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Eurex Dividend Derivatives

January 2017
Eurex Dividend Derivatives

Eurex offers a wide range of Dividend Derivatives


Evolution of the dividend market segment and product portfolio

Launch of 50 Single Stock Change of SSDFs


Launch of EURO STOXX multiplier from 100 to EURO STOXX 50®
Dividend Futures (SSDFs) Launch of UK Launch of U.S.
50® Index Dividend 1000 underlying Dividend Futures –
on EURO STOXX 50® SSDFs (*) SSDFs (*)
Futures (FEXD) shares (*) Tradability in the U.S.
components) (*)
Jun 2008 Jan/Mar 2010 Oct 2010 Feb 2011 Apr 2014 Jan 2017

Eurex Dividend Derivatives

Jun 2009 May 2010 Nov 2010 Mar 2012 Jan/Feb 2015
Launch of 4 additional Launch of EURO Launch of 10 Launch of Sector Launch of 31
index dividend futures STOXX 50® Index Swiss SSDFs (*) Index Dividend European SSDFs
(SMI®, DAX®, EURO Dividend Options Futures (*) (*)
STOXX® Select (OEXD) (*)
Dividend, DivDAX®) (*)

(*) Non CFTC-approved products

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Eurex Dividend Derivatives

Dividend Derivatives volume development


Eurex Index and Single Stock Dividend Derivatives - Volumes & Open Interest
1,600,000 6,000,000

1,400,000
5,000,000

1,200,000

4,000,000
Traded Volume in Contracts

Open Interest in Contracts


1,000,000

800,000 3,000,000

600,000
2,000,000

400,000

1,000,000
200,000

0 0
Jun-08
Aug-08
Oct-08
Dec-08
Feb-09
Apr-09
Jun-09
Aug-09
Oct-09
Dec-09
Feb-10
Apr-10
Jun-10
Aug-10
Oct-10
Dec-10
Feb-11
Apr-11
Jun-11
Aug-11
Oct-11
Dec-11
Feb-12
Apr-12
Jun-12
Aug-12
Oct-12
Dec-12
Feb-13
Apr-13
Jun-13
Aug-13
Oct-13
Dec-13
Feb-14
Apr-14
Jun-14
Aug-14
Oct-14
Dec-14
Feb-15
Apr-15
Jun-15
Aug-15
Oct-15
Dec-15
Feb-16
Apr-16
Jun-16
Aug-16
Oct-16
Dec-16
Index Dividend Futures Traded Volume Index Dividend Options Traded Volume
Single Stock Dividend Futures Traded Volume Total Dividend Derivatives Open Interest

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Eurex Dividend Derivatives

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 • Dispersion / correlation – trading single stock vs index dividends
Derivatives • Opportunistic trades – e.g. Telefónica / Orange

• 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


• More liquidity and transparency comparing to the OTC
Listed • Standardized treatment of corporate actions adjustments
futures
• 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

Eurex Dividend Derivatives 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 • Return of capital: they follow the related underlying exchange rules.
dividends
• 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.

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Eurex Dividend Derivatives

Eurex Dividend Derivatives highlights


Segment development

2016 highlights

• Eurex lists 156 dividend products from benchmark and Sector Index Dividend Futures, with 144
Single Stock Dividend Futures on European and U.S. names, as well as EURO STOXX 50® Index
Dividend Options.

• The hugely volatile first two months of 2016 meant Eurex achieved a new outright monthly record for
all Dividend Derivatives in February of 1.4 million contracts (previous best amounted to 1.3 million
contracts in October 2014).

• February 2016 also saw an individual record month for EURO STOXX 50® Index Dividend Futures
with 836,000 contracts traded (previous best 817,000 in October 14).

• Single Stock Dividend Futures saw records too in February with 490,000 contracts traded (previous
best 461k in Sep 2013).

• Open Interest in dividend products has reached the highest level at more then 5.2 mn contracts in
November 2016.

• Since 9 January 2017, the EURO STOXX 50® Index Dividend Futures contracts are available for
trading by U.S. market participants and investors.

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Traded Contracts

1,000,000

100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000

0
Jun-08
Aug-08
Oct -08
Dec-08
Eurex Dividend Derivatives

Feb-09
Apr-09
Jun-09
Aug-09
Oct -09
Dec-09
Feb-10
Volume & Open Interest

Apr-10
Jun-10
Aug-10
Oct -10
Dec-10
Feb-11
Apr-11

Order Book Volume


Jun-11
Aug-11
Oct -11
Dec-11
Feb-12
Apr-12
Jun-12
Aug-12
Oct -12
Dec-12
Feb-13
Apr-13

www.eurexchange.com
Jun-13

Off Book Volume


Aug-13
Oct -13
Dec-13
Feb-14
Apr-14
Jun-14
Aug-14
Oct -14
Dec-14
EURO STOXX®50 Index Dividend Futures
EURO STOXX 50® Index Dividend Futures

Feb-15
Apr-15
Jun-15
Open Interest

Aug-15
Oct -15
Dec-15
Feb-16
Apr-16
Jun-16
Aug-16
Oct -16
Dec-16
0
120,000
240,000
360,000
480,000
600,000
720,000
840,000
960,000

Open Interest
1,080,000

7
Eurex Dividend Derivatives

EURO STOXX 50® Index Dividend Futures


December 2016 (by maturity)
300,000

Volumes traded (during) and open interest (as at end)


Total Volumes/ Month End Open Interest - in Contracts

250,000

200,000

150,000

100,000

50,000

0
2016 2017 2018 2019 2020 2021 2022 2023 2024 2025
EURO STOXX 50® Index Futures - Contract Expiry

Traded as Principal Traded as Market Maker Traded as Agency Mont h End Open Int erest

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Eurex Dividend Derivatives

EURO STOXX 50® Index Dividend Futures


Price range December 2016

115.0

105.0

95.0

85.0

75.0

65.0
Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25
Open 91.6 115.2 114.4 107.2 101.3 96.8 94.0 90.4 91.0 84.0
High 91.6 116.2 116.4 112.6 107.9 103.6 100.9 98.4 95.2 93.3
Low 91.6 114.9 113.4 107.1 101.3 96.8 93.5 90.4 91.0 83.8
Close 90.9 116.2 116.4 112.5 107.5 103.4 100.7 98.1 95.1 92.6

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Eurex Dividend Derivatives

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 December 2016 is shown below:


EURO STOXX 50® Index Dividend Futures - Underlying SX5ED (EURO STOXX 50® DVP) - calculations
Gross
Dividend Ex-Date EURO STOXX 50® (SX5E) Dividend Dividen Dividend Amount in Free Float SX5EOfficial
(Effective) Constutuent Ticker Type Currency Country d Paid € Shares in Index Index Factor Divisor
12/ 5/ 2016 ORANGE ORA FP EQUITY Interim EUR FR 0.2 2,002,224,602 400,444,920 0.7537 657099986
12/ 19/ 2016 SAFRAN SA SAF FP EQUITZ Interim EUR BE 0.69 352,848,732 243,465,625 0.8264 657099986
12/ 21/ 2016 TOTAL SA FP FP EQUITZ 2nd Interim EUR ES 0.61 2,528,459,212 1,542,360,119 0.9282 657099986

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Eurex Dividend Derivatives

Other Index Dividend Futures*


Volume & Open Interest Other Index Dividend Futures
14,000 45,000

40,000
12,000

35,000
10,000
30,000
Traded Contracts

Open Interest
8,000 25,000

6,000 20,000

15,000
4,000
10,000

2,000
5,000

0 0
Nov-09

Nov-10

Nov-12

Nov-13

Nov-15
Nov-11

Nov-14

Nov-16
Feb-10

Sep-11

Feb-12

Feb-13

Sep-14

Feb-15
Sep-09

Sep-10

Feb-11

Sep-12

Sep-13

Feb-14

Sep-15

Feb-16

Sep-16
May-11

May-12

May-14
May-10

May-13

May-15

May-16
Oct -09

Oct -12

Oct -15
Oct -10

Oct -11

Oct -13

Oct -14

Oct -16
Aug-10

Aug-11

Aug-13

Aug-14

Aug-16
Aug-09

Aug-12

Aug-15
Jun-09

Jun-12

Jun-15
Jun-10

Jun-11

Jun-13

Jun-14

Jun-16
Apr-11

Apr-14

Apr-16
Apr-10

Apr-12

Apr-13

Apr-15
Jul-10

Jul-13

Jul-16
Jul-09

Jul-11

Jul-12

Jul-14

Jul-15
Mar-10

Mar-11

Mar-12

Mar-13

Mar-14

Mar-15

Mar-16
Dec-10

Dec-13

Dec-16
Dec-09

Dec-11

Dec-12

Dec-14

Dec-15
Jan-10

Jan-11

Jan-12

Jan-13

Jan-14

Jan-15

Jan-16
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)
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Traded Contracts

50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
500,000

0
Jun-10
Jul-10
Aug-10
Sep-10
Oct -10
Nov-10
Eurex Dividend Derivatives

Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct -11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12

Order Book Volume


Oct -12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Oct -13
Nov-13
Dec-13
Jan-14
Feb-14

www.eurexchange.com
Mar-14
Apr-14
May-14

Off Book Volume


Jun-14
Jul-14
Aug-14
Sep-14
Volume & Open InterestEURO STOXX®50 Index Dividend Options

Oct -14
Nov-14
Dec-14
Jan-15
Feb-15
Mar-15
Apr-15
May-15
Jun-15
EURO STOXX 50® Index Dividend Options

Jul-15
Aug-15
Sep-15
Oct -15
Open Interest

Nov-15
Dec-15
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct -16
Nov-16
Dec-16
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

Open Interest
12
Traded Contracts

50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
500,000

0
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Eurex Dividend Derivatives

Jul-10
Aug-10
Sep-10
Oct -10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Volume & open interest

Jun-11
Jul-11
Aug-11
Sep-11
Oct -11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12

Order Book Volume


Jun-12
Jul-12
Aug-12
Sep-12
Oct -12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Single Stock Dividend Futures

Oct -13
Nov-13
Dec-13
Jan-14
Feb-14

www.eurexchange.com
Mar-14

Off Book Volume


Apr-14
May-14
Jun-14
Jul-14
Aug-14
Sep-14
Oct -14
Single Stock Dividend Futures

Nov-14
Dec-14
Jan-15
Feb-15
Mar-15
Apr-15
May-15
Jun-15
Jul-15
Aug-15
Sep-15
Oct -15
Open Interest

Nov-15
Dec-15
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct -16
Nov-16
Dec-16
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

Open Interest
13
Eurex Dividend Derivatives

Single Stock Dividend Futures – Monthly figures


Volume distribution December 2016

Total SSDFs- Capital Volume in EUR EURO STOXX 50®Constiuent SSDFs- Volumes
Finland Belgium,
Belgium 0% Netherlands,
Netherlands 1,650
3% 12,048 Finland, 200
4%

Switzerland Germany
9% 25% Germany,
25,019 Italy, 52,785

UK
16%

France,
33,251

Spain France
7% 26% Spain, 46,342
Italy
10%

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Eurex Dividend Derivatives

Market Makers
EURO STOXX 50® Index Dividend Futures (FEXD)
ADG Market Making LLP AMMLO Dmitri Zaporozhets + 44 20 78 561 625
Banco Santander BSAMD Alfonso Ruiz Poveda + 34 91 25 721 72
BNP Paribas BNAPA Nicolas Certner + 44 20 7595 1342
DRW LOTLO Chad Miller + 44 20 7031 1369
HiQ Trading HIQAM Patrick Karsten + 0031 20 535 2560
Morgan Stanley MGILO Kunal Sodha + 44 20 7425 5037
Positive Equity POSDB Chico Franke + 353 1525 0505
Société Générale SOGFR Massimiliano Pignatelli + 44 20 7762 5971

SMI® Dividend Futures (FSMD)


BNP Paribas (Suisse) SA BNPBS Geoffray Zanin + 41 22 787 7566
Société Générale SOGFR Massimiliano Pignatelli + 44 20 7762 5971

Single Stock Dividend Futures (SSDFs)


BNP Paribas BNAPA Yanis Escudero (EURO STOXX 50®) + 44 20 7595 1691
Morgan Stanley MGILO Maximilian Leuschner + 44 20 7677 9112
Société Générale SOGFR Massimiliano Pignatelli + 44 20 7762 5971
Banco Santander BSAMD Alfonso Ruiz Poveda + 34 91 25 721 72

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Eurex Dividend Derivatives

Further market contacts

EURO STOXX 50® Index Dividend Options (OEXD)

Deutsche Bank DBKFR Akilesh Eswaran + 44 20 7547 1343


BNP Paribas BNAPA Karim Chaoui + 44 20 7595 8402
Exane Derivatives EXDPA Charles Lacarriere + 33 144 9540 00
Société Générale SOGFR Laurent van Hollemeersch + 33 1 42 13 64 34

Sector Index Dividend Futures

BNP Paribas BNAPA Aurélien Cristini + 44 20 7595 8998


Société Générale SOGFR Eric Carballeda + 33 1 42 133 224
Société Générale SOGFR Massimiliano Pignatelli + 44 207 762 5971

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Eurex Dividend Derivatives

Appendix

17
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Eurex Dividend Derivatives

Contract specifications – Index Dividend Futures


EURO STOXX® Select
EURO STOXX 50® Index SMI® Dividend DAX® Price Index DivDax® Dividend
Reference contract Dividend 30 Index
Dividend Futures Futures Dividend Futures Futures
Dividend Futures
Underlying dividend EURO STOXX® Select SMI® Dividend DAX® Dividend DivDAX® Dividend
EURO STOXX 50® DVP
points calculation Dividend 30 DVP Points Index Points Index Points Index
SIX Swiss Exchange
Index provider STOXX Ltd. STOXX Ltd. Deutsche Börse AG Deutsche Börse AG
Ltd.
Eurex product ID FEXD FD3D FSMD FDXD FDVD
Launch date 30 Jun 2008 22 Jun 2009
EUR 100 per index dividend EUR 100 per index CHF 100 per index EUR 100 per index EUR 1.000 per index
Contract value
point dividend point dividend point dividend point dividend point
in points, with two
Price quotation in points, with one decimal place
decimal places
0.1 index points, 0.1 index points, 0.1 index points, 0.01 index points,
0.1 index points, equivalent to a
Minimum price change 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.

The ten nearest successive


annual contracts of the
December cycle (from the first
The five nearest successive annual contracts of the December cycle (from the first exchange day
exchange day after the last
Contract months after the last trading day of the calendar year up to the final settlement day of the following
trading day of the calendar year
calendar year) are available for trading at any time.
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 maturity month if this is an
Last trading day
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
Trading hours (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
Transaction fees 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


EURO STOXX® Banks / Utilities / Telecommunications / Insurance / Oil&Gas DVP
Underlying
STOXX® Europe 600 Banks / Utilities/ Telecommunications / Insurance / Oil&Gas DVP

Currency EUR

The five nearest successive annual contracts of the December cycle (from the first exchange day after the last trading
Contract months 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 The price quotation is in points, with two decimal places. The minimum price change is 0.01 points, equivalent to a
minimum price change value of EUR 5 per contract.

Settlement 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
Last trading day and final this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing
settlement day 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
Final settlement price 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
Contract (dividend) period 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


Trading hours
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 The price quotation is in points, with two decimal places. The minimum price change is 0.01 points, equivalent to a value of
price change 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
Contract months
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
Last trading day and final
is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the expiring option series
settlement day
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
Daily settlement price
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
Final settlement price
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
Exercise
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-the-
Exercise prices
money, 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.
Strike price intervals 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.
Option premium/Margining

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Eurex Dividend Derivatives

Contract specifications – Single Stock Dividend Futures


Underlying Annual dividend payments
The price quotation is in EUR/CHF/USD with three decimal places and in pence with two decimal places respectively.
Price quotation and
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
minimum price change
pence per contract respectively.
Contract value 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
Contract years and
at any time.
reference period
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
Last trading day and final
this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing
settlement day
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
Daily settlement price 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
Final settlement price
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.
Corporate actions 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)

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Eurex Dividend Derivatives

SSDFs – Current product suite and pricing


Single Stock Dividend Futures & Fee per contract (Regular Orderbook Transactions*)
France Germany Netherlands Spain Italy
ACCORS.A. EUR 1.00 Adidas EUR 1.20 AEGON EUR 0.20 BBVA EUR 0.60 Generali EUR 0.80
Air Liquide EUR 1.20 Allianz EUR 1.20 Ahold Delhaize EUR 0.60 Banco Santander EUR 0.20 Enel EUR 0.20
ALSTOM EUR 0.60 BASF EUR 1.20 Akzo Nobel EUR 1.20 Iberdrola EUR 0.60 Eni EUR 0.80
AXA EUR 1.00 Bayer EUR 1.20 Arcelor Mittal EUR 0.20 Inditex EUR 0.60 Intesa Sanpaolo EUR 0.20
BNP Paribas EUR 1.20 BMW EUR 1.20 ASML Holding EUR 1.00 Repsol EUR 1.00 Telecom Italia EUR 0.20
Bouygues S.A. EUR 1.20 Continental AG EUR 1.20 Gemalto N.V. EUR 0.60 Telefónica EUR 0.80 Terna EUR 0.20
Carrefour EUR 0.80 Daimler EUR 1.20 ING EUR 0.80 UK UniCredit EUR 0.20
Crédit Agricole EUR 0.60 Deutsche Bank EUR 0.80 Koninklijke DSM EUR 1.20 Aviva GBP 0.04 US
Danone EUR 1.20 Deutsche Börse EUR 1.20 Philips EUR 1.00 BAESystems PLC GBP 0.04 3M Co USD 1.20
Airbus Group EUR 1.20 Deutsche Lufthansa EUR 0.60 Royal KPN EUR 0.20 Barclays GBP 0.04 Altria Group Inc USD 1.20
Electricité de France EUR 1.20 Deutsche Post EUR 1.00 Unibail-Rodamco EUR 1.20 BGGroup GBP 0.10 Bank of America USD 0.20
Essilor International EUR 1.20 Deutsche Telekom EUR 0.80 Unilever NV EUR 1.20 BP GBP 0.04 Bristol-Myers USD 1.20
Engie EUR 1.00 E,ON EUR 0.60 Switzerland British American Tobacco GBP 0.30 Chevron USD 1.20
Kering EUR 1.20 Fresenius EUR 0.60 ABB CHF 1.10 BT Group GBP 0.04 Citigroup USD 0.20
L'Oréal EUR 1.20 Henkel AG& Co. KGaA EUR 1.20 Adecco S.A. CHF 1.60 Centrica PLC GBP 0.04 Coca-Cola USD 1.20
LVMH EUR 1.20 K+S EUR 1.00 Cie Financière Richemont
CHF 1.60 Diageo GBP 0.20 General Electric USD 1.00
Orange EUR 0.80 Linde AG EUR 1.20 Credit Suisse CHF 1.10 GlaxoSmithKline GBP 0.26 IBM USD 1.20
Pernot-Ricard EUR 1.20 Merck KGaA EUR 1.20 Geberit AG CHF 1.60 Morrison GBP 0.04 Johnson & Johnson USD 1.20
Publicis Groupe S.A. EUR 1.20 Metro EUR 1.00 Givaudan SA CHF 1.60 National Grid PLC GBP 0.10 JPMorgan Chase USD 1.20
Renault EUR 1.20 Münchener Rück EUR 1.20 Holcim Ltd. CHF 1.60 Rio Tinto GBP 0.30 McDonald's USD 1.20
SAFRAN EUR 1.20 RWE EUR 0.80 Julius Baer Gruppe CHF
AG 1.60 Severn Trent PLC GBP 0.26 PepsiCo USD 1.20
Saint-Gobain EUR 1.20 SAP EUR 1.20 Nestlé CHF 1.60 SSEPLC GBP 0.26 Pfizer USD 1.20
Sanofi EUR 1.20 Siemens EUR 1.20 Novartis CHF 1.60 Tesco GBP 0.04 Philip Morris USD 1.20
Schneider Electric EUR 1.20 ThyssenKrupp EUR 0.60 Roche Holding CHF 1.60 Vodafone Group GBP 0.04 Wal-Mart Stores USD 1.20
Société Générale EUR 1.20 VW pref, EUR 1.20 SGSS.A. CHF 1.60 Anglo American USD 0.80 Amazon USD 0.20
TOTAL EUR 1.20 Ireland Swatch Group AG, TheCHF 1.60 AstraZeneca USD 1.20 Apple USD 1.20
Vallourec S.A. EUR 0.60 CRH EUR 0.80 Swiss Re CHF 1.60 BHP Billiton USD 1.20 Cisco USD 1.00
Veolia Environnement EUR 0.80 Belgium Swisscom CHF 1.60 HSBC USD 0.60 Intel USD 1.00
Vinci EUR 1.20 Anheuser-Busch-InBevEUR 1.20 Syngenta CHF 1.60 Royal Dutch Shell EUR 1.20 Microsoft USD 1.20
Vivendi Universal EUR 1.20 Finland UBS CHF 1.10
Nokia EUR 0.20 Zurich Financial Services
CHF 1.60 * 50% Surcharge for TESTrades

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Eurex Dividend Derivatives

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

www.eurexchange.com 23
Eurex Dividend Derivatives

Contacts
Derivatives Sales – Equity and Index
Nicolas Kageneck Simona Simon Murat Baygeldi Vincenzo Zinnà

Deutsche Börse AG Eurex Frankfurt AG Deutsche Börse AG Eurex Zürich AG


Representative Office France Mergenthalerallee 61 11 Westferry Circus, Canary Wharf Loewenstrasse 3
17, rue de Surène 65760 Frankfurt / Main E14 4HE London 8021 Zürich
75008 Paris Germany United Kingdom Switzerland
France

P: +33 1 55 27 67 76 P:+49 69 2 11-1 82 18 P: +44 20 7862 7230 P:+41 43 430 7125


F: +33 1 55 27 67 50 F:+49 69 2 11-61 82 18 F: +44 20 7862 9230 F:+41 58 499 24 66
nicolas.kageneck@eurexchange.com simona.simon@eurexchange.com murat.baygeldi@eurexchange.com vincenzo.zinna@eurexchange.com

Sales Asia & Middle East Sales Americas Derivatives Product R&D - Equity and Index

Lorena Dishnica Stuart Heath


Markus Georgi Damien Zinck
Deutsche Börse AG Deutsche Börse AG
Eurex Frankfurt AG Eurex 11 Westferry Circus, Canary Wharf 11 Westferry Circus, Canary Wharf
68 Des Voeux Road Central 233 S. Wacker Drive E14 4HE London E14 4HE London
Hong Kong Chicago United Kingdom United Kingdom
P: +852 25 30-78 20 P: +1 312 544 1051 P: +44 20 7862 72 42 P: +44 20 7862 7253
F: +852 25 30-78 21 Damien.zinck@eurexchange.com F: +44 20 7862 92 42 F: +44 20 7862 9253
markus.georgi@eurexchange.com lorena.dishnica@eurexchange.com stuart.heath@eurexchange.com

www.eurexchange.com 24
Eurex Dividend Derivatives

© Eurex 2017
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”.
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) are
owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. 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.
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
available 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 the
clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such
products, 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,
MSCI World/Europe/Japan/AC Asia Pacific ex Japan Index Futures and VSTOXX® Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives).

Trademarks and Service Marks


Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®,
TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW ® and Xetra® are registered trademarks of DBAG. Phelix Base® and Phelix Peak® are registered trademarks of European Energy
Exchange AG (EEX). All MSCI indexes are service marks and the exclusive property of MSCI Barra. ATX®, ATX® five, CECE® and RDX® are registered trademarks of Vienna Stock
Exchange AG. IPD® UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives.
SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. The STOXX® indexes, the data included therein and the trademarks used in the index names are the
intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its
licensors and neither STOXX nor its licensors shall have any liability with respect thereto.
Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and
any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow
Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products.
All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited,
which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced.
PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc.
Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc.
BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of
the above would constitute an offence under the laws of India and international treaties governing the same.
The names of other companies and third party products may be trademarks or service marks of their respective owners.

www.eurexchange.com 25