the last trading day)
08:30-19:00 CET
(12:00 CET on the last trading day)
Transaction fees
CHF 1.80 EUR 2.00
CHF 2.40 EUR 3.00
CHF 1.80 EUR 2.00
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Eurex Dividend Derivatives June 2020
Contract specifications – Sector Dividend Futures
26
UnderlyingEURO STOXX® Automobile & Parts, Banks / Utilities / Telecommunications / Insurance / Oil&Gas DVP
STOXX® Europe 600 Automobile & Parts, 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
TES Block Trading: 8:30 – 19:00 CET
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Eurex Dividend Derivatives June 2020
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.
27
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Eurex Dividend Derivatives June 2020
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 Order book: 8:30 – 17:30 CET
TES Block Trading: 8:30 – 19:00 CET
28
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Eurex Dividend Derivatives June 2020
SSDFs – Current product suite and pricing (total:191)
29
Adidas EUR 1.20 Accor EUR 1.20 AEGON EUR 0.20 ABB CHF 1.60 Anglo American USD 1.20 3M USD 1.20
Allianz EUR 1.20 Air Liquide EUR 1.20 Ahold Delhaize EUR 1.20 Adecco CHF 1.60 AstraZeneca USD 1.20 Altria Group USD 1.20
BASF EUR 1.20 Airbus EUR 1.20 Akzo Nobel EUR 1.20 Cie Financière Richemont CHF 1.60 Aviva GBP 0.16 Amazon USD 0.20
Bayer EUR 1.20 ALSTOM EUR 0.50 Arcelor Mittal EUR 0.20 Credit Suisse CHF 1.00 BAE Systems GBP 0.04 Apple USD 1.20
Beiersdorf EUR 1.20 AtoS EUR 1.20 ASML Holding EUR 1.20 Geberit CHF 1.60 Barclays GBP 0.04 Bank of America USD 0.70
BMW EUR 1.20 AXA EUR 1.20 ING Groep EUR 0.90 Givaudan CHF 1.60 BHP Group USD 1.20 Bristol-Myers Squibb USD 1.20
CECONOMY EUR 0.10 BNP Paribas EUR 1.20 Koninklijke DSM EUR 1.20 Julius Bär Gruppe CHF 1.60 BP GBP 0.16 Chevron USD 1.20
Continental EUR 1.20 Bouygues EUR 1.20 Philips EUR 1.20 LafargeHolcim CHF 1.60 British American Tobacco GBP 0.30 Cisco Systems USD 1.20
Covestro EUR 1.20 Capgemini EUR 1.20 Royal Dutch Shell EUR 1.20 Lonza Group CHF 1.60 BT Group GBP 0.04 Citigroup USD 1.20
Daimler EUR 1.20 Carrefour EUR 0.90 Royal KPN EUR 0.10 Nestlé CHF 1.60 Carnival USD 1.20 General Electric USD 0.70
Deutsche Bank EUR 0.10 Crédit Agricole EUR 0.90 Unibail-Rodamco-Westfield EUR 1.20 Novartis CHF 1.60 Centrica GBP 0.04 IBM USD 1.20
Deutsche Börse EUR 1.20 Danone EUR 1.20 Unilever NV EUR 1.20 Roche Holding CHF 1.60 Diageo GBP 0.16 Intel USD 1.20
Deutsche Post EUR 1.20 Dassault Systèmes EUR 0.90 SGS CHF 1.60 GlaxoSmithKline GBP 0.30 Johnson & Johnson USD 1.20
Deutsche Telekom EUR 0.90 Electricité de France EUR 0.50 Sika CHF 1.60 Glencore USD 0.20 JPMorgan Chase USD 1.20
E.ON EUR 0.50 ENGIE EUR 1.20 Anheuser-Busch InBev EUR 1.20 Swatch Group (bearer shares) CHF 1.60 HSBC USD 0.70 McDonald's USD 1.20
Fresenius EUR 1.20 EssilorLuxottica EUR 1.20 Swiss Life Holding CHF 1.60 Lloyds Banking Group GBP 0.04 Microsoft USD 1.20
Fresenius Medical Care EUR 1.20 Hermes International EUR 1.20 Swiss Re CHF 1.60 National Grid GBP 0.16 PepsiCo USD 1.20
HeidelbergCement EUR 1.20 Kering EUR 1.20 ACS Actividades de Construcción y Servicios EUR 1.20 Swisscom CHF 1.60 Prudential-M&G Basket GBP 0.16 Pfizer USD 1.20
Henkel pref. EUR 1.20 Legrand EUR 1.20 Aena EUR 1.20 UBS CHF 1.00 Reckitt Benckiser GBP 0.30 Philip Morris International USD 1.20
Infineon EUR 0.20 L'Oréal EUR 1.20 Amadeus IT Group EUR 1.20 Zurich Financial Services CHF 1.60 RELX GBP 0.16 The Coca-Cola Company USD 1.20
K+S EUR 0.50 LVMH EUR 1.20 Banco Bilbao Vizcaya Argentaria EUR 0.20 Rio Tinto GBP 0.30 Walmart USD 1.20
Linde EUR 1.20 Michelin EUR 1.20 Banco Santander EUR 0.20 Royal Bank of Scotland GBP 0.04
Lufthansa EUR 0.90 Orange EUR 0.90 CaixaBank EUR 0.10 Assicurazioni Generali EUR 1.20 Severn Trent GBP 0.30
Merck EUR 1.20 Pernod-Ricard EUR 1.20 Endesa EUR 1.20 Atlantia EUR 1.20 SSE GBP 0.30
Münchener Rück EUR 1.20 Peugeot EUR 1.20 Ferrovial EUR 0.50 CNH Industrial EUR 0.20 Tesco GBP 0.04
RWE EUR 1.20 Publicis Groupe EUR 1.20 Grifols EUR 0.50 Enel EUR 0.50 Vodafone Group GBP 0.04
SAP EUR 1.20 Renault EUR 1.20 Iberdrola EUR 0.50 Eni EUR 1.20 Vodafone Group EUR 0.10
Siemens EUR 1.20 Safran EUR 1.20 Inditex EUR 0.90 EXOR EUR 0.50 WM Morrison Supermarkets GBP 0.04
ThyssenKrupp EUR 0.20 Saint-Gobain EUR 1.20 International Consolidated Airlines Group EUR 0.20 Ferrari EUR 1.20
Vonovia EUR 1.20 Sanofi EUR 1.20 Naturgy Energy Group EUR 1.20 Fiat Chrysler Automobiles EUR 0.90
VW pref. EUR 1.20 Schneider Electric EUR 1.20 Repsol EUR 1.20 Intesa Sanpaolo EUR 0.20 Elisa EUR 1.20
Wirecard EUR 0.20 Société Générale EUR 1.20 Telefónica EUR 0.50 Moncler EUR 0.50 Fortum EUR 1.20
Sodexo EUR 1.20 Snam-Italgas EUR 0.20 Metso EUR 1.20
STMicroelectronics EUR 0.20 Telecom Italia EUR 0.10 Nokia EUR 0.20
CRH EUR 0.90 TechnipFMC EUR 0.70 Terna EUR 0.20 Nordea Bank ABP EUR 0.90
TOTAL EUR 1.20 UniCredit EUR 0.90 Sampo EUR 1.20
Valeo EUR 1.20
Vallourec EUR 0.10
Veolia Environnement EUR 1.20
Vinci EUR 1.20
Vivendi Universal EUR 0.90
Nordics
Belgium
Ireland
Spain
Italy
SSDFs - Current product suite and pricing (total: 191)Single Stock Dividend Futures & Fees per contract (Regular Orderbook Transactions)
Germany France Netherlands Switzerland UK USA
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Eurex Dividend Derivatives June 2020
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.
30
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Eurex Dividend Derivatives June 2020
31
• 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 back testing
• 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
Key methodology for dividend derivatives in Prisma
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Eurex Dividend Derivatives June 2020
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
32
Statistics
Product overview
Publications
Market-Making
32
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Eurex Dividend Derivatives June 2020
Markus Georgi
Eurex
‚Representative Office Hong Kong
68 Des Voeux Road Central
Hong Kong
P: +852 25 30-78 20
F: +852 25 30-78 21
Stuart Heath
Deutsche Börse AG
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United Kingdom
P: +44 20 7862 7253
F: +44 20 7862 9253
Sales Asia & Middle East
Paul Beck
Deutsche Börse Group
Clearstream International Lux
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P:+352 2 43-3 61 42
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
Eurex
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
3333
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 Global Derivatives AG
Theilerstrasse 1a
6300 Zug
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 June 2020
© Eurex 2020Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and EurexRepo 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 BankingS.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 andare 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 inthe following referred to as the “Eurex Exchanges”.All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) areowned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care hasbeen 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, EurexBonds, 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 containedherein, 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 anycircumstances, 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 acquireor 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 productsavailable on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in theclearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with suchproducts, before doing so.
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®
ex Financials Index Futures, EURO STOXX® Select Dividend 30 Index Futures, EURO 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, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX®/MDAX®/TecDAX® Futures, SMIM® Futures, SLI Swiss Leader Index® Futures,
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