EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 2
Products 2010
eurex
Eurex Frankfurt AG Neue Börsenstraße 1 60487 Frankfurt /Main Germany
Eurex Zürich AG Selnaustrasse 30 8021 Zurich Switzerland
www.eurexchange.com EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 4
Products 2010
eurex EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 2
Equity Derivatives Weather Derivatives 6 Single Stock Futures 100 Hurricane Futures Equity Derivatives 10 Equity Options 16 Low Exercise Price Options Property Derivatives 106 Property Futures Equity Index Derivatives
Interest Rate Derivatives Equity Index Derivatives 20 Equity Index Futures 28 Equity Index Options Fixed Income Derivatives 36 Weekly Options 110 Fixed Income Futures 114 Options on Fixed Income Futures Dividend Derivatives Money Market Derivatives Dividend Derivatives 40 Equity Index Dividend Futures 118 Money Market Futures 44 Single Stock Dividend Futures Volatility Index 122 Options on Money Market Futures Derivatives
Eurex Bonds Volatility Index Derivatives 48 Volatility Index Futures ® 126 Eurex Bonds Exchange Traded Funds® Eurex Repo Derivatives 132 Eurex Repo EUR Market 52 EXTF Futures Exchange Funds Traded 136 Eurex Repo CHF Market Derivatives 54 EXTF Options 139 Eurex Repo SNB Bills Credit Derivatives 140 Eurex SecLend Market 60 Credit Futures Appendix
Inflation Derivatives Wholesale Trading Facilities Credit Derivatives 146 OTC Block Trades 66 Inflation Futures 148 OTC Flexible Options Commodity Derivatives 149 OTC Flexible Futures 150 OTC Exchange for Physicals Dow Jones-UBS Inflation Derivatives (Equity Index Futures) EFPI Trades 70 Dow Jones-UBS Commodity IndexSM Futures 151 OTC Exchange for Physicals Agriculture Derivatives (Fixed Income, Inflation and 72 European Processing Potato Futures Credit Futures) EFP Trades 74 London Potato Futures 152 OTC Exchange for Swaps Commodity Derivatives 76 Piglet Futures (Equity Index Futures) EFS Trades 78 Hog Futures 154 OTC Exchange for Swaps (Fixed Income, Inflation and Gold Derivatives Credit Futures) EFS Trades 80 Gold Futures 155 OTC Vola Trades 82 Gold Options Weather Derivatives 156 Multilateral Trade Registration (MTR) Silver Derivatives 156 OTC Trade Entry Service 84 Silver Futures 157 Block Auction Requests (BAR) 86 Silver Options Eurex Strategy WizardSM Property Derivatives CO2 Derivatives 158 Strategy Types 88 CER Futures 163 Trading in the U.S. 90 EUA Futures 92 Options on EUA Futures EarlyDec Power Derivatives Interest Rate Derivatives 94 Phelix Base® & Peak® Futures 96 Options on Phelix Base® Futures Eurex Bonds / Eurex Repo EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 4
Equity Derivatives EU-1127 Produkte2010E26.02.201012:54UhrSeite6 Contract Standards Settlement Contract Sizes STOXX Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance &Services Industrial Goods Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Single StockFutures ® uoe60Supersectors Europe 600 6 A broad rangeofshares ofthe19STOXX Trading >Products. canbefoundonwww.eurexchange.com > Futures Information aboutcurrently availableSingleStock shares. Supersectors aswellselectedRussianandU.S. three exchangedaysfollowingtheLastTrading Day. with physicaldelivery:100shares oftheunderlying Selected SpanishSingleStockFutures are alsoavailable following theLastTrading Day. payableonthefirstexchangeday Cash settlement, Search. www.eurexchange.com >Trading >ProductsProduct Current contractsizescanbefoundon Stock Futures candiffer from the Due tocorporateactionsthecontractsizefor 500or1,000shares. 100, 50, 10, 1, standard contractsize. ® uoe600 Europe Sector Code Single SX6P SXTP SXKP SX8P SXRP SX86P SXQP SXEP SXMP SXIP SXNP SXDP SX3P SXFP SXOP SX4P SXPP SX7P SXAP Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Minimum PriceChange Regulations. on Further detailsare availableintheclearingconditions respective costofcarry. intheappropriate contractplusthe (reference point) last three pricesoftheunderlyingbefore 17:45CET is derivedfrom thevolume-weightedaverageof SingleStockFutures theDailySettlementPrice For U.S. domestic cashmarketplustherespective costofcarry. mined duringtheclosingauctionofcorresponding derived from theclosingpriceofunderlyingdeter- The DailySettlementPricesforSingleStockFutures are The DailySettlementPriceisestablishedbyEurex. 15:30 CET(forMarch contractsalready at14:30CET). maturing futures contractontheLastTrading Dayat SingleStock Futures tradingceasesinthe For U.S. at 16:40CET. the maturingfutures contractontheLastTrading Day For RussianSingleStockFutures tradingceasesin on theLastTrading Dayisat17:45CET. Close oftradinginthematuringSingleStockFutures the exchangedayimmediatelypreceding thatday. ifthisisanexchangeday;otherwise maturity month, Stock Futures thedaybefore thethird Fridayofeach forItalianSingle Settlement Dayisthethird Friday, Final Last Trading DayistheFinalSettlementDay. the Decembercyclethereafter. months aswellthetwofollowingannualof Up to36months: GBp 0.01. USD0.01, USD0.001, USD 0.0001, CHF0.01, CHF0.001, CHF 0.0001, EUR0.01, EUR0.001, EUR 0.0001, w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules The 13nearest successivecalendar 7
Equity Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 8 Equity Derivatives
Final Settlement Price Wholesale Trading Hours The Final Settlement Price is established by Eurex based Contract Trading Hours on the closing price determined within the electronic Austrian, Belgian, Swiss, 08:58–19:33 CET trading system of the domestic cash market Greek, Irish, Norwegian, for the respective underlying on the Last Trading Day. Portuguese and Swedish Single Stock Futures The Final Settlement Price for U.S. Single Stock Futures is German, Spanish, Finnish, 09:00–19:35 CET based on the opening price of the floor trading of NYSE French, Italian and Dutch Euronext New York or on the opening auction price Single Stock Futures determined within the electronic trading system British and Russian 09:01–19:36 CET Single Stock Futures of NASDAQ on the Last Trading Day respectively. U.S. Single Stock Futures 09:01–22:30 CET Trading Hours and Product Currency
Contract Trading Hours Product Currency Standard 09:00–17:45 CET EUR British Single Stock Futures 09:00–17:45 CET GBP Russian Single Stock Futures 09:00–17:45 CET USD Swiss Single Stock Futures 09:00–17:45 CET CHF U.S. Single Stock Futures 09:00–22:00 CET USD
The opening time of 09:00 CET is considered a refer- ence point. Eurex opens its Single Stock Futures staggered on a country-by-country approach between 08:50 and 09:00 CET.
For details, please visit the trading calendar on the Eurex website www.eurexchange.com > Trading > Products > Trading Calendar.
Wholesale Trading Facilities The following Wholesale Trading facilities are available for Single Stock Futures:
• OTC Block Trades - supported by Bulk Load Panel - Non-Disclosure facility implemented • OTC Flexible Futures • OTC Trade Entry Service (Russian Single Stock Futures)
Further information about Wholesale Trading facilities is available in the appendix section or on www.eurexchange.com > Trading > Wholesale Trading.
8 9 EU-1127 Produkte2010E26.02.201012:54UhrSeite10 Contract Standards Settlement Contract Sizes STOXX Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance &Services Industrial Goods Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Equity Options ® 10 uoe60Supersectors Europe 600 A broad rangeof Products. can befoundon Information aboutcurrently availableequityoptions Supersectors aswellselectedRussianshares. exchange daysafterexercise: three orfour 2,500 or 5,000shares oftheunderlyingtwo, 1,000, 500, 100, 50, 10, Physical deliveryof5, 2,500or5,000 1,000, 500, 100, 50, 10, 5, Finnish equityoptions British equityoptions German equityoptions Standard Contract www.eurexchange.com >Trading > shares ofthe19STOXX t+4 t+4 t+2 t+3 Settlement Day ® shares. Sector Code Europe 600 SX6P SXTP SXKP SX8P SXRP SX86P SXQP SXEP SXMP SXIP SXNP SXDP SX3P SXFP SXOP SX4P SXPP SX7P SXAP Minimum PriceChange Daily SettlementPrice Last Trading Day Contract Months EUR 0.0005, Regulations. on Further detailsare availableintheclearingconditions are takenintoconsideration. current interest ratesorotherpayments expectations, dividend Ifnecessary, to Cox/Ross/Rubinstein. determined through thebinomialmodelaccording DailySettlementPricesforequityoptionsare The The DailySettlementPriceisestablishedbyEurex. preceding thatdayisdeemedastheLastTrading Day. theexchangeday passed ontheLastTrading Day, If forGermanequityoptionsadividendresolution is the exchange ifthisisanexchangeday;otherwise, month, expiration ofeach before thethird Friday, day options the forItalianequity Last Trading Dayisthethird Friday, the Decembercyclethereafter. andthetwofollowingannualmonthsof thereafter, of semi-annual months Spanish four (for September and D June, following quarterlymonthsoftheMarch, Spanishequityoptionsnine) thethree (for months, Up to60months: and Decembercyclethereafter. and thetwofollowingsemi-annualmonthsofJune SeptemberandDecembercyclethereafter, June, March, thethree followingquarterlymonthsofthe months, Up to24months: after. SeptemberandDecembercyclethere- June, the March, months andthethree followingquarterlymonthsof Up to12months: or USD0.01. w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules U .1 H .1 B .5 GBp0.50 GBp0.25, CHF0.01, EUR 0.01, day immediatelypreceding thatday. equity options the nearest) following equity optionsthenearest) cme yl hratr andthe ecember cyclethereafter, The three nearest successivecalendar The three nearest successivecalendar The three nearest successivecalendar the JuneandDecembercycle 11
Equity Derivatives EU-1127 Produkte2010E26.02.201012:54UhrSeite12 Exercise Prices(Standard) Exercise Up to2 orUSD EUR, CHF Exercise Pricesin 0 400 200 – 200 100 – 2–100 52 – 52 20 – –20 8 8– 4 – 2– 4 400 > 12 in thecontractspecificationson exercise prices;thecompleteexercise pricesare available and French equityoptionsare different from thestandard Belgian Dutch, Spanish, The exercise pricesofBritish, which adividendresolution ispassed. German equityoptionscannotbeexercised onaday the endofPost-Trading CET). Full-Period(17:40 can onlybeexercised ontheLastTrading Dayuntil European-style forRussianequityoptions;anoption exchange dayduringthelifetimeofoption. onany end ofthePost-Trading CET) FullPeriod(20:00 American-style; anoptioncanbeexercised untilthe at-the-money andtwoare out-of-the-money. oneis such thattwoexercise pricesare in-the-money, a termofmore than24monthsforeachcallandput, prices shallbemadeavailableforeachduedatewith atleastfiveexercise Upon theadmissionofoptions, is at-the-moneyandthree are out-of-the-money. one such thatthree exercise pricesare in-the-money, with atermofupto24monthsforeachcallandput, cise pricesshallbemadeavailableforeachduedate atleastsevenexer- Upon theadmissionofoptions, Number ofExercisePrices &Regulations Documents >Rules < Lifetime of for ExpirationMonthswithaRemaining Exercise PriceIntervalsinEUR,CHForUSD 20.00 10.00 5.00 2.00 1.00 0.50 0.20 0.10 0.05 3 Months 4–12 Months 4–12 40.00 20.00 10.00 4.00 2.00 1.00 0.40 0.20 0.10 www.eurexchange.com > . > 12Months 80.00 40.00 20.00 8.00 4.00 2.00 0.80 0.40 0.20 Trading HoursandProductCurrency Option Premium website pleasevisitthetradingcalendaronEurex For details, 17:30 and17:36CET. staggered onacountry-by-countryapproach between Eurex closesitsequityoptions a reference point. The standard closingtimeof17:30CETisconsidered 08:50 and09:05CET. staggered onacountry-by-countryapproach between Eurex opensitsequityoptions a reference point. The standard openingtimeof09:00CETisconsidered day ofthetrade. respective contractontheexchangedayfollowing The premium ispayableinfullthecurrency ofthe out-of-the-money. oneisat-the-moneyandthree are are in-the-money, suchthatthree exercise prices for eachcallandput, for eachduedatewithatermofmore than12months at leastsevenexercise pricesshallbemadeavailable andFrench options, Belgian Dutch, theadmission of Upon money. oneisat-the-moneyandfourare out-of-the- money, are such thatfourexercise prices call andput, each duedatewithatermofupto12monthsfor at least andFrench options, Belgian Dutch, of theadmission Upon Trading Calendar. Swiss equityoptions Russian equityoptions British equityoptions Standard Contract nine www.eurexchange.com> Trading > Pr exercise pricesshallbemadeavailablefor 09:00–17:20 CET 09:00–17:20 CET 09:15–16:30 CET 09:00–17:30 CET 09:00–17:30 Trading Hours CHF USD GBp EUR Currency Product 13 in-the- oducts > each
Equity Derivatives EU-1127 Produkte2010E26.02.201012:54UhrSeite14 Wholesale Trading Facilities Wholesale Trading Hours 14 lc uto euss(qiyotosonEURO options BlockAuctionRequests(equity • OTCTrade equityoptions) EntryService(Russian • OTCFlexibleOptions • OTCBlockTrades (includingOTCvolastrategytrades • MultilateralTrade Registration • for equityoptions: The followingWholesaleTrading facilitiesare available w.uecag.o >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading Russian equityoptions British equityoptions Austrian equityoptions Standard Contract STOXX 50 with cashequityleg) ® Index components) the LastTrading Day 16:30 CET 10:00–19:00 CET 09:00–18:30 CET 09:15–19:00 CET 09:00–19:00 Trading Hours > Wholesale Trading –17:00 CETon .
Equity Derivatives EU-1127 Produkte2010E26.02.201012:54UhrSeite16 Exercise Prices Contract Months Wholesale Trading Facilities Options Low ExercisePrice 16 w.uecag.o >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading (LEPOs) an optionavailableintheEurex Exercise priceofaLEPOisthesmallestexercise priceof September andDecembercyclethereafter. June, two followingquarterlymonthsoftheMarch, Up to6months: isavailable. (LEPO) for everyequityoptionaLowExercise PriceOption whereas regular contractspecificationsforequityoptions, This sectiononlyliststhedifferences withrespect tothe lc uto euss(EO nER TX 50 STOXX onEURO • Block AuctionRequests(LEPOs • OTCTrade LEPOs) EntryService(Russian • OTCFlexibleOptions • OTCBlockTrades • MultilateralTrade Registration for LowExercise PriceOptions: The followingWholesaleTrading facilitiesare available respectively. CHF0.1orUSD have anexercise priceofEUR0.1, Options withanexercise pricewithonedecimalplace willbesetup. respectively, CHF 0.01orUSD0.01, LEPOswithanexercise priceofEUR0.01, decimal places, forsecuritieswithexercise priceswithtwo For example, Index components) The nearest calendarmonthandthe ® system. > Wholesale Trading ® .
Equity Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:54 Uhr Seite 18
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:54UhrSeite20 USD-denominated * Underlyings Equity IndexFutures MDAX DAX DJ GlobalTitans 50Index SMI STOXX STOXX Europe 50 of MSCIBarra* theRussianbluechipindex MSCI RussiaIndex, of MSCIBarra* theJapanesebluechipindex MSCI JapanIndex, theFinnishequityindex OMXH25, capped weightingsofSIXSwissExchange TecDAX Dow JonesSectorTitans Index SMI Utilities Telecommunications Oil &Gas Insurance Banks Futures on EURO STOXX50 Futures on STOXX EURO STOXX DJ GlobalTitans 50Index STOXX STOXX DivDAX SLI SwissLeaderIndex ® ® ® thebluechipindexofSIXSwissExchange , , the blue chip index of Deutsche Börse AG Börse Deutsche of the blue chip index , i,themidcapindexofSIXSwissExchange Mid, ® ® ® ® ® themidcapindexofDeutscheBörseAG , ® ® EuropeMid 200Index thetechnologyindexofDeutscheBörseAG , thedividendindex , Europe Small200Index Europe Large 200Index Europe 600Index 20 ® Select Dividend30Index ® ® Index Index ® thebluechipindexwith , SM SM (USD) (EUR) of DeutscheBörseAG SM Products* Product FGSU FGST FGSE FGSI FGSB ID Sector Code DJTUTS DJTTEL DJTENG DJTINN DJTBAK Product FMXR FMJP FFOX FSLI FSMM FSMI FTDX F2MX FDIV FDAX FT50 FGTI F2SM F2MI F2LA F600 FSTX FEDV FESX ® ID EURO STOXX STOXX Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance &Services Industrial Goods Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Futures on Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance &Services Industrial Goods Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Futures on ® Europe 600 ® Sector IndexProducts Sector IndexProducts Product Product FESU FESV FEST FESY FESR FESL FESZ FESE FESM FESI FESG FESH FESO FESF FESN FESC FESS FESB FESA FSTU FSTV FSTT FSTY FSTR FSTL FSTZ FSTE FSTM FSTI FSTG FSTH FSTO FSTF FSTN FSTC FSTS FSTB FSTA ID ID Sector Code Sector Code 21 SX6E SXTE SXKE SX8E SXRE SX86E SXQE SXEE SXME SXIE SXNE SXDE SX3E SXFE SXOE SX4E SXPE SX7E SXAE SX6P SXTP SXKP SX8P SXRP SX86P SXQP SXEP SXMP SXIP SXNP SXDP SX3P SXFP SXOP SX4P SXPP SX7P SXAP
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite22 Price QuotationandMinimumChange Settlement Contract Values Contract STOXX Index Futures STOXX Europe 50 Dividend 30IndexFutures STOXX Sector IndexFutures STOXX Index Futures EURO STOXX Index Futures STOXX50 EURO DAX Index Titans 50 Global DJ Index Titans 50 Global DJ Index Titans Sector DJ Sector IndexFutures STOXX EURO Index Futures STOXX Index Futures STOXX Index Futures MDAX TecDAX SMIM SLI DivDAX SMI ® ® Futures ® SM SM SM Futures ® Futures ® ® ® ® ® ® Futures ® Futures (USD) Futures (EUR) Futures ® Futures uoeLarge 200 Europe Europe 600 Europe Small200 Mid200 Europe Europe 600 22 Futures Futures for DivDAX The PriceQuotationisinpointswithonedecimalplace, following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, of theunderlying. CHF 10, EUR200, EUR100, EUR50, EUR25, EUR10, EUR 5, or 1point. mum PriceChangeis0.05points, ® ® Select ® ® USD 10, ® uue ihtodcmlpae.TheMini- Futures withtwodecimalplaces. H 10 CHF CHF 10 CHF 10 EUR 10 EUR 5 EUR 200 EUR 25 USD 100 EUR 100 USD 100 EUR 50 EUR 50 EUR 200 EUR 200 EUR 200 EUR 200 EUR 10 EUR 10 EUR 10 Value Contract USD 25or100perindexpoint Points Minimum 0.05 0.1 0.5 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 1 1 1 1 1 . ons 0.5points 0.1 points, Price Change Value H 1 CHF CHF 10 CHF 10 EUR 5 EUR 5 EUR 10 EUR 12.50 10 USD EUR 10 10 USD EUR 5 EUR 5 20 EUR EUR 20 20 EUR 20 EUR EUR 10 5 EUR EUR 10 Last Trading DayandFinalSettlement Contract Months SLI STOXX STOXX TecDAX Contract SMIM STOXX Europe 50 30 IndexFutures DivDAX SMI MSCI RussiaIndexFutures MSCI JapanIndexFutures OMXH25 Futures Index DJ GlobalTitans 50 STOXX MSCI RussiaIndexFutures MSCI JapanIndexFutures OMXH25 Futures UOSTOXX50 EURO Contract MDAX EURO STOXX DAX STOXX UOSTOXX EURO STOXX DJ SectorTitans Index ® ® Futures ® Futures SM Futures ® ® ® ® ® ® ® Futures ® Futures (EUR/USD) ® Futures Europe 600SectorIndexFutures uoeMd20IndexFutures Europe Mid200 IndexFutures Europe 600 Europe Small200IndexFutures Europe Large 200IndexFutures Futures Futures ntemtrn uue on in thematuringfutures Closeoftrading day immediatelypreceding thatday. otherwisetheexchange the Japanesestockexchanges); day (forMSCIJapanIndexFutures bothatEurex and Friday ofeachmaturitymonthifthisisanexchange forMSCIJapanIndexFutures thesecond third Friday, FinalSettlementDayisthe the FinalSettlementDay. Japan IndexFutures theexchangedaypreceding forMSCI Last Trading DayistheFinalSettlementDay, SeptemberandDecembercycle. June, the March, Up to9months: ® ® etrIndex Futures Sector Select ® ® Index Futures Index Futures SM Dividend Futures Value Contract USD 25 10 USD EUR 10 The three nearest quarterlymonthsof the LastTrading Dayisat: Points Minimum 15:45 CET 22:00 CET 17:30 CET 09:00 CET Futures at13:05CET). MDAX at 13:00CET(for intraday auctionstarting Beginning oftheXetra 17:00 CET 12:00 CET Close ofTrading 0.5 1 0.1 Price Change USD 12.50 10 USD EUR 1 Value 23 ® ®
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite24 Daily SettlementPrice Final SettlementPrice STOXX STOXX STOXX Europe 50 30 IndexFutures Index DJ GlobalTitans 50 STOXX TecDAX UOSTOXX50 EURO MDAX EURO STOXX DivDAX DAX DJ SectorTitans Index STOXX STOXX EURO STOXX Contract ® SM Futures ® ® ® ® ® ® ® Futures (EUR/USD) ® Futures Europe 600SectorIndexFutures uoeMd20IndexFutures Europe Mid200 IndexFutures Europe 600 Europe Small200IndexFutures Europe Large 200IndexFutures 24 Futures Futures month ofSMI The DailySettlementPricesforthecurrent maturity Regulations. & www.eurexchange.com >DocumentsRules Further detailsare availableintheclearingconditionson bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, within thisperiod. provided thatmore thanfivetradestransacted point), tions duringtheminutebefore 17:30CET(reference volume-weighted averageofthepricesalltransac- Price forthecurrent maturitymonthisderivedfrom the theDailySettlement For allotherequityindexfutures, of therespective futures contract. Futures are determinedduringtheclosingauction Final SettlementDayaccording tothefollowingrules: The FinalSettlementPriceisestablishedbyEurex onthe ® ® etrIndexFutures Sector Select ® ® Index Futures Index Futures SM Dividend Futures ® SMIM , ® and MSCIRussiaIndex (for MDAX (for starts at13:00CET The intradayauction shares. spective indexcomponent auction pricesofthere- Final SettlementPrice T Average oftheDJ and 12:00CET. calculated between11:50 STOXX Average oftherespective Titans 50Index shares at13:05CET). index, Value oftherespective and 17:00CET. calculated between16:50 itans Index based onXetra ® Index values ® SM component n JGlobal and DJ SM values Sector ® Wholesale Trading Facilities Trading Hours SLI SMI Contract SMIM MSCI RussiaIndexFutures MSCI JapanIndexFutures OMXH25 Futures ® ® Futures Futures ® Futures w.uecag.o >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading OTCTrade EntryService(MSCIRussiaIndexFutures) • OTCEFSTrades • • OTCEFPITrades • OTCVola Trades • OTCFlexibleFutures • OTCBlockTrades for equityindexfutures: The followingWholesaleTrading facilitiesare available SMI Standard Contract MSCI RussiaIndexFutures SMIM ® Futures ® Futures between 15:30and15:45CET Index valuescalculated Average oftheMSCIRussia ponent shares. cash marketsoftheindexcom- the closingpricesofJapanese (Net T Value oftheMSCIJapanIndex from 08:40until17:30CET. the indexcomponentshares weighted averagepricesof NASDAQ basedon Value oftheOMXH25, index componentshares. opening pricesoftherespective based onSIXSwissExchange Value oftherespective index, Final SettlementPrice otal ReturnIndex)basedon > Wholesale Trading 07:50–17:30 CET 07:50–17:30 CET 07:50–17:20 CET 07:50–17:27 CET 07:50–22:00 Trading Hours OMX H elsinki volume- 25 . .
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite26 Trading intheU.S. Wholesale Trading Hours EURO STOXX50 in theU.S.: The followingequityindexfutures are availablefortrading EURO STOXX STOXX Europe 50 STOXX STOXX STOXX STOXX EURO STOXX STOXX STOXX STOXX o oe lblTtn 0Index Dow JonesGlobalTitans 50 TecDAX MDAX SMIM STOXX STOXX STOXX DAX SLI SwissLeaderIndex STOXX DJ SectorTitans Index Index Futures Futures SMI Standard Contract SMIM STOXX Futures UOSTOXX EURO 26 ® ® Futures ® Futures ® ® ® ® ® ® ® ® ® ® ® ® ® ® Futures ® Futures Futures Europe Europe uoe60Tae Leisure Futures & Europe 600Travel Europe 600MediaFutures Europe 600InsuranceFutures Europe 600BanksFutures Europe Small200IndexFutures Europe Mid200IndexFutures Europe Large 200IndexFutures Europe 600IndexFutures Europe 600UtilitiesFutures Europe 600Sector Futures ® ® ® Select etrIndex Sector Banks Futures 0 esnl&Household GoodsFutures & 600 Personal 600 IndustrialGoods&ServicesFutures ® ® Index Futures Index Futures Dividend 30IndexFutures SM ® Futures 80–20 CET 08:05–22:00 CET 08:00–19:00 CET 08:00–22:00 Trading Hours SM Futures
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite28 USD-denominated * Underlyings Equity IndexOptions MDAX STOXX SMI STOXX STOXX Europe 50 of MSCIBarra* theRussianbluechipindex MSCI RussiaIndex, theFinnishequityindex OMXH25, capped weightingsofSIXSwissExchange TecDAX SMI EURO STOXX50 Options on EURO STOXX DJ GlobalTitans 50Index STOXX STOXX DivDAX SLI SwissLeaderIndex DAX ® ® ® thebluechipindexofSIXSwissExchange , , the blue chip index of Deutsche Börse AG Börse Deutsche of the blue chip index , i,themidcapindexofSIXSwissExchange Mid, ® ® ® ® ® themidcapindexofDeutscheBörseAG , ® ® thetechnologyindexofDeutscheBörseAG , thedividendindex , Europe Small200Index Europe Large 200Index Europe 600Index 28 Europe Mid200Index ® Select Dividend30Index ® ® Index Index ® thebluechipindexwith , SM (EUR) of DeutscheBörseAG Product OMXR OFOX OSLI OSMM OSMI OTDX O2MX ODIV ODAX OGTI O2SM O2MI O2LA O600 OSTX OEDV OESX ID EURO STOXX STOXX Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance Industrial Goods&Services Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Options on Utilities Travel &Leisure Telecommunications Technology Retail Real Estate Personal &HouseholdGoods Oil &Gas Media Insurance Industrial Goods&Services Health Care Food &Beverage Financial Services Construction &Materials Chemicals Basic Resources Banks Automobiles &Parts Options on ® uoe60SectorIndexProducts Europe 600 ® Sector IndexProducts Product Product OESU OESV OEST OESY OESR OESL OESZ OESE OESM OESI OESG OESH OESO OESF OESN OESC OESS OESB OESA OSTU OSTV OSTT OSTY OSTR OSTL OSTZ OSTE OSTM OSTI OSTG OSTH OSTO OSTF OSTN OSTC OSTS OSTB OSTA ID ID Sector Sector 29 SX6E SXTE SXKE SX8E SXRE SX86E SXQE SXEE SXME SXIE SXNE SXDE SX3E SXFE SXOE SX4E SXPE SX7E SXAE SX6P SXTP SXKP SX8P SXRP SX86P SXQP SXEP SXMP SXIP SXNP SXDP SX3P SXFP SXOP SX4P SXPP SX7P SXAP Code Code
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite30 Price QuotationandMinimumChange Settlement Contract Values Contract Months 30 lc,forDivDAX place, The PriceQuotationisinpointswithonedecimal following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, or USD25perindexpointoftheunderlying. CHF10 EUR200, EUR100, EUR50, EUR10, EUR 5, annual monthsoftheDecembercyclethereafter. December cyclethereafter andthesevenfollowing the fourfollowingsemi-annualmonthsofJuneand SeptemberandDecembercyclethereafter, June, March, thethree followingquarterlymonthsofthe months, Up to119months: al monthsoftheDecembercyclethereafter. December cyclethereafter andthetwofollowingannu- the fourfollowingsemi-annualmonthsofJuneand andDecembercyclethereafter, September June, March, thethree followingquarterlymonthsofthe months, Up to60months: after. SeptemberandDecembercyclethere- June, the March, months andtheelevenfollowingquarterlyof Up to36months: and Decembercyclethereafter. and thetwofollowingsemi-annualmonthsofJune SeptemberandDecembercyclethereafter, June, March, thethree followingquarterlymonthsofthe months, Up to24months: SeptemberandDecembercyclethereafter. June, March, thethree followingquarterlymonthsofthe months, Up to12months: Options 0.01points. h iiu rc hnei . ons forDivDAX The MinimumPriceChangeis0.1points, ® The three nearest successivecalendar The three nearest successivecalendar The three nearest successivecalendar The three nearest successivecalendar The three nearest successivecalendar Options withtwodecimalplaces. ® SMI STOXX Index 200 STOXX Index Options STOXX 200 IndexOptions STOXX Index Options STOXX Index Options STOXX Europe 50 Index Options Select EURO STOXX Index Options STOXX50 EURO Contract SLI Index DJ GlobalTitans 50 Sector IndexOptions EURO STOXX 200 IndexOptions MDAX TecDAX Options MSCI RussiaIndex OMXH25 Options SMIM DAX DivDAX ® ® Options ® SM Options ® Options Dividend 30 ® ® ® ® ® ® Options Options ® ® Options Europe Europe Large Europe 600 Europe Small Europe Mid Options Options Options ® ® Sector 600 (EUR) ® ® S 25 USD EUR 10 10 CHF 10 CHF CHF 10 5 EUR 10 EUR 200 EUR EUR 5 EUR 100 EUR 50 EUR 50 EUR 200 200 EUR EUR 200 200 EUR EUR 10 EUR 10 EUR 10 Value Contract Points Change Price Minimum 0.01 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 S 2.50 USD EUR 1 1 CHF 1 CHF CHF 1 EUR 1 0.50 EUR EUR 2 EUR 0.50 EUR 10 EUR 5 EUR 5 EUR 20 20 EUR EUR 20 20 EUR EUR 1 EUR 1 EUR 1 Value 31 Months Contract 119 36 12 60 24 60 24 24 24 60 24 24 24 24 24 24 24 24 24
Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite32 Daily SettlementPrice Last Trading DayandFinalSettlement SLI STOXX STOXX SMIM STOXX Europe 50 Options STOXX STOXX UOSTOXX50 EURO Contract MDAX EURO STOXX DAX DivDAX Index DJ GlobalTitans 50 UOSTOXX EURO STOXX SMI TecDAX MSCI RussiaIndexOptions OMXH25 Options ® ® Options ® Options SM ® Options ® ® ® ® ® ® Options Options (EUR) ® ® Options Europe 600SectorIndexOptions uoeMd20IndexOptions Europe Mid200 IndexOptions Europe 600 Europe Small200IndexOptions Europe Large 200IndexOptions 32 Options Options Regulations. on Further detailsare availableintheclearingconditions consideration. current interest ratesorotherpaymentsare takeninto dividendexpectations, Ifnecessary, Scholes 76model. are determinedthroughas Weekly theBlack/ Options) well Daily SettlementPricesforequityindexoptions(as The The DailySettlementPriceisestablishedbyEurex. Day ofSMI LastTrading Last Trading DayistheFinalSettlementDay. expiring optionseriesontheLastTrading Dayisat: Closeoftradinginthe immediately preceding thatday. if this is anexchangeday; ment Dayisthethird Fridayofeachexpirationmonth FinalSettle- preceding theFinalSettlementDay. day ® ® etrIndexOptions Sector Select w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules ® ® Index Options Index Options Dividend 30Index ® SMIM , ® and SLI otherwise theexchangeday ® 15:45 CET 17:30 CET 17:20 CET CET) Options at13:05 MDAX (for 13:00 CET intraday auctionstartingat Beginning oftheXetra 17:00 CET 12:00 CET Close ofTrading Options istheexchange ® ® Final SettlementPrice SLI STOXX Index DJ GlobalTitans 50 Options STOXX Options STOXX TecDAX SMIM UOSTOXX EURO Options STOXX Options STOXX Europe 50 30 IndexOptions DivDAX SMI MSCI RussiaIndexOptions OMXH25 Options STOXX UOSTOXX50 EURO Contract EURO STOXX MDAX DAX ® ® Options ® Options SM Options ® ® ® ® ® ® ® Options ® Options ® Options Europe Europe Large Europe 600SectorIndex Index Europe Mid200 Index Options Europe 600 Options Options Final SettlementDayaccording tothefollowingrules: The FinalSettlementPriceisestablishedbyEurex onthe ® ® etrIndexOptions Sector Select Small 200Index (EUR) ® ® Index Options Index Options Dividend 200 Index T Average oftheDJGlobal and 12:00CET. calculated between11:50 based onSIX Value oftherespective index, CET). at 13:05 MDAX (for CET 13:00 auction startsat ponent shares. of therespective indexcom- STOXX Average oftherespective Final SettlementPrice between 15:30and15:45CET Index valuescalculated Average oftheMSCIRussia from 08:40until17:30CET. of theindexcomponentshares volume-weighted averageprices o based Value oftheOMXH25, index componentshares. therespective of prices opening based onXetra Value oftherespective index, and 17:00CET. calculated between16:50 itans 50Index ADQOXHelsinki OMX n NASDAQ ® ® component shares Index values Swiss Exchange The intraday ® SM auction prices values 33 . Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite34 Number ofExercisePrices Exercise Prices Exercise TecDAX DAX Options MSCI RussiaIndex OMXH25 Options STOXX Sector IndexOptions STOXX Index Options STOXX Europe 50 Index Options Select EURO STOXX Index Options EURO STOXX50 Contract STOXX 200 IndexOptions STOXX Index Options Index DJ GlobalTitans 50 Sector IndexOptions MDAX SMIM DivDAX SMI EURO STOXX 200 IndexOptions STOXX 200 IndexOptions SLI ® ® Options ® SM Options ® Options Dividend 30 ® ® ® ® ® ® Options (EUR) Options ® ® Options Europe Small Europe Large Europe 600 Europe Mid Europe 600 34 Options Options at-the-money andthree are out-of-the-money. oneis such thatthree exercise pricesare in-the-money, with atermofupto24monthsforeachcallandput, cise pricesshallbemadeavailableforeachduedate atleastsevenexer- Upon theadmissionofoptions, until theendofPost-Trading FullPeriod(21:00CET). Final SettlementDayoftherespective optionseries European-style; anoptioncanonlybeexercised onthe ® ® ® ® Months < Contract MonthswithaRemainingLifetimeof Exercise PriceIntervalsinIndexPointsfor 3 25 50 50 50 50 50 50 5 5 5 5 5 5 5 5 5 5 5 5 Months 4–12 50 10 25 10 10 50 10 50 50 10 10 10 50 50 5 5 5 5 5 Months 13–24 100 100 100 100 100 10 10 20 20 20 10 20 20 20 20 10 10 50 - Months 25–36 200 200 20 50 50 ------Months > 36 200 200 100 50 ------Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium 09:00–19:00 CET 09:00–19:00 w.uecag.o >Tradin www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading RussiaIndexOptions) (MSCI • OTCTrade EntryService • OTCVola Trades • OTCFlexibleOptions • OTCBlockTrades for equityindexoptions: The followingWholesaleTrading facilitiesare available exchange dayfollowingtheoftrade. full inthecurrency oftherespective contractonthe payablein The equivalentofthepremium inpoints, at-the-money andtwoare out-of-the-money. oneis such thattwoexercise pricesare in-the-money, a termofmore than24monthsforeachcallandput, prices shallbemadeavailableforeachduedatewith atleastfiveexercise Upon theadmissionofoptions, SLI STOXX Standard Contract STOXX 200 IndexOptions STOXX 200 IndexOptions STOXX Index Options SMI Sector IndexOptions STOXX 200 IndexOptions SMIM ® ® Options Options ® ® ® ® ® ® Options Europe Mid Europe Large Europe 600 Europe 600 Europe Small 08:50–17:20 CET 08:50–17:20 CET 09:00–17:30 CET 08:50–17:30 Trading Hours g >Wholesale Trading 35 . Equity Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite36 Contract Months Options Weekly Contract Standards DAX 5th FridayWeekly Options EURO STOXX50 4th FridayWeekly Options EURO STOXX50 2nd FridayWeekly Options EURO STOXX50 1st FridayWeekly Options 5th FridayWeekly Options DAX 4th FridayWeekly Options DAX 2nd FridayWeekly Options DAX 1st FridayWeekly Options Contract EURO STOXX50 ® ® ® ® , , , , 36 1st, 2ndand4thFridayWeekly Options: expiration willfallonthenext5thFriday. theoption Formonthswithouta5thFriday, month. contracts expiringonthe5thFridayofacalendar 5th FridayWeekly Options: following monthwillbelisted. theWeekly Optionsforthesameweekof Friday, Atthestartoftradingoneach of acalendarmonth. 2ndand4thFriday for allcontractsexpiringonthe1st, Eurex offers Weekly OptionsontheEURO regular contractspecificationsforequityindexoptions. This sectiononlyliststhedifferences withrespect tothe Index andDAX ® ® ® ® , , , , ® . Product ODX5 ODX4 ODX2 ODX1 OES5 OES4 OES2 OES1 ID More thanonemonthfor of DeutscheBörseAG Underlying DAX EURO STOXX50 ® thebluechipindex , One month STOXX 50 ® Index ® Exercise Prices Wholesale Trading Facilities DAX 5th FridayWeekly Options EURO STOXX50 4th FridayWeekly Options EURO STOXX50 2nd FridayWeekly Options EURO STOXX50 1st FridayWeekly Options 5th FridayWeekly Options DAX 4th FridayWeekly Options DAX 2nd FridayWeekly Options DAX 1st FridayWeekly Options EURO STOXX50 Contract ® ® ® ® , , , , UOSTOXX50 EURO The exercise priceintervalforWeekly Optionsonthe w.uecag.o >Trading >Wholesale Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCVola Trades • OTCBlockTrades for Weekly Options: The followingWholesaleTrading facilitiesare available ® ® ® ® , , , , ® Index is25indexpoints. EUR 5 EUR 10 Value Contract Points Minimum PriceChange 0.1 0.1 EUR 1 Value EUR 0.50 37 . Equity Index Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 38
Dividend Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite40 Price QuotationandMinimumChange Settlement Contract Value Contract Standards Dividend Futures Equity Index DAX Futures Dividend 30Index EURO STOXX Dividend Futures (Front Year) UOSTOXX50 EURO Contract SMI DivDAX Futures EURO STOXX50 Dividend Futures ® ® Dividend Futures Price IndexDividend ® 40 Dividend Futures for DivDAX The PriceQuotationisinpointswithonedecimalplace, following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, point oftheunderlying. EUR1,000orCHF100perindexdividend EUR 100, Dividend Futures 0.01points. h iiu rc hnei . ons forDivDAX The MinimumPriceChangeis0.1points, ® Select ® ® Index Index ® Dividend Futures withtwodecimalplaces. Product FSMD FDVD FDXD FD3D FEXD FEX1 ID DAX Dividend 30DVP EURO STOXX EURO STOXX50 EURO STOXX50 Underlying SMI Index Index DivDAX Index ® ® Dividend Points Dividend Points ® Dividend Points ® Select ® ® DVP DVP ® Last Trading DayandFinalSettlement Contract Months Daily SettlementPrice DAX 30 IndexDividendFutures EURO STOXX Dividend Futures (Front Year) EURO STOXX50 Dividend Futures SMI EURO STOXX50 Contract DivDAX Futures ® ® Dividend Futures Price IndexDividend ® Dividend Futures of thepricesalltransactionsduringminute month isderivedfrom thevolume-weightedaverage The DailySettlementPriceforthecurrent maturity rdn a sa 20 E,forSMI Trading Dayisat12:00CET, Close oftradinginthematuringfutures ontheLast the exchangedayimmediatelypreceding thatday. maturity monthifthisisanexchangeday;otherwise Settlement Dayisthethird FridayofeachDecember Final Last Trading DayistheFinalSettlementDay. isavailablefortrading. of thefollowingcalendaryear) Day ofthecalendaryearuptoFinalSettlement thefirstexchangedayafterLastTradingcycle (from FEX1: are availablefortradingatanytime. calendar year) year uptotheFinalSettlementDayoffollowing exchange dayaftertheLastTrading Dayofthecalendar thefirst annual contractsoftheDecembercycle(from FD3D, FDXD,FDVD,FSMD:Thefivenearest successive are availablefortradingatanytime. year) to theFinalSettlementDayoffollowingcalendar after theLastTrading Dayofthecalendaryearup thefirstexchangeday of theDecembercycle(from FEXD: at 09:00CET. ® Select Dividend ® ® Index Index The current annualcontractoftheDecember The tennearest successiveannualcontracts CHF 100 EUR 1,000 100 EUR 100 EUR 100 EUR 100 EUR Value Contract Points Change Minimum Price ® 0.1 0.01 0.1 0.1 0.1 0.1 Dividend Futures 41 CHF 10 EUR 10 EUR 10 EUR 10 EUR 10 EUR 10 Value
Dividend Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 42
before 17:30 CET (reference point), provided that more Wholesale Trading Hours than five trades transacted within this period. Contract Trading Hours For the remaining maturity months, the Daily Settlement EURO STOXX 50® Index Dividend Futures 08:30–22:00 CET Price for a contract is determined based on the average EURO STOXX 50® Index Dividend Futures bid/ask spread of the combination order book. (Front Year) EURO STOXX® Select Dividend 30 Index 08:30–18:30 CET Further details are available in the clearing conditions on Dividend Futures ® www.eurexchange.com > Documents > Rules & DAX Price Index Dividend Futures Dividend Derivatives ® Regulations. DivDAX Dividend Futures SMI® Dividend Futures 08:30–19:00 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 rele- vant 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.
Trading Hours
Contract Trading Hours EURO STOXX 50® Index Dividend Futures 08:30–22:00 CET EURO STOXX 50® Index Dividend Futures (Front Year) EURO STOXX® Select Dividend 30 Index 08:30–18:30 CET Dividend Futures DAX® Price Index Dividend Futures DivDAX® Dividend Futures SMI® Dividend Futures 08:30–17:27 CET
Wholesale Trading Facilities The following Wholesale Trading facilities are available for equity index dividend futures:
• OTC Block Trades
Further information about Eurex Wholesale Trading facilities is available in the appendix section or on www.eurexchange.com > Trading > Wholesale Trading.
42 43 EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 44
For the remaining maturity months, the Daily Settlement Single Stock Dividend Price for a contract is determined based on the average Futures bid/ask spread of the combination order book. Further details are available in the clearing conditions on www.eurexchange.com > Documents > Rules & Contract Standards Regulations. Dividends of selected Eurozone blue chip shares.
Final Settlement Price Dividend Derivatives Information about currently available Single Stock The Final Settlement Price is established by Eurex on Dividend Futures can be found on the Final Settlement Day at 12:00 CET, corresponding www.eurexchange.com > Trading > Products. to the dividend for the respective company’s business year. The Final Settlement Price is determined to four Contract Value decimal places. Dividend payments in relation to a contract size of 100 shares. Corporate Actions Corporate actions are treated in the same manner like Settlement Eurex Single Stock Futures in the adjustment of contract Cash settlement, payable on the first exchange day sizes and issuing of new contract series where necessary. following the Final Settlement Day. Trading Hours Price Quotation and Minimum Price Change 08:30–17:30 CET The Price Quotation is in EUR with two decimal places. The Minimum Price Change is EUR 0.01, equivalent to Wholesale Trading Facilities a value of EUR 1 per contract. The following Wholesale Trading facilities are available for Single Stock Dividend Futures: Contract Years The five nearest successive annual contracts of the • OTC Block Trades December cycle (from the first exchange day after the Last Trading Day of the calendar year up to the Further information about Eurex Wholesale Trading Final Settlement Day of the following calendar year) facilities is available in the appendix section or on are available for trading at any time. www.eurexchange.com > Trading > Wholesale Trading.
Last Trading Day and Final Settlement Day Wholesale Trading Hours Last Trading Day is the Final Settlement Day. Final 08:30–18:30 CET 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.
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Volatility Index Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite48 Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Value Contract Standard Volatility IndexFutures VSTOXX Contract ® 48 Mini Futures the closingauctionofrespective futures contract. month ofvolatilityindexfutures are determinedduring The DailySettlementPricesforthecurrent maturity Last Trading that day. otherwise theexchangedayimmediatelypreceding ifthisisanexchangeday; respective maturitymonth, Wednesday priortothesecondlastFridayof Thisisusuallythe ifthisisanexchangeday). options, third Fridayoftheexpirationmonthunderlying the 30dayspriorto day oftheunderlyingoptions(i.e. calendardayspriortotheexpiration 30 is Settlement Day Final Last Trading DayistheFinalSettlementDay. AugustandNovembercyclethereafter. May, and thefollowingquarterlymonthofFebruary, Up to6months: to avalueofEUR5. equivalent The MinimumPriceChangeis0.05points, The PriceQuotationisinpointswithtwodecimalplaces. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, EUR 100perindexpointoftheunderlying. Close oftradinginthematuringfutures onthe Day isat12:00CET. Product ID FVS The three nearest calendarmonths VSTOXX Underlying ® EUR Currency Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice w.uecag.o >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCBlockTrades for volatilityindexfutures: The followingWholesaleTrading facilitiesare available CET 08:50–17:30 between 11:30and12:00CET. index valuesoftheunderlyingonLastTrading Day the FinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex on Regulations. on Further detailsare availableintheclearingconditions bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, 09:00–19:00 CET 09:00–19:00 w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules based ontheaverageof >Wholesale Trading 49 . Volatility Index Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 50
Exchange Traded Funds® Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite52 Settlement Contract Size Contract Standards EXTF Futures Daily SettlementPrice Last Trading Day Contract Months Minimum PriceChange SMI XMTCH on Futures (DE) STOXX 50 iShares EURO Contract iShares DAX ® Futures 52 ® Futures ® days (forXMTCHonSMI Physical deliveryof100indexfundshares twoexchange 100 indexfundshares oftheunderlying. Regulations. & www.eurexchange.com >DocumentsRules Further detailsare availableintheclearingconditionson ing theclosingauctionplusrespective costofcarry. from theclosingpriceofunderlyingdetermineddur- The DailySettlementPricesforEXTFfutures are derived XMTCH onSMI for futures ontheLastTrading Dayisat17:30CET, Closeoftradinginthematuring preceding thatday. exchange day;otherwisethedayimmediately ifthisisan The third Fridayofeachmaturitymonth, SeptemberandDecembercycle. June, of theMarch, Up to9months: EUR 0.01orCHF0.01. after theLastTrading Day. Product XMTF EXSF EUNF ® The three nearest quarterlymonths Futures at17:20CET. ID STOXX 50 iShares EURO Underlying iShares DAX XMTCH onSMI ® Futures three exchangedays) ® ® (DE) ® CHF EUR EUR Currency Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Tender Price 09:05–20:00 CET 09:05–20:00 >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleFutures • OTCBlockTrades for EXTFfutures: The followingWholesaleTrading facilitiesare available respective underlyingwillbeconsulted. trading systemofthedomesticcashmarketfor of thethree lasttradedpriceswithintheelectronic thevolume-weightedaverage cannot bedetermined, Ifsuchaprice underlying ontheLastTrading Day. system ofthedomesticcashmarketforrespective closing pricedeterminedwithintheelectronic trading The Tender PriceisestablishedbyEurex basedonthe XMTCH onSMI Futures (DE) STOXX 50 iShares EURO Contract iShares DAX ® Futures ® ® Futures 08:51–17:20 CET 08:51–17:30 CET 08:51–17:30 CET Trading Hours >Wholesale Trading 53 . Exchange Traded Funds® Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite54 Settlement Contract Size Contract Standards EXTF Options Last Trading Day Contract Months Minimum PriceChange iShares DAX SMI XMTCH on Options (DE) STOXX 50 iShares EURO Contract ® Options 54 ® Options ® days (forXMTCHonSMI Physical deliveryof100indexfundshares twoexchange 100 indexfundshares oftheunderlying. for XMTCHonSMI option seriesontheLastTrading Dayisat17:30CET, Closeoftradingintheexpiring preceding thatday. exchange day;otherwisethedayimmediately ifthisisan The third Fridayofeachexpirationmonth, and Decembercyclethereafter. and thetwofollowingsemi-annualmonthsofJune SeptemberandDecembercyclethereafter, June, March, thethree followingquarterlymonthsofthe months, Up to24months: EUR 0.01orCHF0.01. after theLastTrading Day. Product XMT EXS1 EUN2 ID The three nearest successivecalendar ® Options at17:20CET. iShares DAX STOXX 50 iShares EURO Underlying XMTCH onSMI ® Options three exchangedays) ® ® (DE) ® CHF EUR EUR Currency Number ofExercisePrices Exercise Prices Exercise Daily SettlementPrice Up to2 EUR orCHF Exercise Pricesin 0 400 200 – 200 100 – 2–100 52 – 52 20 – –20 8 8– 4 – 2– 4 400 > money. oneisat-the-moneyandthree are out-of-the- money, such thatthree exercise pricesare in-the- call andput, prices shallbemadeavailableforeachterm atleastsevenexercise Upon theadmissionofacontract, the taxcontribution. with theexceptionofdaypreceding thedayof respectively preceding thedayofdividendpayout, on anyexchangedaywiththeexceptionof EUR-denominated EXTFoptionsmaybeexercised any exchangedayduringthelifetimeofoption. end ofthePost-Trading FullPeriod( American-style; anoptioncanbeexercised untilthe Regulations. on Further detailsare availableintheclearingconditions consideration. current interest ratesorotherpaymentsare takeninto dividendexpectations, Ifnecessary, Ross/Rubinstein. mined through thebinomialmodelaccording toCox/ Daily SettlementPricesforEXTFsoptionsare deter- The The DailySettlementPriceisestablishedbyEurex. w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules < Contract MonthswithaRemainingLifetimeof Exercise PriceIntervalsinEURorCHFfor 20.00 10.00 5.00 2.00 1.00 0.50 0.20 0.10 0.05 3 Months –12Months 4 40.00 20.00 10.00 4.00 2.00 1.00 0.40 0.20 0.10 20:00 CET) on 20:00 CET) > 12Months 80.00 40.00 20.00 8.00 4.00 2.00 0.80 0.40 0.20 55
Exchange Traded Funds® Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite56 Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium 56 09:00–19:00 CET 09:00–19:00 >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleOptions • OTCBlockTrades for EXTFoptions: The followingWholesaleTrading facilitiesare available day ofthetrade. respective contractontheexchangedayfollowing The premium ispayableinfullthecurrency ofthe iShares DAX SMI XMTCH on Options (DE) STOXX 50 iShares EURO Contract ® Options ® Options ® 08:51–17:20 CET 08:51–17:30 CET 08:51–17:30 CET Trading Hours > Wholesale Trading .
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Credit Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite60 Price Quotation Settlement Contract Value Contract Standards Credit Futures Index Futures Crossover 5-year iTraxx 5-year IndexFutures iTraxx 5-year IndexFutures iTraxx Contract ® ® ® Europe Europe HiVol Europe 60 lcs foriTraxx places, The PriceQuotationisinpercent withtwodecimal following theLastTrading Day. payableonthefirstexchangeday Cash settlement, EUR 100,000 he eia lcs asthesumof three decimalplaces, • • • • which experiencedanactualcredit event. the i’threference entityintheunderlyingindexseries for theunderlyingindexseries; underlying indexseriesbasedonthecouponfixed as longasnocredit eventhasoccured); =100, (basis which hasnotexperiencedanactualcredit event the reference entitiesintheunderlyingindexseries, n,i plcbe theproportional recovery rateof ifapplicable, and, the accruedpremium sincetheeffective dateofthe the present valuechangecalculatedonthebasis; the basisdeterminedassumofweights Product F5C0 F5H0 F5E0 ® ID Europe 5-yearIndexFutures with Index Series Europe Crossover 5-year The current iTraxx Underlying The current iTraxx HiVol 5-yearIndexSeries The current iTraxx 5-year IndexSeries ® ® ® Europe Europe EUR EUR EUR Currency Minimum PriceChange Final SettlementPrice Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months iTraxx • on theLastTrading Dayinpercent asthesumof The FinalSettlementPriceisestablishedat17:00CET Regulations. on Further detailsare availableintheclearingconditions bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage For theremaining maturitymonththeDailySettlement respective futures contract. month isdeterminedduringtheclosingauctionof The DailySettlementPriceforthecurrent maturity of tradinginthematuringfutures isat17:00CET. Close calendar dayoftherespective contractmonth. Settlement Dayisfiveexchangedaysafterthe20th Final Last Trading DayistheFinalSettlementDay. exchange day. day ifthisisanexchangeday;otherwiseonthenext in thebackmonthcontractstartson20thcalendar September cyclewillbeavailablefortrading;trading The nearest semi-annualmonthoftheMarch and to avalueofEUR10. The MinimumPriceChange is iTraxx iTraxx lent toavalueofEUR5. equiva- The MinimumPriceChangeis0.005percent, bss=10 aslongnocredit eventhasoccured); =100, (basis which hasnotexperiencedanactualcredit event the reference entitiesintheunderlyingindexseries, the basisdeterminedassumofweights w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules ® ® ® Europe Crossover5-yearIndexFutures Europe HiVol 5-yearIndexFuturesand Europe 5-yearIndexFutures 00 ecn,equivalent 0.01percent, 61
Credit Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite62 Wholesale Trading Facilities Trading Hours 62 price interval (0.0005; 0.001oramultiplethereof). price interval(0.0005; with fourdecimalplacesandrounded tothenextpossible The calculatedFinalSettlementPricewillbedetermined w.uecag.o >Trading >Wholesale Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCTrade EntryService • OTCEFSTrades • OTCEFPTrades • OTCBlockTrades for credit futures: The followingWholesaleTrading facilitiesare available CET 08:30–17:30 • • • considered forthepresent valuecalculation. experienced anactualcredit event; which reference entityintheunderlyingindexseries, coupon fixedfortheunderlyingindexseries; date oftheunderlyingindexseriesbasedon the finalsettlementdayisbasedonofficial iTraxx Thepresent valuecalculationon relation tothebasis. series resulting from thechangeofcredit spread in ask spreads oftheofficial iTraxx spread reflecting themidpointbetweenbidand Themid oftheunderlyingindex. deal spread (coupon) Index levelsaspublishedbyIICat17:00CETandthe n,i plcbe theproportional recovery rateofthe ifapplicable, and, the accruedpremium calculatedfrom theeffective the present valuechangeoftheunderlyingindex ® Index levelsare ® . Wholesale Trading Hours Occurrence ofaCreditEvent 08:30–19:00 CET 08:30–19:00 Regulations. on please refer tothefullcontractspecificationspublished as wellthedeterminationofFinalSettlementPrices, For alldetailsregarding thehandlingofacredit event 124 reference entities). example the newversionofunderlyingindex(for Eurex will listafutures contractbasedon In addition, including thereference entitysubjecttothecredit event. contract willcontinuetotradeinitsoriginalform thecredit futures Upon occurrence ofacredit event, w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules 63
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Inflation Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite66 Last Trading DayandFinalSettlement Contract Months Minimum PriceChange Price Quotation Settlement Contract Value Contract Standards Inflation Futures Futur Euro-Inflation Contract es 66 Close oftradinginthematuringfutures isat10:00CET. preceding thatday. otherwisetheexchangedayimmediately exchange day, ifthisisan is thedayEurostat announcestheHICP, Settlement DayoftheEuro-Inflation Futures contract Final Last Trading DayistheFinalSettlementDay. period betweenJanuary2009and2010). refers totheannualinflationratemeasured inthetime month (forexampleFebruary2010maturity rate ofthetwelve-monthperiodpreceding thematurity Relevant forthefutures contractistheannualinflation The next20successivecalendarmonths. to avalueofEUR100. equivalent The MinimumPriceChangeis0.01percent, based ontheHICP. places basedon100minustheannualinflationrate withtwodecimal The PriceQuotationisinpercent, the FinalSettlementDay. payableonthefirstexchangedayafter Cash settlement, EUR 1,000,000 Product HICP ID excluding tobacco(HICP) Prices oftheEurozone Index ofConsumer Unrevised Harmonised Underlying EUR Currency Euro-Inflation FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Final SettlementPrice Daily SettlementPrice Wholesale Trading Facilities Trading HoursandAuctionPhases 10:00–17:00 CET 10:00–17:00 FSP is: maturing contractmonth(t) The underlyingformulaforthecalculationof four decimalplaces). of theHICPpreceding the annualinflationrateoftwelvemonthsperiod percentage withfourdecimalplacesbasedon100minus a Euro-Inflation Futures contractwillbecalculatedin TheFinalSettlementPriceof by Eurostat onthisday. RelevantistheHICPpublished the FinalSettlementDay. The FinalSettlementPriceisestablishedbyEurex on pricing model. mine thesettlementpricebymeansofatheoretical Eurex ClearingAGwilldeter- actual marketconditions, orifthepricethusfixeddoesnotreflect the auction, not possibletofixaclosingpricewithinthe Ifitis the closingpricefixedinauction. The DailySettlementPriceforEuro-Inflation Futures is The DailySettlementPriceisestablishedbyEurex. www.eurexchange.com >Tradin facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFSTrades • OTCEFPTrades • OTCBlockTrades for inflationfutures: The followingWholesaleTrading facilitiesare available Closing Auction 16:45–17:00 CET 16:45–17:00 CET 17:00–17:30 CET 10:00–16:45 CET 09:45–10:00 Post-Trading Period Closing Auction CET 09:00–09:45 Continuos Trading Opening Auction Pre-Trading Period t = 100–(100ϫ (HVPI the maturitymonth(rounded to t–1 /HVPI g >Wholesale Trading t–13 – 1)) 67 . Inflation Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 68
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite70 Contract Standards Commodity Index Dow Jones-UBS Contract Months Price QuotationandMinimumChange Settlement Contract Value Futur Industrial Metals Dow Jones-UBS Ener Dow Jones-UBS Agricultur Dow Jones-UBS Commodity Futur Dow Jones-UBS Contract gy Futures es 70 e Futures there are nineDowJones-UBSCommoditySubindexes Furthermore commodity futures atdifferent exchanges. The calculationoftheindexisbasedonprices the performanceof19different commoditiesintotal. The DowJones-UBSCommodityIndex cycle. September andDecember June, months oftheMarch, Up to12months: a valueofUSD12.50. equivalentto The MinimumPriceChangeis0.05points, The PriceQuotationisinpointswithtwodecimalplaces. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, USD 250perindexpointoftheunderlying. Jones-UBS Commodity(Sub)Indexes refer totheexcessreturn versionsoftherespective Dow Thefutures in totalcombiningparticularcommodities. es Product FCIN FCEN FCAG FCCO The fournearest successivequarterly ID Subindex Industrial Metals Dow Jones-UBS Subindex Dow Jones-UBSEnergy Agriculture Subindex Dow Jones-UBS Commodity Index Dow Jones-UBS Underlying SM SM SM SM Futures . SM SM measures SM USD USD USD USD Currency SM Wholesale Trading Facilities Trading Hours Final SettlementPrice Daily SettlementPrice Last Trading DayandFinalSettlement Wholesale Trading Hours for DowJones-UBSCommodityIndex The followingWholesaleTrading facilitiesare available CET 09:00–18:00 at thattime. provided nofutures represented intheindexissuspended on theclosingpriceofrespective indexonthatday, TheFinalSettlementPriceisbased preceding thatday. exchanges; otherwiseontheexchangedayimmediately this daytradingisavailableatbothEurex andtheU.S. ifon exchange dayspreceding theFinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex four with three decimalplaces. of therespective indexataround 21:00CETandfixed The DailySettlementPriceisdefinedbytheclosingprice futures ontheLastTrading Dayisat18:00CET. Closeoftradinginthematuring preceding thatday. exchange day;otherwisethedayimmediately the fourthFridayofeachmaturitymonthifthisisan FinalSettlementDayis exchanges. Eurex andtheU.S. Settlement Dayonwhichtradingisavailableatboth Last Trading Dayistheexchangedaypreceding theFinal 09:00–21:30 CET 09:00–21:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleFutures • OTCBlockTrades SM Futures: 71
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite72 Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Notation Contract Size Contract Standards Potato Futures European Processing Potato Futur European Processing Contract 72 es Trading Dayisat16:00CET. Close oftradinginthematuringfutures ontheLast wise theexchangedayimmediatelyfollowingthatday. ifthisisanexchangeday;other- Friday ofthemonth, Settlement DayinthematuritymonthJuneisfirst Final exchange dayimmediatelypreceding thatday. ifthis isanexchangeday;otherwisethe the month, months AprilandNovemberisthelastFridayof FinalSettlementDayinthematurity Settlement Day. Last Trading Dayistheexchangedaypreceding theFinal following maturitymonthAprilthereafter. JuneandNovembercyclethe months oftheApril, to24Months: Up a valueofEUR25. equivalentto The MinimumPriceChangeis0.1points, The PriceQuotationisinpointswithonedecimalplace. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, In EURper100kg potatoes tons) 250 quintals(25 Product FEPP The three nearest successivematurity ID Processing PotatoIndex Eurex European Underlying EUR Currency in theU.S. European ProcessingPotatoFuturesareavailablefortrading Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice Daily SettlementPrice 10:00–18:00 CET 10:00–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFPITrades for European Processing PotatoFutures: The followingWholesaleTrading facilitiesare available CET 09:50–16:00 Eurex European Processing PotatoIndexat09:30CET. basedonthevalueof the FinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex on bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, five tradestransactedwithinthisperiod. provided thatmore than 16:00 CET(reference point), the pricesofalltransactionsduringminutebefore month isderivedfrom thevolume-weightedaverageof The DailySettlementPriceforthecurrent maturity 73
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite74 Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Notation Contract Size Contract Standards London PotatoFutures Futur London Potato Contract es 74 bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, five tradestransactedwithinthisperiod. provided thatmore than 16:00 CET(reference point), the pricesofalltransactionsduringminutebefore month isderivedfrom thevolume-weightedaverageof The DailySettlementPriceforthecurrent maturity futures ontheLastTrading Dayisat oftradinginthematuring Close followingthatday. diately is anexchangeday;otherwisethedayimme- ifthis following thethird Fridayofthematuritymonth, FinalSettlementDayistheWednesday Settlement Day. Last Trading Dayistheexchangedaypreceding theFinal Up to12Months: a valueofEUR25. equivalentto The MinimumPriceChangeis0.1points, The PriceQuotationisinpointswithonedecimalplace. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, In EURper100kg 250 quintals(25tons)potatoes Product FLPI The nextmaturitymonthApril. ID Index Eurex LondonPotato Underlying 16:00 CET. EUR Currency London PotatoFuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice 10:00–18:00 CET 10:00–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFPITrades for LondonPotatoFutures: The followingWholesaleTrading facilitiesare available CET 09:50–16:00 London PotatoIndexat09:30CET. basedonthevalueofEurex the FinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex on 75
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite76 Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Notation Contract Size Contract Standards Piglet Futures Piglet Futures Contract 76 the second Friday of the month if the secondFridayofmonthif the maturitymonthDecemberThursdayfollowing in following thethird Fridayofeachmaturitymonth, FinalSettlementDayistheThursday Settlement Day. Last Trading Dayistheexchangedaypreceding theFinal SeptemberandDecembercyclethereafter. June, March, months andthetwofollowingquarterlyof Up to18Months: a valueofEUR10. equivalentto The MinimumPriceChangeis0.1points, The PriceQuotationisinpointswithonedecimalplace. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, In EURperpiglet 100 piglets the LastTrading Dayisat16:00CET. Closeoftradinginthematuringfutures on that day. day; otherwisetheexchangedayimmediatelyfollowing Product FPIG The twelvenearest successivecalendar ID Eurex PigletIndex Underlying this isanexchange EUR Currency Piglet FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice Daily SettlementPrice 09:55–18:00 CET 09:55–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFPITrades for PigletFutures: The followingWholesaleTrading facilitiesare available CET 09:45–16:00 Piglet Indexat09:30CET. basedonthevalueofEurex the FinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex on bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, five tradestransactedwithinthisperiod. provided thatmore than 16:00 CET(reference point), the pricesofalltransactionsduringminutebefore month isderivedfrom thevolume-weightedaverageof The DailySettlementPriceforthecurrent maturity 77
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite78 Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Notation Contract Size Contract Standards Hog Futures Hog Futures Contract 78 the LastTrading Dayisat16:00CET. Closeoftradinginthematuringfutures on that day. day; otherwisetheexchangedayimmediatelyfollowing the secondFridayofmonthifthisisanexchange the maturitymonthDecemberThursdayfollowing in following thethird Fridayofeachmaturitymonth, FinalSettlementDayistheThursday Settlement Day. Last Trading Dayistheexchangedaypreceding theFinal SeptemberandDecembercyclethereafter. June, March, months andthetwofollowingquarterlyof Up to18Months: to avalueofEUR8. equivalent The MinimumPriceChangeis0.001points, The PriceQuotationisinpointswiththree decimalplaces. following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, In EURperkg 8,000 kgslaughterweight Product FHOG The twelvenearest successivecalendar ID Eurex HogIndex Underlying EUR Currency Hog FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice Daily SettlementPrice 09:55–18:00 CET 09:55–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFPITrades for HogFutures: The followingWholesaleTrading facilitiesare available CET 09:45–16:00 Hog Indexat09:30CET. basedonthevalueofEurex the FinalSettlementDay, The FinalSettlementPriceisestablishedbyEurex on bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, five tradestransactedwithinthisperiod. provided thatmore than 16:00 CET(reference point), the pricesofalltransactionsduringminutebefore month isderivedfrom thevolume-weightedaverageof The DailySettlementPriceforthecurrent maturity 79
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite80 Gold Futures Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Gold Futures Contract 80 Market FixingLtd. following theafternoonfixingofTheLondonGold The DailySettlementPriceisestablishedbyEurex (10:30 GMT). maturing futures ontheLastTrading Dayisat11:30CET Closeoftradinginthe immediately preceding thatday. this isanexchangeday;otherwisetheday ment Dayisthethird Fridayofeachmaturitymonthif FinalSettle- Last Trading DayistheFinalSettlementDay. after. SeptemberandDecembercyclethere- June, the March, months andtheelevenfollowingquarterlyof Up to36Months: The MinimumPriceChangeisUSD0.1. The PriceQuotationisinUSDwithonedecimalplace. (10:30 GMT). at11:30CET of TheLondonGoldMarketFixingLtd. basedonthefixing following theFinalSettlementDay, payabaleonthefirstexchangeday Cash settlement, 100 troy ouncesgold Product FGFX ID The three nearest successivecalendar Gold Underlying USD Currency Gold Futuresar Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice 08:00–22:30 CET 08:00–22:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleFutures • OTCBlockTrades for GoldFutures: The followingWholesaleTrading facilitiesare available CET 08:00–22:00 at11:30CET(10:30GMT). Gold MarketFixingLtd. basedonthefixingofTheLondon Final SettlementDay, The FinalSettlementPriceisestablishedbyEurex onthe e availablefortradingintheU.S. 81
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite82 Gold Options Final SettlementPrice Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Gold Options Contract 82 odMre iigLd at11:30CET(10:30GMT). Gold MarketFixingLtd. basedonthefixingofTheLondon Final SettlementDay, The FinalSettlementPriceisestablishedbyEurex onthe Market FixingLtd. following theafternoonfixingofTheLondonGold The DailySettlementPriceisestablishedbyEurex CET(10:30 GMT). 11:30 expiring optionseriesontheLastTrading Dayisat Closeoftradinginthe immediately preceding thatday. if thisisanexchangeday;otherwisetheday ment Dayisthethird Fridayofeachexpirationmonth FinalSettle- Last Trading DayistheFinalSettlementDay. and Decembercyclethereafter. and thefourfollowingsemi-annualmonthsofJune SeptemberandDecembercyclethereafter, June, March, theeleven followingquarterlymonthsofthe months, Up to60Months: The MinimumPriceChangeisUSD0.1. The PriceQuotationisinUSDwithonedecimalplace. (10:30 GMT). at11:30CET of TheLondonGoldMarketFixingLtd. basedonthefixing following theFinalSettlementDay, payabaleonthefirstexchangeday Cash settlement, 100 troy ouncesgold Product OGFX ID The three nearest successivecalendar Gold Underlying USD Currency Gold Optionsare Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium Number ofExercisePrices Exercise Prices Exercise Gold Options Contract 08:00–20:30 CET 08:00–20:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleOptions • OTCBlockTrades for goldoptions: The followingWholesaleTrading facilitiesare available CET 08:00–20:00 day followingtheoftrade. The premium ispayableinfullUSDontheexchange the-money andsevenare out-of-the-money. oneisat- that sevenexercise pricesare in-the-money, such a termofupto60monthsforeachcallandput, prices shallbemadeavailableforeachduedatewith atleast15exercise Upon theadmissionofoptions, GMT). series until21:00CET(20:00 the FinalSettlementDayofrespective option European-style; anoptioncanonlybeexercised on available fortradingintheU.S. < Months withaRemainingLifetimeof Exercise PriceintervalsinUSDforExpiration 20 36 Months 40 > 36Months 83
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite84 Silver Futures Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Silver Futures Contract 84 the fixingofLondonSilverMarketFixingLtd. following byEurex isestablished SettlementPrice Daily The (12:00 GMT). maturing futures ontheLastTrading Dayisat13:00CET Closeoftradinginthe immediately preceding thatday. if thisisanexchangeday;otherwisetheday ment Dayisthethird Fridayofeachmaturitymonth FinalSettle- Last Trading DayistheFinalSettlementDay. after. SeptemberandDecembercyclethere- June, the March, months andtheelevenfollowingquarterlyof Up to36Months: The MinimumPriceChangeisUSD0.005. The PriceQuotationisinUSDwiththree decimalplaces. (12:00 GMT). at13:00CET of TheLondonSilverMarketFixingLtd. basedonthefixing following theFinalSettlementDay, payabaleonthefirstexchangeday Cash settlement, 5,000 troy ouncessilver Product FSFX ID The three nearest successivecalendar Silver Underlying USD Currency Silver FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice 08:00–22:30 CET 08:00–22:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleFutures • OTCBlockTrades for SilverFutures: The followingWholesaleTrading facilitiesare available CET 08:00–22:00 at13:00CET(12:00GMT). Silver MarketFixingLtd. basedonthefixingofTheLondon Final SettlementDay, The FinalSettlementPriceisestablishedbyEurex onthe 85
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite86 Silver Options Final SettlementPrice Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Silver Options Contract 86 ivrMre iigLd at13:00CET(12:00GMT). Silver MarketFixingLtd. basedonthefixingofTheLondon Final SettlementDay, The FinalSettlementPriceisestablishedbyEurex onthe following the fixingofLondonSilverMarketFixingLtd. Eurex by Priceisestablished Settlement Daily The at 13:00CET(12:00GMT). the expiringoptionseriesonLastTrading Dayis Closeoftradingin immediately preceding thatday. if thisisanexchangeday;otherwisetheday ment Dayisthethird Fridayofeachexpirationmonth FinalSettle- Last Trading DayistheFinalSettlementDay. and Decembercyclethereafter. and thefourfollowingsemi-annualmonthsofJune SeptemberandDecembercyclethereafter, June, March, theelevenfollowingquarterlymonthsof months, Up to60Months: The MinimumPriceChangeisUSD0.005. The PriceQuotationisinUSDwiththree decimalplaces. (12:00 GMT). at13:00CET of TheLondonSilverMarketFixingLtd. basedonthefixing following theFinalSettlementDay, payabaleonthefirstexchangeday Cash settlement, 5,000 troy ouncessilver Product OSFX ID The three nearest successivecalendar Silver Underlying USD Currency Silver OptionsareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium Number ofExercisePrices Exercise Prices Exercise Silver Options Contract 08:00–20:30 CET 08:00–20:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCFlexibleOptions • OTCBlockTrades for SilverOptions: The followingWholesaleTrading facilitiesare available CET 08:00–20:00 day followingtheoftrade. The premium ispayableinfullUSDontheexchange the-money andsevenare out-of-the-money. oneisat- that sevenexercise pricesare in-the-money, such a termofupto60monthsforeachcallandput, prices shallbemadeavailableforeachduedatewith atleast15exercise Upon theadmissionofoptions, GMT). until 21:00CET(20:00 the FinalSettlementDayofrespective optionseries European-style; anoptioncanonlybeexercised on < Lifetime of Expiration MonthswithaRemaining Exercise PriceintervalsinUSDfor 0.2 36 Months 0.4 > 36Months 87
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite88 CER Futures Last Trading Day Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards CER Futures MidDec CER Futures EarlyDec Contract 88 eebr1,21;Dcme 7 2012. 2011; December17, December 19, CER FuturesMidDec(F2CR): November ofeachyear. CER FuturesEarlyDec(FCER): MaturitymonthisDecemberofeachyear. tradable. CER futures contractsoftheyears2010until2012are equivalent toavalueofEUR10percontract. CER, places. The PriceQuotationisinpointswithtwodecimal dedicated registry onthedeliveryday. in theaccountofEuropean Energy ExchangeAGatthe whichisbooked proportionate partofthetotalstock, The sellerofaCERfutures transfershiscorresponding cated registry onthedeliveryday. account ofEuropean Energy ExchangeAGatthededi- part ofthetotalstockCERwhichare bookedinthe CER futures purchases thecorresponding proportionate thebuyerofa Upon thepaymentofpurchase price, registry keptintrustbyEuropean Energy ExchangeAG. of thetotalstockCERinaccountatdedicated participants andofthechangesinproportionate part within theinternalinventoryaccountsofexchange Fulfilment iscarriedoutbymeansoftransferringCER 1,000 CertifiedEmissionReductions(1Lot). The MinimumPriceChangeisEUR0.01per Product F2CR FCER ID Reductions Certified Emission Reductions Certified Emission Underlying eebr2,2010; December 20, The lastexchangedayin EUR EUR Currency available fortradingintheU.S. CER Futures are productsof Wholesale Trading Hours Wholesale Trading Facilities Delivery Registry Account Trading Hours Delivery Day 08:30–18:00 CET 08:30–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCTrade EntryService • OTCBlockTrades for CERFutures: The followingWholesaleTrading facilitiesare available ment dayaftersaidrequest atanytime. of European Energy ExchangeAGonthefollowingsettle- the exchangeparticipantataneligiblenationalregistry the transferofitsCERtoanaccountbespecifiedby account ofEuropean Energy AGisentitledtodemand Every co-holderofthetotalstockCERinregistry on thisaccount. a proportionate partofthetotalstockCERsbooked registry inwhichtherespective tradingparticipantsown exchange participantsatadedicatedeligiblenational European Energy AGkeepsanaccountintrustforall CET 08:30–17:00 following theLastTrading Dayofeachyear. CER FuturesMidDec(F2CR): following theLastTrading Dayofeachyear. CER FuturesEarlyDec(FCER): EuropeanEnergyExchangeAGand The secondexchangeday The firstexchangeday 89
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite90 EUA Futures Last Trading Day Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards MidDec EUA Futures EarlyDec EUA Futures Kontrakt 90 eebr1,21;Dcme 7 2012. 2011;December17, December 19, EUA FuturesMidDec(F2EA): November ofeachyear. EUA FuturesEarlyDec(F2PE): MaturitymonthisDecemberofeachyear. tradable. EUA futures contractsoftheyears2010until2012are contract. equivalenttoavalueofEUR10per Allowance, The MinimumPriceChangeisEUR0.01perEUEmission The PriceQuotationisinpointswithtwodecimalplace. register onthedeliveryday. of European Energy ExchangeAGattherespective share inthetotalstockwhichisbookedaccount The sellerofaEUAfutures transfershiscorresponding AG attherespective register onthedeliveryday. are bookedintheaccountofEuropean Energy Exchange part ofthetotalstockEUEmissionAllowanceswhich EUA futures purchases thecorresponding proportionate thebuyerofa Upon thepaymentofpurchase price, register keptintrustbyEuropean Energy ExchangeAG. Emission Allowancesintheaccountatrespective in theproportionate partofthetotalstockEU counts oftheexchangeparticipantsandchanges Emission Allowanceswithintheinternalinventoryac- Fulfilment iscarriedoutbymeansoftransferringtheEU 1,000 EUEmissionAllowances(1Lot). Produkt- F2EA F2PE ID on January01, the five-yearperiodbeginning EU EmissionAllowancesfor 2008 on January01, the five-yearperiodbeginning EU EmissionAllowancesfor Basiswert 2008 eebr2,2010; December 20, The lastexchangedayin EUR EUR Währung available fortradingintheU.S. EUA Futures are productsof Wholesale Trading Hours Wholesale Trading Facilities Removal DEHSt Account Trading Hours Delivery Day 08:30–18:00 CET 08:30–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCTrade EntryService • OTCBlockTrades for EUAFutures: The followingWholesaleTrading facilitiesare available 2013. later thanasofMarch 31, no however, Energy AGaftersaidrequest atanytime, register ofEEXonthesecondbusinessdayEuropean fied bytheexchangeparticipantatasuitablenational entitled todemandthetransferanaccountbespeci- ances intheregister accountofEuropean Energy AGis Every co-holderofthetotalstockEUEmissionAllow- account. total stockofEUEmissionAllowancesrecorded inthis trading participantsownaproportionate partofthe whichhastheeffect thattherespective DEHSt) (e.g. trust foralltradingparticipantsatanadequateregister European Energy ExchangeAGkeepsanaccountin CET 08:30–17:00 day followingtheLastTrading Dayofeachyear. EUA FuturesMidDec(F2EA): following theLastTrading Dayofeachyear. EUA FuturesEarlyDec(F2PE): EuropeanEnergyExchangeAGand The secondexchange The firstexchangeday 91
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite92 Exercise Daily SettlementPrice Last Trading Day Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Options on EUA Futur Options on Contract EUA FuturesEarlyDec 92 es EarlyDec time. until thattimetheycanbechangedordeletedatany Exercises onlybecomeeffective at15:00CET, EEX system. Last Trading Dayuntil15:00CETbyenteringitintothe European-style; anoptioncanonlybeexercised onthe model. EarlyDec are determinedthrough theBlack/Scholes76 The DailySettlementPricesforOptionsonEUAFutures The DailySettlementPriceisestablishedbyEEX. the underlying. Three exchangedayspriortotheLastTrading Dayof of eachyear. ExpirationmonthisDecember until 2012are tradable. Options onEUAFutures EarlyDecoftheyears2010 to avalueofEUR1. equivalent The MinimumPriceChangeis0.001points, The PriceQuotationisinpointswiththree decimalplaces. the optionisexercised. EUA futures positionattherespective exercise priceafter Options are fulfilledbybookinginofthecorresponding One EUAFutures EarlyDec Product O2PE ID EUA Futures EarlyDec Underlying contract. EUR Currency Exchange AGandavailablefortradingintheU.S. Options onEUAFuturesEarlyDecareproductsofEuropeanEnergy Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium Number ofExercisePrices Exercise Prices 08:30–18:00 CET 08:30–18:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCTrade EntryService • OTCBlockTrades for OptionsonEUAFutures EarlyDec: The followingWholesaleTrading facilitiesare available CET 08:30–17:00 on thesettlementdayfollowingoftrade. The premium ispayableinfulloftherespective contract is at-the-moneyandoneout-of-the-money. one suchthat oneexercise priceisin-the-money, and put, prices shallbemadeavailableforeachtermcall atleastthree exercise Upon theadmissionofoptions, points. Option serieshaveexercise priceswithintervalsof0.001 93
Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite94 Settlement Contract Size Contract Standards Phelix Peak Phelix Base Phelix Base Contract Delivery Periods Price QuotationandMinimumChange Phelix Base Phelix Base Phelix Peak Phelix Peak 94 ® ® ® ® ® ® Quarter Futures Month Futures Year Futures ure Futures Quarter Month Futures Year Futures Phelix Base payableontheLastTrading Day. Cash settlement, the deliveryperiod. CETofanydeliverydayduring hours from 08:00–20:00 days from MondayuntilFridaythroughout 12delivery Peakload comprisesaconstantdeliveryrateonall of anydeliverydayduringtheperiod. days from MondayuntilSundayinall24deliveryhours Baseload comprisesaconstantdeliveryrateonall amounts to1MW. ofallfutures contracts ofpowerperhour) rate (quantity Thedelivery delivery daysandhoursperday. based andcorresponds totheproduct ofdeliveryrate, of thepowerdeliveryonwhichafutures contractis The contractvolumespecifiesthequantityofelectricity Phelix Peak nine followingcalendarmonths. F1PM): Up to10Months(F1BM, TheMinimumPriceChangeisEUR0.01perMWh. places. The PriceQuotationisinEURperMWhwithtwodecimal Rules &Regulations. conditions onwww.eurexchange.com >Documents The principlesofcascadingare availableintheclearing filled asmonthcontracts. will becascadedpursuantuntiltheyare financiallyful- ® ® Quarter andPhelixBase Quarter andPhelixPeak ® Product F1PY F1PQ F1PM F1BY F1BQ F1BM & Peak ID Phelix Peak Phelix Base Phelix Base Phelix Peak Phelix Peak Phelix Base Underlying The current andthe ® ® ® ® ® ® ® ® ® Year aswell Futures Year Futures Index Index Index Index Index Index EUR EUR EUR EUR EUR EUR Currency Energy ExchangeAGand Phelix Base Trading Hours Last Trading Day) Day(Delivery Final SettlementPrice Daily SettlementPrice ® 08:30–16:00 CET 08:30–16:00 to becascaded. the FinalSettlementPricedefinesvalueofposition h ia eteetPieforPhelixPeak The FinalSettlementPrice days ofthedeliverymonth. CETforalldelivery the hoursbetween00:00–24:00 the hourlycontractstradedonEEXSpotMarketfor corresponds tothemeanvalueofallauctionprices Year aswellPhelixPeak Base forPhelix Trading Day Last delivery dayofthenextperiod. Month Futures istheexchangedaypreceding thelast Last Trading DayforPhelixBase annual monthsoftheDecembercycle. Months (F1BY, F1PY): Up to72 September June, successive quarterlymonthsoftheMarch, F1PQ): Up to33Months(F1BQ, The FinalSettlementPriceforPhelixBase Trading Day. on Commodity ClearingAGrespectively Eurex The FinalSettlementPriceisestablishedbyEur contract. accordance withthecurrent marketpriceofafutures The DailySettlementPriceisestablishedbyEEXin of thenextdeliveryperiod. Futures isthethird exchangedaypreceding thebeginning For PhelixBase days from MondaytoFridayofthedeliverymonth. CETforalldelivery the hoursbetween08:00–20:00 the hourlycontractstradedonEEXSpotMarketfor corresponds tothemeanvalueofallauctionprices as PhelixPeak and PhelixPeak and Decembercycle. available fortradingintheU.S. ® ® Quarter andPhelixPeak ® Quarter andPhelixBase Futures are products ofEuropean are Futures ® ure n hlxPeak Quarter andPhelix ® ® h i ers successive sixnearest The ure n hlxBase Quarter andPhelix Month andPhelixPeak The elevennearest ® ® ® ot Futures Month Month Futures ® Year Futures Year aswell 95 the Last opean ® Year ® ® Commodity Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite96 Delivery Periods Price QuotationandMinimumChange Options on Year Futures Options onPhelixBase Quarter Futures Options onPhelixBase Month Futures Options onPhelixBase Contract Settlement Last Trading Day Contract Size Contract Standards Phelix Base 96 on PhelixBase Futures withdeliveryperiodofJanuaryandforOptions Optiones onthenextfivePhelixBase per MWh. TheMinimumPriceChangeisEUR0.001 decimal places. The PriceQuotationisinEURperMWhwiththree Base is thesecondThursdayinDecember. Last Trading DayforOptionsonPhelixBase the beginningofnextdeliveryperiod. all otheroptionseriesthefourthexchangedaypreceding the firstquarteristhird ThursdayinDecember;for Phelix Base Options are fulfilledbybookingofacorresponding annual monthsoftheDecembercycle. Up to36Months(O1BY): December cycle. Septemberand June, quarterly monthsoftheMarch, Up to18Months(O1BQ): calendar months. Up to5Months(O1BM): available fortrading. Last Trading DayforOptionsonPhelixBase One PhelixBase ® ure,andthree PhelixBase Quarter, ® ® ® ® Futures positionaftertheyare exercised. ® Quarter Futures withdeliveryperiodof Product ® Futures contract. O1BY O1BQ O1BM ® Futures ID The fivenearest successive The three nearest successive Year Futures Phelix Base Quarter Futures Phelix Base Month Futures Phelix Base Underlying The sixnearest successive ® ® Year Futures are ® ® ® ot,sixPhelix Month, ® ® Year Futures Month EUR EUR EUR Currency Options onPhelixBase Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium Number ofExercisePrices Exercise Prices Exercise Exchange AGandavailablefortradingintheU.S. 08:30–17:30 CET 08:30–17:30 www.eurexchange.com >Trading >WholesaleTrading facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCBlockTrades for optionsonPhelix The followingWholesaleTrading Facilitiesare available CET 08:30–16:00 on thesettlementdayfollowingoftrade. The premium ispayableinfulloftherespective contract one isat-the-moneyandout-of-the-money. such thatoneexercise priceisin-the-money, call andput, prices shallbemadeavailableforeachterm atleastthree exercise Upon theadmissionofoptions, EUR 0.001. Option serieshaveexercise priceswithintervalsof 09:00 until15:00CETbyenteringitintotheEEXsystem. the LastTrading Dayoftherespective optionseriesfrom European-style; anoptioncanonlybeexercised on ® Futures areproductsofEuropeanEnergy ® Base futures: 97 .
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Weather Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite100 Hurricane Futures Contract RiskPeriod Price QuotationandMinimumChange Settlement Contract Value 100 • • regions are availablefortrading: Thefollowing trophes occurringinaspecificregion. reference insurancedamagecausedbysinglewindcatas- 201 For eachregion andtheContractRiskPeriods20 • the PCS on industry-wideinsurancelossestimatesproduced by whichsettlebased Hurricane Futures are binarycontracts, • • curd FirstTrading DayistheListingDay. occurred. determined inthelocaltime-zonewhere theevent ContractRiskPeriodistherespective calendaryear, Day. and ContractRiskPerioduntiltheFinalSettlement One termisavailableforeachregion perTrigger Level a valueofUSD10. equivalentto The MinimumPriceChangeis0.1points, The PriceQuotationisinpointswithonedecimalplace. following theLastTrading Day. payableonthefirstexchangeday Cash settlement, The nominalvalueofacontractis100points. • Florida Virgin Islands) USA and Texas) Gulf USA: Florida: Gulf: severalTrigger Levelswillbeavailable: 1, Sae fAaaa oiin,Mississippi Louisiana, ofAlabama, (States al5 tts includingPuertoRicoandU.S. 50States, (all USD 10, USD 10and20billion ® (State ofFlorida) (State nto S evcs n.Theloss estimates Inc. unit ofISOServices, S 0 0 and50billion 40, USD 30, 20, 0 0 and50billion 40, 30, 10 and Last Trading DayandFinalSettlement futures ontheLastTrading Dayisat18:00CET. Closeoftradinginthematuring the occurred event. Final SettlementDayistheexchangedayafter Eurex receives afinalPCS • events causeanearlycontractexpiration: Thefollowing of theContractRiskPeriod. upon beginning ment Dayisthelastexchangedayof30thmonth FinalSettle- Last Trading DayistheFinalSettlementDay. Eurex determinesonthefirstexchangedayof • Eurex receives aninterimPCS • Eurex determinesonthelastexchangedayof24th • or exceeding110percent oftheTrigger Level. industry lossamountforaneligibleeventequalling PCS the Trigger Levelaccording tothelatestavailable an industrylossequallingorexceeding25percent of thathascaused that noeligibleeventhasoccurred, February followingtheendofContractRiskPeriod the Trigger Level. loss amountforaneligibleeventequallingorexceeding that islessthan75percent oftheTrigger Level. to eacheligibleeventreflect anindustrylossamount that themostrecently issuedPCS month followingthestartofContractRiskPeriod ® reports. ® report statinganindustry ® report statingan ® reports withrespect 101
Weather Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite102 Hurricane FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice(SettlementValue) 102 Eurex receives aninterimPCS • 10:00–22:00 CET 10:00–22:00 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCBlockTrades hurricane futures: The followingWholesaleTrading facilitiesare availablefor CET 10:00–22:00 USD 0.10. theFinalSettlementPriceamounts In allothercases, Eurex receives afinalPCS • mined withUSD10,000if: TheFinalSettlementPriceisdeter- an eligibleevent. damage indicatedinaPCS the FinalSettlementDaybasedonamountof The FinalSettlementPriceisestablishedbyEurex on Eurex receives onthelastexchangedayof30th • the Trigger Level. loss amountforaneligibleeventequallingorexceeding the Trigger Level. loss amountforaneligibleeventequallingorexceeding most recent preliminary PCS month uponbeginningoftheContractRiskPeriod 110 percent oftheTrigger Level. loss amountforaneligibleeventequallingorexceeding ® ® eot withreference to report, report statinganindustry ® ® report statinganindustry eotsaiganindustry report stating
Weather Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 104
Property Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite106 Property Futures Daily SettlementPrice Last Trading DayandFinalSettlement Contract Years Price QuotationandMinimumChange Settlement Contract Value Contract Standards Futures All Pr IPD UKAnnual Contract operty Index 106 five tradestransactedwithinthisperiod. provided thatmore than 17:30 CET(reference point), the pricesofalltransactionsduringminutebefore year are derivedfrom thevolume-weightedaverageof The DailySettlementPricesforthecurrent maturity on theLastTrading Dayisat12:00CET. Closeoftradinginthematuringfutures by thatcontract. the yearfollowingindividualcalendarcovered Settlement DayisthelastexchangedayinMarch of Final Last Trading DayisttheFinalSettlementDay. are of theMarch cycle Thefivenearest successiveannualcontracts calendar year. the IPDUKAnnualAllProperty Indexforanindividual Each contractwillbebaseduponthetotalreturn of equivalent toavalueofGBP25. TheMinimum PriceChangeis0.05points, places. The PriceQuotationisinpercent withtwodecimal following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, GBP 50,000 Product PUKA ID All Property Index IPD UKAnnual Underlying available fortradingatanytime. GBP Currency Property FuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice 08:30–18:30 CET 08:30–18:30 www.eurexchange.com >Trading >WholesaleTrading. facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCBlockTrades for property futures: The followingWholesaleTrading facilitiesare available CET 08:30–17:30 decimal places. determ is It is subjecttobeingcalculated. during thecalculationperiodof total return fortheIPDUKAnnualAllProperty Index reflect thenominalparvalueof100plusannual TheFinalSettlementPriceshall the FinalSettlementDay. The FinalSettlementPriceisestablishedbyEurex on one calendaryearwhich ined tothree 107
Property Derivatives EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 108
Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite110 Settlement Contract Values Contract Standards CONF Futures Euro-BTP Futures Euro-Buxl Euro-Bund Futures Euro-Bobl Futures Euro-Schatz Futures Contract Fixed IncomeFutures 110 ® Futures amount of: Such debtsecuritiesmusthaveaminimumissue between eightand13years. thefirstandlastcalldatesmustbe Confederation, In thecaseofcallablebondsissuedbySwiss have anoriginaltermofnolongerthan16years. Debt securitiesissuedbytheRepublicofItalymust the underlying. term ontheDeliver of ItalyortheSwiss theRepublic issued bytheFederalRepublicofGermany, only befulfilledbythedeliveryofcertaindebtsecurities A deliveryobligationarisingoutofashortpositionmay EUR 100,000orCHF100,000. and acouponof: of ItalyortheSwissConfederationwithremaining terms theRepublic issued bytheFederalRepublicofGermany, medium-orlong-termdebtsecurities Notional short-, OFFtrsCHF500million EUR10billion CONF Futures Euro-BTP Futures uoBn uue EUR5billion Euro-Buxl EUR5billion Euro-Bund Futures EUR 5billion Euro-Bobl Futures Euro-Schatz Futures Contract Product ® uue EUR10billion Futures CONF FBTP FGBX FGBL FGBM FGBS ID y Day withintheremainingy termof Confederation witharemaining 40t 35.0 24.0 to Years Remaining Term . o13.0 8.0 to 11.0 8.5 to 10.5 to 5.5 8.5 to 4.5 2.25 to 1.75 Minimum IssueAmount Percent Coupon 6 6 4 6 6 6 CHF EUR EUR EUR EUR EUR Currency Contract Months Daily SettlementPrice Last Trading Day Notification Delivery Day Price QuotationandMinimumChange Up to9months: within thisperiod. provided that more thanfivetradestransacted point), actions duringtheminutebefore 17:15CET(reference the volume-weightedaverageofpricesalltrans- Price forthecurrent maturitymonthisderivedfrom theDailySettlement For allotherfixedincomefutures, closing auctionoftherespective futures contract. month ofCONFFutures are determinedduringthe The DailySettlementPricesforthecurrent maturity futures ontheLastTrading Dayisat12:30CET. Closeoftradinginthematuring evant maturitymonth. Two exchangedayspriortotheDeliveryDayofrel- Trading FullPeriod. notification mustbegivenbytheendofPost- Such futures whichdebtinstrumenttheywilldeliver. fy Eurex ontheLastTrading Dayofthematuring Clearing memberswithopenshortpositionsmustnoti- exchange dayimmediatelysucceedingthatday. the ifthisdayisanexchangeday;otherwise, month, The tenthcalendardayoftherespective quarterly SeptemberandDecembercycle. June, the March, The PriceQuotationisinpercent oftheparvalue. OFFtrs0.01 0.01 CONF Futures Euro-BTP Futures Contract uoSht uue .0 U 5 EUR 0.01 0.01 Euro-Buxl Euro-Bund Futures 0.005 Euro-Bobl Futures Euro-Schatz Futures ® uue 0.02 Futures The thr ee nearest quarterlymonthsof Percent Minimum PriceChange H 10 CHF EUR 20 EUR 10 EUR EUR 10 EUR 10 Value 111
Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite112 Fixed IncomeFuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Final SettlementPrice 112 w.uecag.o >Trading www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCEFSTrades • OTCEFPTrades • OTCVola Trades • OTCBlockTrades for fixedincomefutures: The followingWholesaleTrading facilitiesare available Eurex willestablishtheFinalSettlementPrice. ditions, does notreasonably reflect theprevailing marketcon- or Ifsuchapricecannotbedetermined, 30 minutes. provided thattheseare notolderthan of theday, volume-weighted averagepriceofthelasttentrades ten the finalminuteoftradingprovided thatmore than volume-weighted averagepriceofalltradesduring basedonthe 12:30CET, the FinalSettlementDayat The FinalSettlementPriceisestablishedbyEurex on Regulations. & www.eurexchange.com >DocumentsRules Further detailsare availableintheclearingconditionson bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage For theremaining maturitymonthstheDailySettlement CONF Futures Euro-BTP Futures Standard Contract CONF Futures Euro-BTP Futures Standard Contract trades occurred duringthisminute;otherwisethe 08:30–17:00 CET 08:30–17:00 CET 08:00–19:00 CET 08:00–22:00 Trading Hours CET 08:30–17:00 CET 08:00–19:00 CET 08:00–22:00 Trading Hours > Wholesale Trading .
Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite114 Price QuotationandMinimumChange Settlement Contract Size Contract Standards Options on Futur Euro-Bund Futur Euro-Bobl Futur Euro-Schatz Options on Contract Fixed IncomeFutures es es es 114 The PriceQuotationisinpoints. andisbasedontheagreed exercise price. exercise day, established afterthePost-Trading FullPeriodofthe Thepositionis seller towhomtheexercise isassigned. fixed incomefutures fortheoptionbuyeraswell results inthecreation ofacorresponding positioninthe The exercise ofanoptiononfixedincomefutures One fixedincomefutures contract. with remaining termsandacouponof: instruments issuedbytheFederalRepublicofGermany medium-orlong-termdebt Futures onnotionalshort-, Euro-Bund Futures Euro-Bobl Futures Euro-Schatz Futures Options on Contract Product OGBL OGBM OGBS ID Futur Euro-Bund Futur Euro-Bobl Futures Euro-Schatz Underlying es es 0.01 0.005 0.005 Points Minimum PriceChange . o10.5 to 8.5 5.5 4.5 to 1.75 to2.25 Years of theUnderlying Remaining Term EUR 10 5 EUR 5 EUR Value Percent Coupon 6 6 6 Number ofExercisePrices Exercise Prices Exercise Daily SettlementPrice Last Trading Day Contract Months of-the-money. oneisat-the-moneyandfourare out- in-the-money, suchthatfourexercise pricesare each callandput, cise pricesshallbemadeavailableforeachterm atleastnineexer- Upon theadmissionofoptions, 18:00 CETontheLastTrading Day. oruntil exchange dayduringthelifetimeofoption, any on of thePost-Trading CET) FullPeriod(20:00 American-style; anoptioncanbeexercised untiltheend Regulations. on Further detailsare availableintheclearingconditions according toCox/Ross/Rubinstein. futures are determinedthrough thebinomialmodel Daily SettlementPricesforoptionsonfixedincome The The DailySettlementPriceisestablishedbyEurex. at 17:15CET. trading inalloptionseriesontheLastTrading Dayis Closeof option expirationmonth. calendar dayofthe Last Trading Dayistheexchangedaypriortofirst option are identical. lying futures contractandtheexpirationmonthof Quarterly Months: the expirationmonthofoption. lying futures contractisthequarterlymonthfollowing Calendar Months: SeptemberandDecembercyclethereafter. June, March, aswellthefollowingquarterlymonthof months, Up to6months: Euro-Bund Futures Euro-Bobl Futures Euro-Schatz Futures Options on Contract w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules The three nearest successivecalendar The maturitymonthoftheunder- The maturitymonthoftheunder- 0.50 0.25 0.1 Points Exercise Intervals 115
Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite116 Options onFixedIncomeFuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium 116 08:00–19:00 CET 08:00–19:00 www.eurexchange.com >Trading facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCVola Trades • OTCFlexibleOptions • OTCBlockTrades for optionsonfixedincomefutures: The followingWholesaleTrading Facilitesare available CET 08:00–19:00 The premium issettledusingthefutures-style method. > Wholesale Trading .
Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite118 Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Value Contract Standards One-Month EONIA Futures 118 within thisperiod. provided that more thanfivetradestransacted point), actions duringtheminutebefore 17:15CET(reference the volume-weightedaverageofpricesalltrans- month ofOne-MonthEONIAFutures isderivedfrom The DailySettlementPriceforthecurrent maturity the LastTrading Dayisat19:00CET. Closeoftradinginthematuringfutures on that day. theexchangedayimmediatelypreceding otherwise, iscalculatedbytheEuropean CentralBank; (EONIA) daily effective overnightreference ratefortheeuro provided thatondaythe tive maturitymonth, Settlement Dayisthelastexchangedayofrespec- Final Last Trading DayistheFinalSettlementDay. eleven nearest calendarmonths. Up to12months: EUR 12.50. equivalenttoavalueof Change is0.005percent, TheMinimumPrice effective EONIArateofinterest. expressed as100minusthetradedaverage places, withthree decimal The PriceQuotationisinpercent, following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, EUR 3million. a periodofonecalendarmonth. –for – calculatedbytheEuropean CentralBank(ECB) –Euro OverNightIndexAverage) for theeuro (EONIA Average rateoftheeffective overnightreference rate (FEO1) (FEO1) The present calendarmonthandthe One-Month EONIAFuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Matching ofTrades RataMatching) (Pro Trading Hours Final SettlementPrice 08:00–19:00 CET 08:00–19:00 www.eurexchange.com >Tradin facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCBlockTrades for One-MonthEONIAFutures: The followingWholesaleTrading facilitiesare available based ontheprincipleofpricepriority. whichisexclusively principle ofpro ratamatching, Orders andquotesare matchedaccording tothe CET 08:00–19:00 or amultiplethereof) andthensubtractedfrom 100. cally rounded tothenearest priceinterval(0.005; the compoundedEONIAaverageratewillbearithmeti- To fixtheFinalSettlementPrice period ofthecontract. by theEuropean CentralBankonadailybasisforthe ascalculated night reference ratefortheeuro (EONIA) on thecompoundedaverageofeffective over- on theFinalSettlementDayafter19:00CET; based The FinalSettlementPriceisestablishedbyEurex Regulations. on Further detailsare availableintheclearingconditions bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules g >Wholesale Trading 119 0.01 . Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite120 Daily SettlementPrice Last Trading DayandFinalSettlement Contract Months Price QuotationandMinimumChange Settlement Contract Value Contract Standards Three-Month EURIBOR Futures 120 (FEU3) (FEU3) within thisperiod. provided thatmore thanfivetradestransacted point), actions duringtheminutebefore 17:15CET(reference the volume-weightedaverageofpricesalltrans- month ofThree-Month EURIBORFutures isderivedfrom The DailySettlementPriceforthecurrent maturity futures ontheLastTrading Dayisat11:00CET. Closeoftradinginthematuring preceding thatday. theexchangedayimmediately term deposits;otherwise, reference interest ratepertainingtothree-month euro that ondayFBE/ACIhasdeterminedtheEURIBOR provided Wednesday oftherespective maturitymonth, Settlement Dayistwoexchangedayspriortothethird Final Last Trading DayistheFinalSettlementDay. SeptemberandDecembercycle. June, of theMarch, Up to36months: equivalent toavalueofEUR12.50. TheMinimumPriceChangeis0.005percent, interest. expressed as100minusthetradedrateof places, withthree decimal The PriceQuotationisinpercent, following theFinalSettlementDay. payableonthefirstexchangeday Cash settlement, EUR 1million. month euro termdeposits. forthree- European InterbankOffered Rate(EURIBOR) The twelvenearest quarterlymonths Three-Month EURIBORFuturesareavailablefortradingintheU.S. Wholesale Trading Hours Wholesale Trading Facilities Matching ofTrades RataMatching) (Pro Trading Hours Final SettlementPrice 08:00–19:00 CET 08:00–19:00 w.uecag.o >Tradin www.eurexchange.com facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCVola Trades • OTCBlockTrades for Three-Month EURIBORFutures: The followingWholesaleTrading facilitiesare available based ontheprincipleofpricepriority. whichisexclusively principle ofpro ratamatching, Orders andquotesare matchedaccording tothe CET 08:00–19:00 andisthensubtractedfrom 100. thereof), 0.01oramultiple to the nearest priceinterval(0.005; theEURIBORrateisrounded Final SettlementPrice, the To fix euro term depositsasdeterminedbyFBE/ACI. forthree-month the reference interest rate(EURIBOR) on theFinalSettlementDayat11:00CET; basedon The FinalSettlementPriceisestablishedbyEurex Regulations. on Further detailsare availableintheclearingconditions bid/ask spread ofthecombinationorder book. Price foracontractisdeterminedbasedontheaverage theDailySettlement For theremaining maturitymonths, w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules g >Wholesale Trading 121 . Interest Rate Derivatives EU-1127 Produkte2010E26.02.201012:55UhrSeite122 Daily SettlementPrice Last Trading Day Contract Months Price QuotationandMinimumChange Settlement Contract Size Contract Standards Options onThree-Month EURIBOR Futures 122 h DailySettlementPricesforoptionsonThree-Month The The DailySettlementPriceisestablishedbyEurex. on theLastTrading Dayisat11:00CET. Closeoftradingintheexpiringoptionseries that day. theexchange dayimmediatelypreceding otherwise, rate pertainingtothree-month euro termdeposits; FBE/ACI hasdeterminedtheEURIBORreference interest day provided thaton respective expirationmonth, ofthe Two exchangedayspriortothethird Wednesday option. quarterly monthfollowingtheexpirationof month oftheunderlyingfutures contractisthecyclic thematurity intheotherexpirationmonths, December, Septemberand June, the expirationmonthsMarch, and theexpirationmonthofoptionare identicalin The maturitymonthoftheunderlyingfutures contract SeptemberandDecembercyclethereafter. June, March, as wellthesevenfollowingquarterlymonthsof Up to24months: equivalent toavalueofEUR12.50. TheMinimumPriceChangeis0.005points, places. withthree decimal The PriceQuotationisinpoints, based ontheagreed exercise price. andis the Post-Trading FullPeriodoftheexercise day, Thepositionisestablishedafter exercise isassigned. for theoptionbuyeraswellsellertowhom ing positionintheThree-Month EURIBORFutures Futures contractresults inthecreation ofacorrespond- The exercise ofanoptionontheThree-Month EURIBOR One Three-Month EURIBORFutures contract. Three-Month EURIBORFutures. (OEU3) The three nearest calendarmonths in theU.S. Options onThree-MonthEURIBORFuturesareavailablefortrading Wholesale Trading Hours Wholesale Trading Facilities Trading Hours Option Premium Number ofExercisePrices Exercise Prices Exercise 08:00–19:00 CET 08:00–19:00 www.eurexchange.com >Trading >WholesaleTrading facilities isavailableintheappendixsectionoron Further informationaboutEurex WholesaleTrading • OTCVola Trades • OTCFlexibleOptions • OTCBlockTrades for OptionsonThree-Month EURIBORFutures: The followingWholesaleTrading facilitiesare available CET 08:00–19:00 The premium issettledusingthefutures-style method. of-the-money. oneisat-the-moneyandfourare out- in-the-money, suchthatfourexercise pricesare each callandput, cise pricesshallbemadeavailableforeachterm atleastnineexer- Upon theadmissionofoptions, months haveexercise priceswithintervalsof0.25points. theotherexpiration with intervalsof0.125points, three quarterlyexpirationmonthshaveexercise prices The firstthree expirationmonthsandthesucceeding exchange dayduringthelifetimeofoption. onany end ofthePost-Trading CET) FullPeriod(20:00 American-style; anoptioncanbeexercised untilthe Regulations. on Further detailsare availableintheclearingconditions model according toCox/Ross/Rubinstein. EURIBOR Futures are determinedthrough thebinomial w.uecag.o ouet ue & www.eurexchange.com >DocumentsRules 123 .
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Eurex Bonds EU-1127 Produkte2010E26.02.201012:55UhrSeite126 Trading Segment Eurex Bonds 126 * ForthesebondsaminimumratingofAA-from Standard &Poor’s required. is Inc. Ratings ServicesorAa3from Moody’s Investor Services, of EUR1billion.* European covered bondswithaminimumissuingvolume European CoveredBonds agencies withaminimumissuingvolumeofEUR1billion.* Bonds ofsupranationalinstitutionsandbondsstate Agencies volume ofEUR1billion.* German federalstatebondswithaminimumissuing State Bonds minimum issuingvolumeofEUR1billion.* European governmentbondsandtreasury billswitha European GovernmentBonds debt securities. Eurex fixedincomefutures plusselectednon-deliverable whichare eligiblefordeliveryinto Republic ofItaly, securities oftheFederalRepublicGermanyand Eurex Bondsare basisinstrumentsrelated toalldebt Tradable on futures contractsthathasitsownprice. The basisrepresents acombinationofsecuritiesand Basis Instruments EUR 4billion. Republic ofGermanywithaminimumissuingvolume Treasury issuedbytheFederal discountpaper(Bubills) Treasury DiscountPaper(Bubills) volume ofEUR4billion. BoblandSchatzissues)withaminimumissuing (Bund, Debt securitiesissuedbytheFederalRepublicofGermany German GovernmentBonds Break-Even Instruments Bonds European InflationLinked Financials Corporate Bondsand European Covered Bonds Agencies State Bonds European GovernmentBonds Basis Instruments (Bubills) Treasury DiscountPaper German GovernmentBonds Contract Contract Sizes on thebreak-even price. of aninflation-linkedbondandanominalbased are break-even instrumentswhichare thecombination Tradable onEurex Bonds theotherside. or“EURIBOR”on bond ononesideandanotherbenchmarklike“LIBOR” the twobondsorspread betweentheyieldofone Theyare defined bytheyieldspread between trades. Spread products represent acombinationoftwobond Spread Products Greece withaminimumissuingvolumeofEUR2billion. Italyand France, of theFederalRepublicGermany, European inflationlinkedbondsissuedbythetreasuries European InflationLinkedBonds grade” rating. issuing volumeofEUR1billionandan“Investment Selected corporatebondsandfinancialswithaminimum Corporate BondsandFinancials U million EUR 5 million EUR 1 million EUR 0.5 million EUR 1 million EUR 1 million EUR 1 million EUR 1 million EUR 5 million EUR 1 million EUR 1 Minimum Book Central Order U million EUR 5 million EUR 1 million EUR 0.5 million EUR 1 million EUR 1 million EUR 1 million EUR 1 million EUR 1 million EUR 1 million EUR 1 Minimum Trade Facility Pre-arranged 127
Eurex Bonds EU-1127 Produkte2010E26.02.201012:55UhrSeite128 Basis Instruments Standard Contract Basis Instruments (Bubills) Treasury DiscountPaper Standard** Contract Trading Hours French governmentbondspartlyapplytodeviatingstandards. ** Delivery Days Price Quotation 128 are quotedwiththree decimalplaces. Theticksizesforallproducts the respective real bond. instrument istheyieldspread betweenthenominaland Thepriceofthebreak-even respective underlyingbond. instrument isthepricespread ofthefutures andthe thepriceofabasis papers are quotedonayieldbasis, Treasury discount a percentage oftheirnominalvalue. basis andbreak-even instrumentsare expressed as Prices forallproducts exceptoftreasury discountpapers, 08:30–17:30 CET 08:30–17:30 CET 08:30–17:30 Book Central Order t+3 t+2 t+3 Book Central Order 08:20–19:00 CET 08:20–19:00 CET 07:25–19:00 Trade Facility Pre-arranged t+2 andt+4 selectable between t+1 andt+89 selectable between t+1 andt+89 selectable between Trade Facility Pre-arranged
Eurex Bonds EU-1127 Produkte 2010 E 26.02.2010 12:55 Uhr Seite 130
Eurex Repo EU-1127 Produkte2010E26.02.201012:55UhrSeite132 **The issuingvolumeofthedebtsecuritiesshallamounttoatleastEUR100 **The AminimumratingofAAfrom Standard &Poor’s RatingsServicesfor * General CollateralBasketSegment ytenmdaece ifr,thelowerratingisconsidered. by thenamedagenciesdiffers, Incasetherating least Afor“InternationalLong-Term Credit” byFitchInc. orat A3 for“LongTerm SeniorDebt”byMoody’s InvestorServices Inc. for “SeniorUnsecured Debt”byStandard &Poor’s RatingServices;atleast thedebtsecuritiesshallberated asfollows:atleastA Inaddition, million. In isrequired. Credit” for“InternationalLong-Term Inc. “Long-Term SeniorDebt”orAAfrom Fitch, for Inc. Aa2from Moody’s InvestorsServices, “Senior Unsecured Debt”, Eurex Repo 132 EUR Market SOFFIN bonds. Wiederaufbau) oftheFederalRepublicGermanyand Reconstruction LoanCorporation–Kreditanstalt für bonds ofcorporationsunderpubliclaw(forexample German FederalStateBonds–Länderanleihen)and EUR-denominated publicauthoritiesbonds(forexample German GCKfW/Länder-Basket of EUR100millionandlessthan1,000million.* such Pfandbriefemustaccountforaminimumamount Theissuancevolumeof Pfandbriefe ofGermanissuers. The GermanPfandbriefGCBasketencompasses German PfandbriefGCBasket must benolessthanEUR1,000million.* TheissuancevolumeofsuchJumbo-Pfandbriefe law. mortgage banksandcredit institutionssubjecttopublic as wellAssetCovered Securities(ACS)issuedby EUR-denominated Jumbo-PfandbriefeofGermanissuers German JumboGCBasket of Germanywitharemaining termofupto10years. EUR-denominated debtsecuritiesoftheFederalRepublic German 10Year GCBasket of Germany. EUR-denominated debtsecuritiesoftheFederalRepublic German GCBasket case ofdiffering ratingsthelowervaluationapplies. Special Segment also betradedintheSpecialSegment. All securitiescontainedintherespective basketscan EUR Special Corporate BondGCBasketorAgencyBasket.** are debtsecuritieswhichare includedintheGerman Exceptions with thenumbersXS)ofEuropean issuers. denominated inEuro (securitieswhoseISINbegins tutions aswellcovered anduncovered Euro bonds uncovered debtsecuritiesofEuropean financialinsti- issuers (non-financialinstitutions)denominatedinEuro, covered anduncovered debtsecuritiesofEuropean The European CorporateBondGCBasketencompasses European CorporateBondGCBasket EUR issuing volumeof ObligationFoncières withaminimum EUR-denominated French CoveredBondGCBasket Basket orGermanPfandbriefGCBasket.* securities whichare includedintheGermanJumboGC Exceptionsare dept of EUR500millionisrequired. Aminimumissuingvolume bonds ofEuropean issuers. debt securitiesthatare covered similartomortgage EUR-denominated mortgagebondsorrespectively European CoveredBondGCBasket andSpain. Portugal, Netherlands, Luxembourg, Italy, Ireland, France, Finland, Belgium, EUR-denominated debtsecuritiesofAustria, European GovernmentGCBasket SOFFIN bonds).* la DetteSociale(CADES)andEGGSbonds(except Investment BankandtheCaissed’Amortissementde EUR-denominated debtsecuritiesoftheEuropean Agency GCBasket financial institutionsdenominatedinEuro.** Euro aswelluncovered debtsecuritiesofGerman (non-financial institutions)whichare denominatedin covered anduncovered debtsecuritiesofGermanissuers The GermanCorporateBondGCBasketencompasses German CorporateBondGCBasket 500 million.* 133
Eurex Repo EU-1127 Produkte2010E26.02.201012:55UhrSeite134 Contract Types Price Quotation Settlement GC Pooling Contract Value 134 ® Defined bythetrader. Contract Types SpecialSegment: NonStandard DEC, and Open-termsonfixvariablerepo rates. SEP, JUN, 3M, MAR, 2M, 12M, 1M, 9M, 3W, 2W, 6M, 1W, C1W, CN, SN, TN, ON, Contract Types GCBasketSegment: withamaximumofthree decimalplaces. In percent, Delivery versuspayment. Minimum of or amultiplethereof fortheSpecialSegment. h USDGCPooling the oeta 23, More than Euro GCPECBEXTended Basket Central Bank. pledging infavourofGermanBundesbank/European funding inEuro GCPECBBasketandre-useable for More than8,000ECBeligiblesecuritiesforcollateralized Euro GCPECBBasket German Bundesbank/European CentralBank. for collateralizationofopenmarketoperationsbythe whichare admitted USDGCPECBBasket, funding in More than8,000eligiblesecuritiesforcollateralized USD GCPECBBasket by theGermanBundesbank/European CentralBank. admitted forcollateralizationofopenmarketoperations whichare funding inEuro GCPECBEXTended Basket, GC Pooling the GeneralCollateralBasketSegmentandEuro Minimum ofEUR1millionoramultiplethereof for Market ® USD 1 million or a a USD 1millionor Market andminimumofEUR500,000 000 eligiblesecuritiesforcollateralized ® Market. multiple thereof for Cut-off DatesforOvernightRepo Daily SettlementPrice Trading Hours Contract Types GCPooling GC Pooling within Euroclear) 15:30CET. ON Repointernal(SettlementwithinClearstream or Euroclear) 10:30CET. ON Repoexternal(SettlementbetweenClearstream and General CollateralBasketSegmentandSpecial Close ofprevious day. ECBBasket. No Overnight tradingintheUSDGCP repo rates. on fixandvariable POOLFLEXTERM) (EGC FlexTerm SpotTerm POOLSPOTTERM), (EGC OneWeekTender POOLTENDER), (EGC POOLSN), SpotNext(EGC POOLTN), (EGC TomorrowNext POOLON), Overnight (EGC 07:30–18:00 CET 07:30–18:00 ON Repo16:00CET ® Market ® Market: 135
Eurex Repo EU-1127 Produkte2010E26.02.201012:55UhrSeite136 Thesesecuritiesmustbelistedonarecognized stockexchangeortraded on * General CollateralBasketSegment edlvrdtruhSXSIS. be delivered through SIX 12gSwiss BankingOrdinance) andtheymust Art. an organized market(cf. Eurex Repo 136 CHF Market on arecognized stockexchange. thatare listed with anissuingvolumeofCHF1billion, NorwayandtheNetherlands Sweden, Denmark, Spain, Austria, France, Belgium, Switzerland, issued bye.g. aswellgovernmentbonds (obligations andbonds) andtheTreuhandanstalt andSchatzissues) Bobl, Bund, issued by In variouscurrencies denominatedtreasury bonds Government GCBasket Inc. orAAfrom Fitch, Inc., from Moody’s InvestorServices, Aa2 Poor’s RatingsServices, of & rating AA from Standard mum issuingvolumeofCHF1billionandaminimum In variouscurrencies denominatedsecuritieswithamini- International GCBasket Inc.* orAfrom Fitch, Inc., A2from Moody’s InvestorServices, Ratings Services, Poor’s & bonds offoreign issuersofAfrom Standard volume ofCHF100millionandaminimumratingfor CHF-denominated securitieswithaminimumissuing CHF GCBasket accepted forrepos bytheSwissNationalBank(SNB).* securities witharatingbetweenAandAAAthatare Invariouscurrencies denominated ment GCBasket). InternationalGCBasketandGovern- (CHF GCBasket, Collective basketcomprisingallthree individualbaskets SNB GCBasket the FederalRepublicofGermany(Bubills, Price Quotation Settlement Contract Values Multi Currency Special Segment DAX corporate eventsmustbeCHF-denominated. npret withamaximumofthree decimalplaces. In percent, Delivery versuspayment. Minimum ofCHF10,000oramultiplethereof. Contract Value CHFSpecial: Minimum ofCHF1Millionoramultiplethereof. Standard ContractValue: with SIXSISneedstobesetup. amulticurrency account For settlementtotakeplace, and participationconditionsapplyasintheCHFmarket. thesametrading Furthermore, can beusedascollateral. ThesamebasketsasintheCHFmarket USD andGBP. namelyEUR, be tradedintheEurex RepoCHFMarket, Apart from CHFthere are alsoothercurrencies thatcan Inc. orA-from Fitch, Inc. Investor Services, A3from Moody’s Standard &Poor’s RatingServices, of EUR200MillionenandaminimumratingA-from denominated securitieswithaminimumissuingvolume The baskettracksawiderangeofECBeligibleEUR- EEA FIGC(EZB)Basket Exchange. Swiss thatare listedontheSIX equities andbonds, basket segmentsaswellallCHF-denominatedSwiss All shares andsecuritiesthatare containedintheGC CHF Special SMI DAX SMI ® ® ® ® GC Basket opnns Thesecuritiesandtheensuing components. GC Basket components. 137
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Contract Types Standard Contract Types: Eurex Repo IN, TIN, ON, TN, SN, 1W, 2W, 3W, 1M, 2M, 3M, 6M, SNB Bills 9M, 12M, IMM MAR, IMM JUN, IMM SEP, IMM DEC, Non Standard. The Swiss National Bank issues its own debt certificates in CHF and USD via the “Primary and Auction Market” of Contract Types SMI GC Basket: Eurex Zurich AG. SNB CHF bills are used to absorb liquidi- EQYON, EQYTN, EQYSN, EQY1W, EQY2W, ty, thereby enabling the SNB to steer sight deposits more EQYNON-STD. flexibly.
Contract Types CHF Special: Issue Defined by the trader. Auctions are conducted either by volume tender or by rate tender. Daily Settlement Price Close of previous day. Issue price and term According to the conditions of a specific issue. Cut-off Dates Intraday repo: 14:45 CET. Amount Overnight repo: 15:55 CET. Fixed at the issuer’s discretion at the end of the subscription period. Trading Hours 07:00–18:00 CET Currency CHF or USD
Denomination SNB CHF bills: CHF 1 Million SNB USD bills: USD 500,000
Interest Discount basis; on the redemption date, the nominal amount less any withholding tax is paid.
Eligible for SNB Repos SNB bills in CHF and USD will be included in the list of collateral eligible for SNB repos.
Trading SNB bills are tradeable at the OTC Spot Market of Eurex Zurich AG.
138 139 Eurex Repo EU-1127 Produkte2010E26.02.201012:55UhrSeite140 Products Settlement Contract Sizes Eurex SecLendMarket 140 Shares ofthemajorequityindexesworldwidesuchas • Loan qiyidxbsessc sSP50 DAX EquityindexbasketssuchasS&P500, • Equity Collateral • Wide rangeofExchange-Traded Funds andlistedEurobonds Supranationals(XS) • Broad rangeofcorporatestraightandconvertiblebonds • Governmentbondsandnotesofmajorindustrialized • oenetbn akt fteUS,Canada, • GovernmentbondbasketsoftheU.S., • Individualgovernmentbondbasketsbycountry Fixed IncomeCollateral andmore European nationsofG7, G7equitybaskets, • existing settlementprocesses). viaalready orbilateralsettlement(settlement (payment)” SIScarriesoutsettlement“deliveryversusdelivery SIX 10,000nominal Bonds: Equities: 10pieces Minimum contractsizefor correspondent JPY: settlementviacash CHF, GBP, EUR, loans: USD, currencies maybeusedforcollateralizationofthe cashinthefollowing In additiontosecuritiescollateral, Cash Collateral nations FTSE & 0,DAX S&P 500, from theG7government United Germany, US) IT, UK, IE, SE, GR, PT, FR, NO, FI, NL, JP, ES, DK, DE, CH, CA, BE, baskets (AT, All countrieslistedformindividualgovernmentbond exampleGermangovernmentbondbasket). (for ® 0,SMI 100, ® ® CAC40 , or Nikkei igo,Fac,Iay andJapan Italy, France, Kingdom, ® basket. FTSE , ® 0,SMI 100, ® ® or Nikkei CAC40 , ® , Trading Hours Cut-off DatesforCashCollateral Contract Types 07:00–18:00 CET 07:00–18:00 +1businessday<08:30 CET JPY 17:55CET USD 15:00CET GBP 15:30CET EUR 15:55CET CHF are variable. Allothercontractattributes Date canbeleftopen. where theOpeningDateisnegotiableandClosing Opening DateandtheClosingare negotiableor Non-Standardized Contractsare contractswhere the Non-Standardized Contracts utes are variable. Allothercontractattrib- ardized OpenEndContract”). (“Stand- ClosingDateisleftopen Date isdefinedandthe 1 year(“FixedTerm Contract”)orwhere theOpening defined withafixeddurationrangingfrom 1weekto Standardized Contractsare contractswhere thetermis Standardized Contracts + 2businessdays>08:30CET 141
Eurex Repo EU-1127 Produkte2010E26.02.201012:55UhrSeite142 * Thesesecuritiesmustbelistedonarecognized stockexchangeortraded General CollateralBasketSegment must bedelivered through SIXSIS. 12gSwissBankingOrdinance) andthey Art. on anorganized market(cf. Eurex SecLendMarket 142 Collateral SecuredInstruments(COSI) S,ER B,CHFandJPY. GBP, EUR, USD, currencies maybeusedforcollateralizationoftheloans; cashinthefollowing In additiontosecuritiescollateral, Cash Collateral Swiss LeaderIndex is theumbrella basketforthefollowingsubbaskets: The CollateralSecured InstrumentsGCBasket(COSIGC) at ScoachSwitzerland. Collateralization ofstructured products whichare listed Baskets ofmainEuropean equityindexessuchasDAX Baskets ofmainEuropeanEquityIndexes Inc. orA-from Fitch, Inc. Investor Services, A3from Moody’s Standard &Poor’s RatingServices, of EUR200millionandaminimumratingA-from denominated securitieswithaminimumissuingvolume The baskettracksawiderangeofECBeligibleEUR- Basket EEA FIGC(EZB) accepted forrepos bytheSwissNationalBank(SNB).* securities witharatingbetweenAandAAAthatare Invariouscurrencies denominated ment GCBasket). InternationalGCBasketandGovern- (CHF GCBasket, Collective basketcomprisingallthree individualbaskets SNB GCBasket events mustbeCHF-denominated. Thesecuritiesandtheensuingcorporate SLI components. BX CAC40 IBEX, ® I,AEX MIB, , ® (SLI) GCBasket (SLI) ® M,FTSE OMX, , ® , Trading Hours(Cut-off Dates) Contract Types Price Quotation Settlement Contract Values 07:00–18:00 CET 07:00–18:00 Open SIX SISisresponsible forvalidationofthecollaterals. shows responsibility forvalidationofstructured products. according totheFTA (SwissFederalTax Administration) An independent“fairvalue”provider or“Bondfloor” SIX SIScarriesoutsettlement”deliveryversusdelivery“. parameters. rulesandassociated theterms, the availabletemplates, The tradablecontractsare standardized inrespect of 143
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Contract Product ID Minimum Number of OTC Block Trades Traded Contracts EURO STOXX® Sector Index Options 100 STOXX® Europe 600 Sector Index Options 100 The OTC block trade facility is available for the following DJ Global Titans 50 IndexSM Options OGTI 100 ® Eurex products and the illustrated minimum number DAX Options ODAX 500 DivDAX® Options ODIV 250 of traded contracts. MDAX® Options O2MX 100 TecDAX® Options OTDX 250 ® Option strategies or option volatility strategies on the SMI Options OSMI 500 SMIM® Options OSMM 250 basis of Eurex options listed in the table are also admit- SLI® Options OSLI 250 ted to the OTC block trade facility. The minimum block OMXH25 Options OFOX 250 trade size of option strategies or option volatility strate- MSCI Russia Index Options OMXR 100 EURO STOXX 50® Weekly Options 1,000 gies is equivalent to the minimum block trade size of DAX® Weekly Options 500 the respective underlying option contracts of the strategy. Dividend Derivatives Since the introduction of Eurex Release 12.0, option Single Stock Dividend Futures 1 Equity Index Dividend Futures FEXD, FEX1, 1 volatility strategies feature an integrated cash equity leg. FD3D, FDXD, FDVD, FSMD Volatility Index Derivatives Contract Product ID Minimum Number of VSTOXX® Mini Futures FVS 1,000 Traded Contracts Exchange Traded Funds® Derivatives Equity Derivatives iShares EURO STOXX 50® Futures EUNF 1,000 Single Stock Futures 1 iShares DAX® (DE) Futures EXSF 1,000 Equity Options/LEPOS 250 XMTCH on SMI® Futures XMTF 1,000 ® British Equity Options/LEPOS 100 iShares EURO STOXX 50 Options EUN2 1,000 ® Equity Index Derivatives iShares DAX (DE) Options EXS1 1,000 XMTCH on SMI® Options XMT 1,000 EURO STOXX 50® Index Futures FESX 1,000 Credit Derivatives ® EURO STOXX Select Dividend 30 FEDV 100 iTraxx® Europe 5-year Index Futures F5E0 2,500 Index Futures iTraxx® Europe HiVol F5H0 1,500 STOXX Europe 50® Index Futures FSTX 250 5-year Index Futures ® STOXX® Europe 600 Index Futures F600 100 iTraxx Europe Crossover F5C0 1,000 5-year Index Futures ® STOXX Europe Large 200 Index Futures F2LA 100 Single Name Recovery Futures 100 STOXX® Europe Mid 200 Index Futures F2MI 100 Inflation Derivatives STOXX® Europe Small 200 Index Futures F2SM 100 Euro-Inflation Futures HICP 50 EURO STOXX® Sector Index Futures 250 Interest Rate Derivatives STOXX® Europe 600 Sector Index Futures 250 Fixed Income Derivatives Euro-Schatz Futures FGBS 4,000 DJ Sector Titans IndexSM Futures 1 Euro-Bobl Futures FGBM 3,000 SM DJ Global Titans 50 Index Futures (EUR) FGTI 100 Euro-Bund Futures FGBL 2,000 DJ Global Titans 50 IndexSM Futures (USD) FT50 100 Euro-Buxl® Futures FGBX 100 DAX® Futures FDAX® 250 Euro-BTP Futures FBTP 250 DivDAX® Futures FDIV 250 CONF Futures CONF 500 MDAX® Futures F2MX 100 Options on Euro-Schatz Futures OGBS 50 ® Options on Euro-Bobl Futures OGBM 50 TecDAX Futures FTDX 250 Options on Euro-Bund Futures OGBL 50 ® SMI Futures FSMI 500 Money Market Derivatives SMIM® Futures FSMM 1,000 One-Month EONIA Futures FEO1 100 SLI® Futures FSLI 2,000 Three-Month EURIBOR Futures FEU3 100 OMXH25 Futures FFOX 250 Options on Three-Month EURIBOR OEU3 50 Futures MSCI Japan Index Futures FMJP 50 Commodity Derivatives MSCI Russia Index Futures FMXR 100 Commodity Index Futures FCCO, FCAG, 100 EURO STOXX 50® Index Options OESX 1,000 FCEN, FCIN Gold Derivatives FGFX, OGFX 1 EURO STOXX® Select Dividend OEDV 100 Silver Derivatives FSFX, OSFX 1 30 Index Options CO Derivatives 1 ® 2 FCER, F2CR, STOXX Europe 50 Index Options OSTX 250 F2PE, F2EA, STOXX® Europe 600 Index Options O600 100 O2PE ® Power Derivatives O1BM, 1 STOXX Europe Large 200 Index Options O2LA 100 O1BQ, O1BY STOXX® Europe Mid 200 Index Options O2MI 100 Weather Derivatives STOXX® Europe Small 200 Index Options O2SM 100 Hurricane Futures 1 Property Derivatives Property Futures PUKA 1
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OTC Flexible Options OTC Flexible Futures
The OTC Flexible Options facility is available for The OTC Flexible Futures facility is available for:
• Options on fixed income futures • Single Stock Futures • Options on money market futures • Equity index futures • Equity options • EXTF futures • Equity index options • Gold and silver futures • EXTF options • Commodity index futures • Gold and silver options Futures trades can be tailored by individually defining Option trades can be tailored by individually defining the following parameters: the following parameters: • Maturity – The participants of an OTC Flexible Futures • Exercise Price – The selected exercise price can be trade can create their own maturity date for the trans- defined above the highest exercise price of the corre- action. Tailored maturity dates can be as early as the sponding regular options series or may be the lowest next business day or as far out as the maturity date for exercise price of an option (for example LEPOs) which the most distant standard future listed on Eurex. is available in the Eurex® system or an intermediate • Settlement – Similar to OTC Flexible Options on indi- price. Maximum exercise prices for OTC Flexible vidual equities, OTC Flexible Futures give participants, Options are limited to 2.5 times of the highest avail- in most cases, the ability to negotiate the terms of able standard exercise price in the respective product. settlement for Single Stock Futures (cash settlement • Expiration Date – The expiration date can be any or physical delivery). exchange day (with some special Eurex defined • System Features – All system features that counter- exceptions) starting from the next business day until parties already use for OTC Flexible Options are also the longest currently active standard expiration date available for OTC Flexible Futures (if applicable). of the affected standard product. • Exercise Style – American or European exercise can Details about how to use the OTC Flexible Futures be selected. facility, further product information and an overview • Settlement Type – The settlement type of OTC Flexible of all Flexible Futures are available on Options is arbitrary. At conclusion of these equity and www.eurexchange.com > Trading > Wholesale Trading EXTF OTC Flexible Options trades members can > Flexible Futures. choose to settle their trades either with cash or with the physical settlement type.
The minimum trading size for OTC Flexible Options is identical to the OTC block trade size of regular Eurex options.
Details about how to use the OTC Flexible Options facility, further product information and an overview of all Flexible Options are available on www.eurexchange.com > Trading > Wholesale Trading > Flexible Options.
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index refers to, such index forming the underlying of OTC Exchange for Physicals the respective agricultural futures contract:
(Equity Index Futures) • The cash transaction must base on a written agree- EFPI Trades ment containing the agreements on the product to be delivered, the delivery date and delivery place as well as the amount to be delivered. • Volume of the cash transaction must refer to at least The EFPI trade facility is available for the following 2,500 decitonnes potatoes or to 80 tons slaughtering combinations of Eurex equity index futures and equity weight and to 1,000 piglets, respectively. baskets or a share of exchange-traded funds as well as Eurex agriculture futures and objects corresponding The number of traded futures must have a specific to the products the agricultural index refers to. correlation to the nominal value of the equity basket or share of exchange-traded fund so that the futures Futures Leg (Transaction Creating a Position) are a suitable instrument for hedging the cash market All Eurex equity index futures and Eurex agriculture transaction. futures, respectively.
Cash Leg (Reporting Transaction) Cash transactions in EFPI trades with equity index futures are equity baskets or a share of exchange-traded funds OTC Exchange for Physicals with the following characteristics: (Fixed Income, Inflation • The nominal value of the equity basket or share of exchange-traded fund must amount to EUR 1 million and Credit Futures) or CHF 1.5 million or USD 1 million and must not EFP Trades deviate from the nominal value of the futures position by more than 20 percent. The EFP trade facility is available for the following • The equity basket or share of exchange-traded fund combinations of futures contracts and underlyings: must consist of at least ten different index components Futures Leg Cash Leg or a number of equities which represent at least half of the equity index underlying the futures contract. Eurex Futures Admitted Underlyings (Transaction Creating a Position) (Reporting Transaction) • The nominal value of that part of the equity basket or share of exchange-traded fund, whose components Eurex Fixed Income Futures Debt securities Eurex Credit Futures are part of the equity index underlying the futures Eurex Fixed Income Futures Eurex or Non-Eurex contract, must be at least 20 percent of the nominal Money Market Futures value of the entire cash transaction. Eurex Fixed Income Futures Eurex or Non-Eurex • All components of the equity basket or share of Fixed Income Futures exchange-traded fund must be part of the STOXX® Europe TMI Index, the Dow Jones Global Titans 50SM Index (EUR/USD), the Dow Jones Sector Titans All debt securities, which show a price correlation – or in IndexesSM, the MSCI Russia Index or the MSCI Japan case of credit – spread correlation to the exchanged Index. futures contract so that the futures contract describes an appropriate hedge instrument for cash transactions, Cash transactions in EFPI trades with agriculture futures may be part of an EFP trade. are objects corresponding to the product the agricultural
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Non-Eurex fixed income futures within this meaning Cash Leg (Reporting Transaction) are all fixed income futures traded outside the Eurex Cash transactions in EFS trades for equity indexes are exchanges whose design does not correspond to the equity index swaps with the following characteristics: essential specifications of the fixed income futures traded on the Eurex exchanges. • OTC equity index swaps where - the share basket reflected via the swap shall be com- The EFP underlying cash transaction has to be nominated posed of at least ten different index components in a currency of the OECD Member States. or a number of equity certificates which represent at least half of the equity index underlying the futures contract; - the market value of the part of the share basket reflected via the swap the values of which are part of OTC Exchange for Swaps the equity index underlying the futures contract shall be at minimum 20 percent of the market value of (Equity Index Futures) the entire cash transaction; EFS Trades - all single shares in the share basket reflected via the swap shall be part of the STOXX® Europe TMI Index, The EFS trade facility is available for the following com- the Dow Jones Global Titans 50SM Index (EUR), the binations of Eurex equity index futures and OTC equity Dow Jones Global Titan 50SM Index (USD), the Dow index swaps: Jones® Sector Titans Indexes, MSCI Russia Index or the MSCI Japan Index. Futures Leg (Transaction Creating a Position) • Written under the terms of an ISDA Master Agreement Contract Product ID • All swap payments must be denominated in a currency ® of the OECD Member States. EURO STOXX 50 Index Futures FESX EURO STOXX® Select Dividend 30 Index Futures FEDV STOXX Europe 50® Index Futures FSTX STOXX® Europe 600 Index Futures F600 STOXX® Europe Large/Mid/Small 200 Index Futures F2LA/F2MI/ F2SM EURO STOXX® Sector Index Futures STOXX® Europe 600 Sector Index Futures DJ Sector Titans IndexSM Futures DJ Global Titans 50 IndexSM Futures (EUR) FGTI DJ Global Titans 50 IndexSM Futures (USD) FT50 DAX® Futures FDAX DivDAX® Futures FDIV MDAX® Futures F2MX TecDAX® Futures FTDX SMI® Futures FSMI SMIM® Futures FSMM SLI® Futures FSLI OMXH25 Futures FFOX MSCI Russia Index Futures FMXR
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OTC Exchange for Swaps OTC Vola Trades (Fixed Income, Inflation The OTC vola trade facility is available for the following and Credit Futures) combinations of Eurex options and futures: EFS Trades Contract Product Contract Product Options on ID Futures on ID The EFS trade facility is available for the following com- Equity Index Derivatives binations of Eurex fixed income, credit and inflation EURO STOXX 50® Index OESX EURO STOXX 50® Index FESX futures and OTC interest rate swaps as well as OTC EURO STOXX® Select OEDV EURO STOXX® Select FEDV interest rate swaptions: Dividend 30 Index Dividend 30 Index STOXX Europe 50® Index OSTX STOXX Europe 50® Index FSTX ® ® Futures Leg (Transaction Creating a Position) STOXX Europe 600 Index O600 STOXX Europe 600 Index F600 STOXX® Europe Large 200 O2LA STOXX® Europe Large 200 F2LA Contract Product ID Index Index ® ® Euro-Schatz Futures FGBS STOXX Europe Mid 200 Index O2MI STOXX Europe Mid 200 Index F2MI STOXX® Europe Small 200 O2SM STOXX® Europe Small 200 F2SM Euro-Bobl Futures FGBM Index Index Euro-Bund Futures FGBL ® ® EURO STOXX Sector Indexes * EURO STOXX Sector Indexes * ® Euro-Buxl Futures FGBX STOXX® Europe 600 Sector * STOXX® Europe 600 Sector * Euro-BTP Futures FBTP Indexes Indexes SM SM CONF Futures CONF DJ Global Titans 50 Index (EUR) OGTI DJ Global Titans 50 Index (EUR) FGTI ® ® ® iTraxx® Europe 5-year Index Futures F5E0 DAX ODAX DAX FDAX DivDAX® ODIV DivDAX® FDIV iTraxx® Europe HiVol 5-year Index Futures F5H0 MDAX® O2MX MDAX® F2MX ® iTraxx Europe Crossover 5-year Index Futures F5C0 TecDAX® OTDX TecDAX® FTDX Single Name Recovery Futures SMI® OSMI SMI® FSMI Euro-Inflation Futures HICP SMI® Mid OSMM SMI® Mid FSMM SLI Swiss Leader Index® OSLI SLI Swiss Leader Index® FSLI OMXH25 OFOX OMXH25 FFOX Cash Leg (Reporting Transaction) MSCI Russia Index OMXR MSCI Russia Index FMXR Cash transactions in EFS trades must have different ® ® EURO STOXX 50 * EURO STOXX 50 Index FESX characteristics depending on the futures contract. Weekly Options You can find them in the Conditions for Utilization DAX® Weekly Options * DAX® FDAX ® of the OTC Trade Entry Facilities under Interest Rate Derivatives www.eurexchange.com > Trading > Wholesale Trading. Euro-Schatz Futures OGBS Euro-Schatz FGBS Euro-Bobl Futures OGBM Euro-Bobl FGBM Euro-Bund Futures OGBL Euro-Bund FGBL Three-Month EURIBOR Futures OEU3 Three-Month EURIBOR FEU3
* The respective product ID of the required product can be found on pages 21, 29 and 36.
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Multilateral Trade Block Auction Requests Registration (BAR) (MTR) The Block Auction Request (BAR) facility is available for equity options on all EURO STOXX 50® components The Multilateral Trade Registration (MTR) facility allows listed at Eurex. members to register OTC block trades for a broad range of products: equity options, option strategies, option The BAR facility allows authorized market participants volatility strategies as well as EFPI, EFP and EFS trades. (Requesters) to enter requests for extra-large block transactions in a particular contract or strategy anony- The facility allows the entry of multiple buyers and mously into the Eurex® system. Such a request will multiple sellers in one transaction. The number of buyers automatically trigger an auction, allowing interested plus the number of sellers must be less than or equal market participants (Responders) to enter quotes, also to 50. on an anonymous basis. The indicative auction price is visible on both sides, for all participants involved. Furthermore, the MTR facility allows a member to directly enter the partial trades on behalf of the actual bene- If the auction price is accepted by the Requester, a trade ficiaries of the trade. This means that the member must is concluded where the quotes of marketable Responders not necessarily be a counterparty to the multilateral trade are executed on the basis of the calculated auction price. entered and can merely act as an agent. The system generates a multilateral block trade, auto- matically triggering the ensuing clearing procedure.
OTC Trade Entry Service
The OTC Trade Entry Service is available for the following products:
• Single Stock Futures and Equity Options on Russian underlyings • MSCI Russia Index Futures and Options • Credit Futures • EUA Futures and Options on EUA Futures • CER Futures
The purpose of the new OTC Trade Entry Service is to facilitate quick and easy entry of OTC Wholesale Trades only by means of Eurex Clearing AG per e-mail. All OTC Wholesale Trading facilities for the respective products can be used.
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SM Strategy Strategy Mini- Strategy Structure Example Eurex Strategy Wizard Short Long Name mum (Buy Perspective) Code Price Strategy Types (No. of ticks) BRT Put Calendar Sell Put near month, OESX BRT The Eurex Strategy WizardSM is a trading platform feature Spread buy Put at same exer- JAN10 FEB10 3900 cise price in far month which facilitates trading option and option volatility strate- CDIA Call Diagonal Sell Call near month, OESX CDIA gies. It enables all market participants to trade strategies, Calendar buy Call at different JAN10 3900 based on predefined strategy combinations: Spread exercise price in far FEB10 4000 month PDIA Put Diagonal Sell Put near month, OESX PDIA Option Strategies Calendar buy Put at different JAN10 4000 Spread exercise price in far FEB10 3900 Strategy Strategy Mini- Strategy Structure Example month Short Long Name mum (Buy Perspective) RBUL 2x1 Ratio Sell Call, buy two Calls OESX RBUL Code Price Call Spread at higher exercise price JAN10 3900 – 4000 (No. of RBER 2x1 Ratio Sell Put, buy two Puts OESX RBER ticks) Put Spread at lower exercise price FEB10 4000 – 3900 STD Straddle 2 Buy Call, buy Put at OESX STD CBUT Call Butterfly 0 Buy Call, sell two Calls OESX CBUT same exercise price FEB10 3900 at higher exercise JAN10 3800 – 3900 STDT Straddle Sell Call and Put in OESX STDT price, buy Call at – 4000 Calendar near month, buy Call JAN10 equally higher exercise Spread and Put in far month, FEB10 3900 price all at same exercise PBUT Put Butterfly 0 Buy Put, sell two Puts OESX PBUT price at higher exercise FEB10 3800 – 3900 DIASTD Diagonal Sell Call and Put in OESX DIASTD price, buy Put at – 4000 Straddle near month, buy Call JAN10 4000 equally higher exercise Calendar and Put at different FEB10 3900 price Spread exercise price in far IBUT Iron Butterfly 0 Sell Put, buy Put and OESX IBUT month Call at higher exercise JAN10 3800 – 3900 STD-C Straddle Buy Call, buy Put at OESX STD price, sell Call at – 4000 versus same exercise price, FEB10 3800 equally higher exercise Short Call sell Call at different versus C 3900 price exercise price CLAD Call Ladder Buy Call, sell Call at OESX CLAD STD-P Straddle Buy Call, buy Put at OESX STD higher exercise price, JAN10 3800 – 3900 versus same exercise price, FEB10 3800 sell Call at equally – 4000 Short Put sell Put at different versus P 3900 higher exercise price exercise price PLAD Put Ladder Sell Put, sell Put at OESX PLAD STG Strangle 2 Buy Put, buy Call at OESX STG higher exercise price, JAN10 3800 – 3900 higher exercise price JAN10 3900 – 4000 buy Put at equally – 4000 BUL Call Spread 0 Buy Call, sell Call at OESX BUL higher exercise price higher exercise price JAN10 3900 – 4000 CNV Conversion/ Buy Call, sell Put at OESX CNV BUL-P Call Spread Buy Call, sell Call at OESX BUL Reversal same exercise price JAN10 4000 versus higher exercise price, FEB10 3900 – 4000 COMBO Combo Sell Call, buy Put at OESX COMBO Short Put sell Put at any exercise versus P 3800 lower exercise price FEB10 3900 – 3800 price GUTS Guts 2 Buy Call, buy Put at OESX GUTS BER Put Spread 0 Buy Put, sell Put at OESX BER higher exercise price JAN10 3900 – 4000 lower exercise price JAN10 3900 – 3800 BOX Box 0 Buy Call, sell Put at OESX BOX BER-C Put Spread Buy Put, sell Put at OESX BER same exercise price, FEB10 4000 – 4100 versus lower exercise price, JAN10 4000 – 3900 buy Put and sell Call Short Call sell Call at any exercise versus C 3800 at higher exercise price price BLT Call Calendar Sell Call near month, OESX BLT JAN10 Spread buy Call at same exer- FEB10 3900 cise price in far month
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Strategy Strategy Mini- Strategy Structure Example Strategy Strategy Mini- Strategy Structure Example** Short Long Name mum (Buy Perspective) Short Long Name mum (Buy Perspective) Code Price Code Price (No. of (No. of ticks) ticks) JR Jelly Roll Sell Call, buy Put at OESX JR JAN10 STG-U Strangle 2 Buy Put, buy Call at OESX 100 STG same exercise price 4450 FEB10 4500 versus Short higher exercise price, JAN10 3900 – 4000 in near month; buy Underlying sell Underlying versus 7 FESX Call, sell Put at same MAR10 @ 3945 exercise price in far BUL-U Call Spread 0 Buy Call, sell Call at OESX 100 BUL month (exercise price versus Short higher exercise price, FEB10 3800 – 3900 in far month does not Underlying sell Underlying versus 24 FESX have to equal exercise MAR10 @ 3857 price in near month) BER+U Put Spread 0 Buy Put, sell Put at OESX 100 BER CCOND Call Condor 0 Buy Call, Sell Call at OESX CCOND versus Long lower exercise price, JAN10 4000 – 3900 higher exercise price, JAN10 3800 – 3900 Underlying buy Underlying versus 22 FESX sell Call at equally – 4000 – 4100 MAR10 @ 4086 higher exercise price, BUL-P-U Call Spread Buy Call, sell Call at OESX 100 BUL buy Call at again versus higher exercise price, JAN10 3900 – 4000 equally higher exercise Short Put/ sell Put at any exercise versus 100 P price Short price, sell Underlying JAN10 4100 PCOND Put Condor 0 Buy Put, Sell Put at OESX PCOND Underlying versus 54 FESX higher exercise price, JAN10 3800 – 3900 MAR10 @ 4029 sell Put at equally – 4000 – 4100 BER-C+U Put Spread Buy Put, sell Put at OESX 100 BER higher exercise price, versus lower exercise price, JAN10 4000 – 3900 buy Put at again Short Call/ sell Call at any exercise versus 100 C equally higher exercise Long price, buy Underlying JAN10 4100 price Underlying versus 54 FESX MAR10 @ 3978 BLT+U Call Calendar Sell Call in near OESX 100 BLT Spread month, buy Call at JAN10 – FEB10 Volatility Strategies* versus Long same exercise price 3900 versus 11 FESX Underlying in far month, MAR10 @ 3953 Strategy Strategy Mini- Strategy Structure Example** buy Underlying mum Short Long Name (Buy Perspective) BLT-U Call Calendar Sell Call in near OESX 100 BLT Code Price Spread month, buy Call at JAN10 – FEB10 (No. of versus Short same exercise price 3900 versus 12 FESX ticks) Underlying in far month, MAR10 @ 4086 CALL-U Call Volatility 1 Buy Call, OESX 100 C JAN10 sell Underlying Trade sell Underlying 4000 versus 17 BRT+U Put Calendar Sell Put in near OESX 100 BRT FESX MAR10 @ Spread month, buy Put at JAN10 – FEB10 3853 versus Long same exercise price 3900 versus PUT+U Put Volatility 1 Buy Put, OESX 100 P JAN10 Underlying in far month, 25 FESX MAR10 @ Trade buy Underlying 3900 versus buy Underlying 3937 47 FESX MAR10 @ BRT-U Put Calendar Sell Put in near OESX 100 BRT 3945 Spread month, buy Put at JAN10 – FEB10 STD+U Straddle 2 Buy Call, buy Put at OESX 100 STD versus Short same exercise price 3900 versus versus same exercise price, JAN10 3900 versus Underlying in far month, 25 FESX MAR10 @ Long buy Underlying 11 FESX MAR10 @ sell Underlying 3937 Underlying 3953 STD-U Straddle 2 Buy Call, buy Put at OESX 100 STD versus same exercise price, JAN10 3900 versus Short sell Underlying 12 FESX MAR10 @ Underlying 3857 STG+U Strangle 2 Buy Put, buy Call at OESX 100 STG versus Long higher exercise price, JAN10 3900 – 4000 * All volatility strategies are designed to be delta neutral. Underlying buy Underlying versus 9 FESX **Option Quantity Unit = 100; Option Quantity Unit for ODAX based strategies MAR10 @ 3957 is 250. In general, Option Quantity reflects contract specifications of the respec- tive equity option; in the case of fixed income options, each volatility strategy unit encompasses 100 options. Futures Quantity Unit can be defined on strategy creation between 1 and 100.
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Trading in the U.S. Strategy Strategy Mini- Strategy Structure Example** Short Long Name mum (Buy Perspective) The following products are available for trading (also via Code Price (No. of OTC facilities) directly via terminals located in the U.S.: ticks) CLAD+U Call Ladder Buy Call, sell Call at OESX 100 CLAD Contract Product ID versus Long higher exercise price, FEB10 3800 – 3900 Interest Rate Derivatives Underlying sell Call at equally – 4000 versus Fixed Income Derivatives higher exercise price, 19 FESX MAR10 @ Euro-Schatz Futures FGBS buy Underlying 3855 Euro-Bobl Futures FGBM CLAD-U Call Ladder Buy Call, sell Call at OESX 100 CLAD Euro-Bund Futures FGBL Euro-Buxl® Futures FGBX versus Short higher exercise price, FEB10 3800 – 3900 Euro-BTP Futures FBTP Underlying sell Call at equally – 4000 versus CONF Futures CONF higher exercise price, 11 FESX MAR10 @ Options on Euro-Schatz Futures OGBS sell Underlying 3965 Options on Euro-Bobl Futures OGBM PLAD+U Put Ladder Sell Put, sell Put at OESX 100 PLAD Options on Euro-Bund Futures OGBL versus Long higher exercise price, FEB10 3800 – 3900 Money Market Derivatives Underlying buy Put at equally – 4000 versus One-Month EONIA Futures FEO1 higher exercise price, 50 FESX MAR10 @ Three-Month EURIBOR Futures FEU3 buy Underlying 3850 Options on Three-Month EURIBOR Futures OEU3 Equity Index Derivatives PLAD-U Put Ladder Sell Put, sell Put at OESX 100 PLAD EURO STOXX 50® Index Futures FESX versus Short higher exercise price, FEB10 3800 – 3900 EURO STOXX® Select Dividend 30 Index Futures FEDV Underlying buy Put at equally – 4000 versus STOXX Europe 50® Index Futures FSTX higher exercise price, 35 FESX MAR10 @ STOXX® Europe 600 Index Futures F600 sell Underlying 3947 STOXX® Europe Large 200 Index Futures F2LA COMBO Combo Sell Call, buy Put at OESX 100 COMBO STOXX® Europe Mid 200 Index Futures F2MI +U versus Long lower exercise price, JAN10 3900 – 3800 STOXX® Europe Small 200 Index Futures F2SM Underlying buy Underlying versus 80 FESX EURO STOXX® Banks Futures FSTB ® MAR10 @ 3871 STOXX Europe 600 Banks Futures FESB STOXX® Europe 600 Industrial Goods & Services Futures FSTG RBUL+U 2x1 Ratio Sell call, buy two Calls OESX 100 /200 STOXX® Europe 600 Insurance Futures FSTI Call Spread at higher exercise RBUL JAN10 3900 – STOXX® Europe 600 Media Futures FSTM versus Long price, buy underlying 4000 versus 17 FESX STOXX® Europe 600 Personal & Household Goods Futures FSTZ Underlying MAR10 @ 3853 STOXX® Europe 600 Travel & Leisure Futures FSTV RBUL-U 2x1 Ratio Sell Call, buy two Calls OESX 100 /200 STOXX® Europe 600 Utilities Futures FSTU Call Spread at higher exercise RBUL JAN10 3800 – Dow Jones Global Titans 50 IndexSM Futures FGTI versus Short price, sell Underlying 3900 versus 1 FESX DAX® Futures FDAX® Underlying MAR10 @ 3867 MDAX® Futures F2MX ® RBER+U 2x1 Ratio Sell Put, buy two Puts OESX 100 /200 TecDAX Futures FTDX SMIM® Futures FSMM Put Spread at lower exercise price, RBER JAN10 3900 – SLI Swiss Leader Index® Futures FSLI versus Long buy Underlying 3800 versus 5 FESX Inflation Derivatives Underlying MAR10 @ 3898 Euro-Inflation Futures HICP RBER-U 2x1 Ratio Sell Put, buy two Puts OESX 100 /200 Commodity Derivatives Put Spread at lower exercise RBER FEB10 3900 – Agriculture Derivatives versus Short price, sell Underlying 4000 versus 13 FESX European Processing Potato Futures FEPP Underlying MAR10 @ 3953 London Potato Futures FLPI CNV-U Conversion Buy Call, sell Put at OESX 100 CNV Piglet Futures FPIG versus Short same exercise price, JAN10 3900 versus Hog Futures FHOG Gold Derivatives Underlying sell Underlying 19 FESX MAR10 @ Gold Futures FGFX 415 Gold Options OGFX Silver Derivatives Silver Futures FSFX Silver Options OSFX CO2 Derivatives EUA Futures F2PE, F2EA CER Futures FCER, F2CR Options on EUA Futures O2PE Power Derivatives Phelix Base® Futures F1BM, F1BQ, F1BY **Option Quantity Unit = 100; Option Quantity Unit for ODAX based strategies Phelix Peak® Futures F1PM, F1PQ, F1PY is 250. In general, Option Quantity reflects contract specifications of the respective Options on Phelix Base® Futures O1BM,O1BQ,O1BY equity option; in the case of fixed income options, each volatility strategy unit Weather Derivatives encompasses 100 options. Futures Quantity Unit can be defined on strategy Hurricane Futures creation between 1 and 100. Property Derivatives IPD UK Annual All Property Index Futures PUKA
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© Eurex 2010 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 cor- porate 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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