Dividend Neutral Stock Futures (DNSF)

  • Dividend Neutral Stock Futures (DNSF)

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Dividend Neutral Stock Futures (DNSF) are now available on London Stock Exchange Derivatives Market. Contrary to standard stock futures, DNSF contracts will be adjusted in the case of cash, stock or scrip dividends, both ordinary and extraordinary, (both lot size and settlement price will be adjusted using the adjustment coefficient (K), as described below)

  • Definition: a physically settled single stock future unaffected by changes to expected dividend payments
  • Underlying available: OGZD,SBER, LKOD, MNOD, ROSN, VTBR
  • Use: provide an exchange traded substitute to OTC financing instruments such as Total Return Swaps (TRS). All DNSF will be cleared via LCH Clearnet
  • Specifications: any expiration out to two years can be selected. Trade prices up to 4 decimal points are accepted. Standard contract size of 100 DRs.
  • Trading: Trade Reporting (no order book at launch) and Hidden (unpublished trades) only.
  • Adjustment Method in case of dividend: in the case of cash, stock or scrip dividends, both ordinary and extraordinary, DNSF contracts will be adjusted (both lot size and settlement price will be adjusted using the adjustment coefficient (K)).

The Adjustment coefficient (K) used to amend the Dividend Neutral Stock Futures contracts is calculated as follows:

                       

 

 

Pcum = Cum Price

Dord = amount of the ordinary dividend

Dext = amount of the extraordinary dividend

 

Corporate Actions

For more details on Corporate Actions treatment, please refer to the Corporate Action Policy of London Stock Exchange Derivatives Market- find out more.