MSCI Derivatives at Eurex Exchange

Transcription

1 MSCI Derivatives at Eurex Exchange Optimizing index investments with futures and options September 2015

2 Content Growing success of MSCI indexes Eurex Exchange s MSCI futures and options MSCI products development MSCI index derivatives typical use Advantages of Eurex Exchange s offering Comparing MSCI instruments Trade Entry Service & Flexible Contracts Orderbook liquidity in MSCI futures Fees Appendix MSCI index family & structure MSCI futures & options contract specs & U.S. approvals Market-Making scheme and revenue sharing Market Makers Broker list Contacts 2

3 In summary MSCI calculates over 150,000 indexes on a daily basis Eurex Exchange lists the majority of benchmarks used by fund managers worldwide Whilst there are liquid order books in a number of the major benchmarks, a number of the other regional and country specific contracts are more likely to be traded via the block trade facility These futures can be combined in such a way that clients can tailor a number of specific strategies, an example of this might be: An asset manager wishes to benchmark against MSCI ACWI ex Japan, whilst Eurex Exchange does not list this specific index future, the benchmark can be reached with the combination of the simultaneous purchase of MSCI EM and MSCI Kokusai futures contracts This adaptability, allied with the ability to use flexible trade terms, offers an exchange cleared surrogate for OTC total return swaps. 3

4 Growing success of MSCI indexes Development in three major steps Historically, MSCI has been the index provider of choice for the buy-side (fund managers, insurances, pension plans, endowments) seeking broad and reliable benchmarks to compare with their own performance and looking for tools to analyse risk and returns. 1. The growing success of indexation via ETFs and index swaps has brought MSCI further to the forefront of asset allocation, not only on the investment side, but also in trading. Globally, 40% of the ETF assets in equity ETFs are based on MSCI indexes. 2. With more providers of MSCI related ETFs, swaps and additional structures and a growing competition on pricing these, an increased need for cheap and efficient hedging tools (futures & options) arises. 3. MSCI estimates that about USD 9.5tn are benchmarked against their indexes 1. Around USD 385 bn are invested in equity ETFs based 2. on MSCI indexes In 2013 more than 33mn MSCI 2. Futures traded 4

5 A global approach with a focus on emerging markets Regional and country indexes listed at Eurex Exchange The world divided by development status: MSCI World = all Developed Markets MSCI EM = all Emerging Markets MSCI FM = all Frontier Markets Emerging M. divided by size & region: MSCI EM Latin America MSCI EM EMEA MSCI EM Asia MSCI EM single countries* Developed Markets by region: MSCI Europe MSCI Asia Pacific ex Japan MSCI DM single countries* * details see following slides 5

6 Launch schedule Eurex Exchange now covers a total of 47 MSCI futures and 15 MSCI options Launch date Products # Futures (Total) # Options (Total) Nov 2014 MSCI World Midcap, Kokusai, Pac ex Japan + DM & EM countries (F) Mar 2014 MSCI Europe, EM, World (Price) & EM, World (in EUR) (F&O) Oct 2013 MSCI Europe Value & Growth (F&O) Jul 2013 MSCI EM + subregions (each F&O) + EM countries (F) 26 8 Mar 2013 MSCI World, Europe, AC Asia Pac ex Japan (each F&O), Frontier (F) 6 4 Oct 2009 MSCI Japan (NTR) (F) 2 1 Jun 2008 MSCI Russia (Price) (F&O) 1 1 6

7 Contract specifications overview* MSCI index derivatives MSCI Index Futures MSCI Index Options Contract value 1, 10, 50, 100 or 1000 EUR, USD or GBP per index point Contract terms Up to 36 months (4 quarterly maturities + 4 semi-annual) Up to 5 years (for Europe, EM & World) Up to 2 years (for others) Minimum price change between 0.01 and 10 index points 0.01 or 0.1 index points Tick value 5, 10 or 25 1, 5 or 10 Settlement Final settlement price Final settlement day Last trading day Cash settlement Based on the closing index level on the last trading day of the maturity/expiration month Next Eurex trading day following the last trading day (to cover all index close levels) Third Friday of the maturity/expiration month** Continuous trading 08:00 22:00 CET 09:00 17:30 CET Eurex Trade Entry Service (TES) 08:00 22:00 CET 09:00 19:00 CET Eurex TES Flexible Contracts Eurex TES Minimum Block Trade size Trading calendar Available Differs per contract MSCI products will be tradable on each Eurex exchange day * See back-up for detailed contract specs ** Last trading has to be an exchange day at Eurex & home market (for country indices). As Egypt, Qatar & UAE are closed on Fridays, the last trading day for MSCI Egypt, Qatar & UAE is the Thursday before the third Friday 7

8 Monthly Contract Volume Open Interest MSCI Derivatives Optimizing index investments with futures and options September 2015 MSCI products volume and open interest 300, ,000 TES Orderbook Open Interest 180, , , , , , , ,000 80, ,000 60,000 50,000 40,000 20, * excluding Flexible Trades Flexible Options open interest: 110,000 contracts (May 2015) 8

9 MSCI products consistent volume growth 10,000 9,000 8,000 7,000 6,000 5,000 4,000 Average daily volume (double counted) Options World Options Europe Options EM Futures World Futures Others Futures Europe Futures EM 3,000 2,000 1,000 0 H1 H2 H1 H2 H

10 MSCI products trading details August 2015 Eurex MSCI Products Volumes & OI Products CurrencyIndex Type ID Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Open interest Futures on MSCI ACWI USD NTR FMAC , ,060 Futures on MSCI Asia-Pacific ex Japan USD NTR FMAS 1, , Futures on MSCI Australia USD NTR FMAU Futures on MSCI Chile USD NTR FMCL , Futures on MSCI China Free USD NTR FMCN , , ,349 Futures on MSCI Colombia USD NTR FMCO Futures on MSCI Czech Republic USD NTR FMCZ Futures on MSCI Emerging Markets Asia USD NTR FMEA Futures on MSCI Emerging Markets EMEA USD NTR FMEE Futures on MSCI Emerging Markets Ma USD Price FMEF Futures on MSCI Emerging Markets Lat. AmericaUSD NTR FMEL Futures on MSCI Emerging Markets USD NTR FMEM ,817 1, Futures on MSCI Emerging Markets EUR NTR FMEN ,116 2,944 1,328 Futures on MSCI Europe EUR Price FMEP Futures on MSCI Europe EUR NTR FMEU 25,390 16,884 21,727 81,800 17,462 10,715 40,610 6,138 12,265 30,452 17,906 15,170 20,446 Futures on MSCI Egypt USD NTR FMEY Futures on MSCI Greece EUR NTR FMGR Futures on MSCI Hong Kong USD NTR FMHK Futures on MSCI Hungary USD NTR FMHU Futures on MSCI Indonesia USD NTR FMID Futures on MSCI India USD NTR FMIN Futures on MSCI Japan USD NTR FMJP Futures on MSCI Kokusai USD GTR FMKG Futures on MSCI Kokusai USD NTR FMKN Futures on MSCI Mexico USD NTR FMMX Futures on MSCI Malaysia USD NTR FMMY ,240 Futures on MSCI New Zealand USD NTR FMNZ Futures on MSCI Philippines USD NTR FMPH Futures on MSCI Poland USD NTR FMPL Futures on MSCI Pacific ex J. USD NTR FMPX Futures on MSCI Qatar USD NTR FMQA Futures on MSCI Russia USD NTR FMRS 1, , , , Futures on MSCI Russia USD Price FMRU 14,503 1, , ,100 16, ,118 17,751 1,006 5,948 6,112 Futures on MSCI Thailand USD NTR FMTH Futures on MSCI UAE USD NTR FMUA Futures on MSCI UK GBP NTR FMUK , Futures on MSCI USA USD NTR FMUS Futures on MSCI World Midcap USD NTR FMWM , , , ,390 Futures on MSCI World EUR NTR FMWN 4,225 1,890 2,835 16,565 9,155 8,281 28,888 11,028 12,222 39,478 13,212 15,497 41,752 Futures on MSCI World USD NTR FMWO 19,129 23,485 22,796 33,017 21,356 11,562 42,311 7,139 8,916 32,205 9,592 13,261 14,508 Futures on MSCI World USD Price FMWP Futures on MSCI South Africa USD NTR FMZA Options on MSCI Emerging Markets Asia USD NTR OMEA ,230 1, ,200 Options on MSCI Em. Markets USD Price OMEF ,865 1,809 Options on MSCI Em. Markets USD NTR OMEM 1, ,631 7,722 7,386 2,624 3,580-2, ,735 16,258 Options on MSCI Em.Markets EUR NTR OMEN , Options on MSCI Europe EUR Price OMEP , , Options on MSCI Europe EUR NTR OMEU 3,250 1,500 2,250 4,750 5,000 2,000 3,250 2, ,500 Options on MSCI World EUR NTR OMWN ,350-2, ,350 1,350 Options on MSCI World USD NTR OMWO - - 4, ,530 5,500 2,700-14, ,500 Grand total 71,948 46,463 55, ,826 62,084 63, ,147 42,618 43, ,118 49,290 85, ,349 10

11 MSCI index derivatives typical use Hedging Sale of futures/buying of puts or collars to protect portfolio value. Portfolio beta / duration adjustment Region / country overlay Purchase/sale of equity index futures to adjust portfolio beta/duration. Purchase/sale of regional/country equity index futures to increase/decrease exposure to a region/country within the equity portfolio. Stock picking Sale of index futures against purchase of cash equity to isolate or mitigate market risk Cash equitization Transition management / tactical asset allocation Portfolio yield enhancement Reinvestment of coupon and dividend income and investment of new flows or funds generated via asset sales by purchasing equity index futures Sale of equity index and simultaneous purchase of bond futures to assist in the reallocation of funds from equities to bonds (or vice versa). 1. Sale of out-of-the-money (OTM) index calls, anticipating limited market upside. 2. Sale of OTM index puts anticipating limited market downside. 3. Sale of OTM index/bond calls and puts, anticipating range bound market conditions. 11

12 Advantages of Eurex Exchange s offering Trading Combination of orderbook and off-book trading Clearing Flexible Contracts & Trade Entry Services Strong support from on-screen Market Makers (banks as well as prop houses) CFTC approval for 16 broad-based indexes Asian, European & U.S. trading hours Transparent via Bloomberg, Reuters etc. Trading in and out with different market participants Harmonized & low trading & clearing fees MSCI futures and options Multilateral Trade Registration (MTR) Service allows processing of multilateral Block Trades Flexible Minimum Block Trade Sizes Migration of counterparty risk into CCPs Cross margining of MSCI Europe and World with DAX and EURO STOXX 50 Index contracts Collateral optimization (based on portfolio margining with introduction of Eurex Clearing Prisma) Trade at Index Close possible via late trade entry or early next morning Non-disclosure possible for very large trades, which then will be reflected in next days figures No paperwork as with total return swaps 12

13 Comparing delta 1 instruments Eurex Exchange s NTR futures as simple and efficient tools to get long or short market exposure with leverage and improved liquidity vs ETFs and no paperwork or counterparty risk vs TRS Delta 1 product summary Listed/OTC Counterparty risk Leverage Benefit from borrow Dividend risk Eurex Exchange s NTR Futures Listed Low Yes Yes No Forwards OTC Medium Yes Yes Yes Total return swaps OTC Medium Yes No No CFDs OTC Medium No No No Cash Listed Low No No No ETFs Listed Low No No No Certificates Listed High No No No Source: Bennett & Gil (2012) Volatility Trading 13

14 Flexible Futures contracts, an alternative to TRS Flexible Futures trades can be customized regarding: Maturity day*: choose any exchange trading day between the first trading day after the trade date and the last expiration date of the standardized futures series (for MSCI futures this can be out to 3 years) Flexible Options trades can be customized regarding: Exercise price: the selected exercise price can be defined above the highest exercise price of the corresponding regular options series or may be the lowest exercise price of an option (e.g. LEPOs). Maximum strikes for Flexible Options are limited to 2.5-times the highest available standard strike Expiration day*: choose any exchange day between the first trading day after the trade date and the last expiration date of the standardized option series Exercise style: select American or European *Since the publication of "official" closing prices from MSCI takes place after Eurex Exchange s market close, MSCI futures & options Flexible Contracts functionality requires that the expiration date is in fact defined as the next business day following the original expiration day agreed between counterparties, e.g. if counterparties would like to reference the 15 March closing price, then the following business day, 16 March should be used. 14

15 Other Eurex Trade Entry Services Exchange for Physicals (Index) Admitted underlying instruments (reporting transaction) Equity basket Exchange-traded index fund share Eurex futures (transaction creating a position) Eurex equity index futures Eurex equity index futures Exchange for Swaps the cash leg in EFS trades are equity index swaps these swaps are subject to certain Eurex clearing conditions such as: - swap payments have to be in an OECD currency - the swap must be subject to ISDA Master Agreement rules Vola Trade allows simultaneous "delta hedge" between parties involved in an option "volatility" strategy (locking volatility level of the trade), when the amount of "delta" generated by this strategy is smaller than the minimum block trade size Trade at Index Close whenever the next official closing price of the underlying index is available (or early next day, if index comes late) indicate that the trade is a Trade at Index Close and the basis agreed upon between two counterparties 15

16 MSCI futures order book trading Order book notional FMEU and FMWO: March 2015 The two products with broadest on-screen Market Making support at Eurex Exchange are the benchmark MSCI Europe and MSCI World Futures The spreads differ during the day, especially for MSCI World, which is normally tightest during U.S. hours Snapshot MSCI Europe (FMEU) Snapshot MSCI World (FMWO) Notional Volume Bid Offer Volume Notional 3,004, ,025,050 3,023, ,025,555 2,022, ,539,560 2,521, ,528,190 2,521, ,629,170 6,721, ,717, , , , ,127,500 99, ,910, Notional $ Volume Bid Offer Volume Notional $ 11,073, ,901,500 10,034, ,261,600 12,243, ,226,460 1,647, ,651,300 6,307, Market Makers are active Spread in MSCI Europe front contract typically 2-4 ticks wide (5-10 bps) 4-5 Market Makers are active Spread in MSCI World front contract typically 3-5 ticks wide (6-10 bps) 16

17 Orderbook liquidity in MSCI futures Eurex liquidity measure (ELM) The true liquidity of an orderbook is not only measured by the number of trades, but even more by the ability to process certain trades without major market impact. Eurex Exchange calculates the Eurex liquidity measure (ELM), whereby once every minute during the day the impact of a theoretical order is measured in terms of market impact, i.e. what is the spread one has to pay for an order of a certain size. Comparison ELM of MSCI World, Europe & STOXX Europe 600-Futures Even though the futures on STOXX Europe 600 (FXXP) has much more trades compared to MSCI Europe, the impact of a 3mn EUR order would be sometimes even less in MSCI Europe than in STOXX Europe 600 Futures. The MSCI World Futures has become more liquid from an orderbook perspective in the last couple of months. As of 14 April, one was able to trade a 3mn EUR order through the book on average with a cost between 10 and 15bps. 17

18 Fees Order book Trade Entry Service Threshold # of contracts Denomination Standard Reduced Standard Reduced A or P account USD MSCI Futures EUR GBP MSCI Options USD ,000 EUR ,000 18

19 Appendix 19

20 MSCI global index family Country coverage Based on the countries covered, MSCI is successfully offering a number of regional / markets indexes, like MSCI World, MSCI EM, MSCI Asia Pacific Americas Europe, Africa, Middle East Asia / Pacific Developed Markets Emerging Markets Canada U.S. Brazil, Chile, Colombia, Mexico, Peru Austria, Belgium, Danmark, Finland, France, Germany, Ireland, Israel, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, UK Czech Republic, Egypt, Greece, Hungary, Poland, Qatar, Russia, South Africa, Turkey, UAE Frontier Markets Argentina Bulgaria, Croatia, Estonia, Morocco, Lithuania, Kazakhstan, Romania, Serbia, Slovenia, Ukraine, Kenya, Mauritius, Nigeria, Tunesia, Bahrain, Jordan, Kuwait, Lebanon, Oman Australia, Hong Kong, Japan, New Zealand, Singapore China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan, Thailand Bangladesh, Pakistan, Sri Lanka, Vietnam 20

21 MSCI indexes structure MSCI All Countries World Index NDUEACWF <Index> China Free MSCNXNUS<Index> India NDEUSIA <Index> Indonesia NDEUINF <Index> MSCI Emerging Market Index NDUEEGF <Index> MSCI EM Asia Index NDUEEGFA <Index> MSCI EM Latin America Index NDUEEGFL <Index> MSCI World Index NDDUWI <Index> MSCI Europe Index NDDUE15 <Index> MSCI North America Index NDDUNA <Index> Australia NDDUAS <Index> New Zealand NDDUNZ <Index> Hong Kong NDDUHK <Index> Malaysia NDDUMAF <Index> MSCI EM EMEA Index NDDUEMEA <Index> MSCI Pacific Index NDDUP <Index> Japan NDDUJN <Index> Philippines NDEUPHF <Index> Thailand NDEUTHF <Index> Emerging Markets Developed Markets 21

22 Contract specifications Regional indexes Eurex Eurex Tick US Tick Initial Curren Index Index Code Code Multiplier Tick Value approv Tick Value Margin Market * Index name cy Type ** (realtime) Index (end of day) (Fut) (Opt) (F&O) (Fut) (Fut) ed (F) (Opt) (Opt) %*** DM MSCI Europe EUR NTR M7EU MSDEE15N Index FMEU OMEU DM MSCI Europe EUR Price MXEU MSEREURP Index FMEP OMEP DM MSCI Europe Growth EUR NTR M7EU000G MSGEUNTR Index FMEG OMEG DM MSCI Europe Value EUR NTR M7EU000V MSVEUNTR Index FMEV OMEV DM MSCI World USD NTR M1WO NDDUWI Index FMWO OMWO DM MSCI World USD Price MXWO MSDUWI Index FMWP OMWP DM MSCI World EUR NTR MBWO MSDEWIN Index FMWN OMWN DM MSCI World Midcap USD NTR M1WOMC MMDUWORN Index FMWM DM MSCI Kokusai USD NTR M1KO NDDUKOK Index FMKN DM MSCI Kokusai USD GTR M2KO GDDUKOK Index FMKG DM MSCI Pacific ex Japan USD NTR M1PCJ NDDUPXJ Index FMPX DM&EM MSCI AC Asia P ex Jp USD NTR M1APJ NDUECAPF Index FMAS OMAS DM&EM MSCI ACWI USD NTR M1WD NDUEACWF Index FMAC EM MSCI EM USD NTR M1EF NDUEEGF Index FMEM OMEM EM MSCI EM USD Price MXEF MSEUEGF Index FMEF OMEF EM MSCI EM EUR NTR MBEF MSDEEEMN Index FMEN OMEN EM MSCI EM Asia USD NTR M1MS NDUEEGFA Index FMEA OMEA EM MSCI EM EMEA USD NTR M1EE NDDUEMEA Index FMEE OMEE EM MSCI EM LatAm USD NTR M1LA NDUEEGFL Index FMEL OMEL FM MSCI Frontier USD NTR MX1FM MSEUFMSN Index FMFM * DM = Developed Markets / EM = Emerging Markets / FM = Frontier Markets ** NTR = Net total return / GTR = Gross total return / Price = Price return *** Initial margins calculated from market close 16 January 2015 All MSCI product information in one file 22

23 Contract specifications Country indexes (1) Market * Index name Curren Index Index cy Type ** (realtime) Index (end of day) Eurex Code (Fut) Eurex Code (Opt) Multiplier (F&O) Tick (Fut) Tick Value (Fut) US approv ed (F) DM MSCI Japan USD NTR M1JP NDDUJN Index FMJP DM MSCI UK GBP NTR M7GB M1GB Index FMUK DM MSCI USA USD NTR M1US NDDUUS Index FMUS DM MSCI Hong Kong USD NTR M1HK NDDUHK Index FMHK DM MSCI Australia USD NTR MBAU NDDUAS Index FMAU DM MSCI New Zealand USD NTR MBNZ NDDUNZ Index FMNZ EM MSCI Chile USD NTR M1CL NDEUSCH Index FMCL EM MSCI Colombia USD NTR M1CO NDEUSCO Index FMCO EM MSCI Peru USD NTR M1PE NDEUSPR Index FMPE EM MSCI Mexico USD NTR M1MX NDEUMXF Index FMMX EM MSCI Greece EUR NTR M7GR MSDEGYN Index FMGR EM MSCI Czech Rep USD NTR M1CZ NDEUSCZ Index FMCZ EM MSCI Egypt USD NTR M1EG NDEUSEG Index FMEY EM MSCI Hungary USD NTR M1HU NDEUSHG Index FMHU EM MSCI Poland USD NTR M1PL NDEUSPO Index FMPL EM MSCI Russia USD NTR M1RU NDEUSRU Index FMRS EM MSCI Russia USD Price MXRU MSEUSRUS Index FMRU OMRU Tick (Opt) Tick Value (Opt) Initial Margin %*** * DM = Developed Markets / EM = Emerging Markets / FM = Frontier Markets ** NTR = Net total return / GTR = Gross total return / Price = Price return *** Initial margins calculated from market close 16 January 2015 All MSCI product information in one file 23

24 Contract specifications Country indexes (2) Market * Index name Curren Index Index cy Type ** (realtime) Index (end of day) Eurex Code (Fut) Eurex Code (Opt) Multiplier (F&O) Tick (Fut) Tick Value (Fut) US approv ed (F) EM MSCI Qatar USD NTR M7QAR MGCUQAN Index FMQA EM MSCI UAE USD NTR M7AER MGCUAEN Index FMUA EM MSCI China Free USD NTR M1CNX MSCNXNUS Index FMCN EM MSCI India USD NTR M1IN NDEUSIA Index FMIN EM MSCI Malaysia USD NTR M1MY NDDUMAF Index FMMY EM MSCI Philippines USD NTR M1PH NDEUPHF Index FMPH EM MSCI Indonesia USD NTR M0ID NDEUINF Index FMID EM MSCI Thailand USD NTR M1TH NDEUTHF Index FMTH EM MSCI South Africa USD NTR M1ZA NDEUSSA Index FMZA FM MSCI Morocco USD NTR M1MA NDEUSMO Index FMMA Tick (Opt) Tick Value (Opt) Initial Margin %*** * DM = Developed Markets / EM = Emerging Markets / FM = Frontier Markets ** NTR = Net total return / GTR = Gross total return / Price = Price return *** Initial margins calculated from market close 16 January 2015 All MSCI product information in one file 24

25 MSCI main indexes cumulative index performance* Index Risk and Return Characteristics MSCI Frontier Markets MSCI Frontier Markets MSCI World MSCI Emerging Markets MSCI Europe Annualized std deviation (%) Sharpe ratio 30day 240day 360day 1y 3y 5y Annual performance (%) Year MSCI Frontier Markets MSCI World MSCI Emerging Markets MSCI Europe Index characteristics # comp MSCI World MSCI Emerging Markets Mrk cap (billions) 2,641 30, MSCI Europe Source: Bloomberg and own calculations MSCI Frontier Markets MSCI World MSCI Emerging Markets * as of April 15 MSCI Europe

26 Index types MSCI offers three different types of indexes MSCI calculates most of it s indexes in three different versions, depending on the way dividends are reinvested. 1) Price return indexes are not re-investing dividends 2) Net total return (NTR) indexes are reinvesting dividends, but subtracting national withholding taxes 3) Gross total return (GTR) indexes are reinvesting gross dividends, so ignoring tax reductions The community of MSCI index users is divided into two main groups: Buy-side clients use NTR indexes as their benchmarks and therefore prefer this index type for swap or futures transactions. This is clearly the bigger part of the market. The options community use price indexes, which is generally the common index version in derivatives markets. Price indexes include the dividend risk, which makes them more interesting from a trading perspective Listing either futures on NTR and options on price indexes (or in parallel even a second future on the price index as a hedging tool) will potentially split liquidity, confuse clients and create mistrades. Therefore, in the first step Eurex Exchange focused on NTR indexes, for both futures and options 26

27 Market Making and revenue sharing Market participants European hours 9am 5:30pm CET U.S. Hours 3:30pm 10pm CET European hours 9am 5:30pm CET cover 70 % of either one cover 85 % Futures 50% fee rebates Options 75% fee rebates DMM1 DMM2 Regional package Permanent MM Tighter spreads Lower min quote size Wider spreads (x3) Higher min quote size (x3) Quote at least ten out of the 20 regional MSCI futures Calls and puts in five strike prices DMM1 min quote sizes 30% revenue sharing (fees minus rebates) 10% equally 20% pro-rata on M account (orderbook) 15% revenue sharing (fees minus rebates) 5% equally 10% pro-rata on all accounts (on+offbook) 15% revenue sharing (fees minus rebates) evenly distributed among all qualifying MMs DMM1 spread and quote size some futures are obligatory 30% revenue sharing (fees minus rebates) 10% equally 20% pro-rata on all accounts (on+offbook) Max. 8 MMs per product per month Max. 5 MMs per product per month Max. 8 MMs per month Max. 5 MMs per product per month See Eurex circular 190/14 See Eurex circular 043/15 See Eurex circular 190/14 27

28 Europe World Asia Pac. ex Jp Japan Regional Countries Regional MSCI Derivatives Optimizing index investments with futures and options September 2015 MSCI derivatives orderbook trading List of Designated Market Makers in MSCI futures at Eurex Exchange Developed Emerging Fronti er Member Contact Tel Barak Capital Uri Peles BNP Paribas BNP Trading Credit Suisse Andre Lamazouade DRW Investments (UK) Ltd. Steven Hamilton Flow Traders Sjoerd Rietberg HSBC Bank plc Stephane Labidurie Optiver Maarten Botman Societe Generale Mathieu Besnard Susquehanna Dara Hayes

29 MSCI derivatives off-book trading Broker list See the complete Eurex MSCI derivatives Broker list 29

30 Further information Contact us Global Product R&D Sales UK Sales Switzerland & Italy Ralf Huesmann T: +49 (0) [email protected] Nicolae Raulet T: +49 (0) [email protected] James Brown T: +44 (0) [email protected] Murat Baygeldi T: +44 (0) [email protected] Vincenzo Zinnà T: +41 (0) F: +41 (0) [email protected] Sales Germany Sales Americas Sales France Lothar Kloster T: +49 (0) F: +49 (0) [email protected] Vassilis Vergotis T: F: [email protected] Nicolas Kageneck T: +33 (0) F: +33 (0) [email protected] Sales Asia & Middle East Stefan Morgenstern T: F: [email protected] 30

31 Further information MSCI page: MSCI contract specs and vendor codes: All MSCI product information in one file Eurex Trade Entry Services: Eurex Clearing: 31

32 Eurex 2015 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. 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Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50 Index Futures, EURO STOXX 50 ex Financials Index Futures, EURO STOXX Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX Europe 50 Index Futures, STOXX Europe 600 Index Futures, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 Index SM Futures (EUR & USD), DAX /MDAX /TecDAX Futures, SMIM Futures, SLI Swiss Leader Index Futures, MSCI World/Europe/Japan/AC Asia Pacific ex Japan Index Futures and VSTOXX Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives). Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy Wizard SM, Euro GC Pooling, FDAX, FWB, GC Pooling,, GCPI, MDAX, ODAX, SDAX, TecDAX, USD GC Pooling, VDAX, VDAX-NEW and Xetra are registered trademarks of DBAG. Phelix Base and Phelix Peak are registered trademarks of European Energy Exchange AG (EEX). All MSCI indexes are service marks and the exclusive property of MSCI Barra. RDX is a registered trademark of Vienna Stock Exchange AG. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI, SMI and SMIM are registered trademarks of SIX Swiss Exchange AG. The STOXX indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Dow Jones, Dow Jones Global Titans 50 Index SM and Dow Jones Sector Titans Indexes SM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity Index SM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products. 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