2020-06-26
Introduction of Gross Return Futures and Forwards on Single Stocks
Nasdaq Derivatives Markets will introduce Gross Return Futures and Forwards
(GRF) on Single Stocks covering Sweden, Norway, Denmark and Finland with a
tentative go live in September 2020 pending regulatory review and member
readiness.
GRFs are adjusted for all dividends (price reduction of gross dividend amount)
that are paid during the lifetime of the contract. Accordingly, GRFs are
suitable for synthetic equity exposures reflecting the stock performance
without any implied dividend risk.
Forwards and Futures style contracts with physical delivery at expiration will
be offered, both as standardized and flexible contracts, while cash settled
contracts will be offered for flexibles only.
In Genium INET, the GRFs will be differentiated from the regular
Forwards/Futures by the series designation and product IDs.
Contract specification
The relevant contract specification will be published in chapter 3(ii) of the
Exchange and Clearing Rules of Nasdaq Derivatives Markets and will deviate from
existing Stock Futures and Forwards in respect of adjustments of dividends and
distributions (chapter 3.5 section 3.6.1). The contracts will be adjusted for
all dividends, ordinary and extraordinary, using the re-calculation method
'Reduction in strike prices method' (chapter 3.5, section 2.3).
Gross Return Futures and Gross Return Forwards
--------------------------------------------------------------------------------
-
Type of contract Futures contract with daily cash settlement and a Forward
contract, each with physical delivery at expiration
--------------------------------------------------------------------------------
Currency SEK, DKK, NOK or EUR depending on the underlying stock
--------------------------------------------------------------------------------
Underlying Instrument Swedish, Danish, Finnish and Norwegian stocks as accepted
from time to time by Nasdaq Derivatives Markets
--------------------------------------------------------------------------------
Contract base in Same as existing single stock Forwards/Futures
Genium INET
("ticker")
--------------------------------------------------------------------------------
Contract size Same as existing single stock Forwards/Futures
--------------------------------------------------------------------------------
Dividend Adjustment Reduction in Strike method (contract size unchanged)
Method
--------------------------------------------------------------------------------
Contract term Same as existing single stock Forwards/Futures
--------------------------------------------------------------------------------
Tick size Same as existing single stock Forwards/Futures
--------------------------------------------------------------------------------
Expiration day Third Friday of the expiration month (exceptions may
apply)
--------------------------------------------------------------------------------
Final settlement day The second Swedish, Danish, Finnish or Norwegian Bank
Day following the Expiration Day
--------------------------------------------------------------------------------
Flexible contracts Supported
--------------------------------------------------------------------------------
Product ID
Segment Instrument Instrument
code
--------------------------------------------------------------------------------
Standardized GRF Future - Stock products - physical G
contracts delivery
--------------------------------------------------------------------------------
Standardized GRF Forward H
contracts
--------------------------------------------------------------------------------
Flexible contracts GRF Future - Stock products - physical I
delivery - flexible
--------------------------------------------------------------------------------
Flexible contracts GRF Forward - Stock products - physical J
delivery - flexible
--------------------------------------------------------------------------------
Flexible contracts GRF Future - Stock products - cash delivery - K
flexible
--------------------------------------------------------------------------------
Flexible contracts GRF Forward - Stock products - cash delivery - L
flexible
--------------------------------------------------------------------------------
Instrument Type/Group valid for production and test
Instrument Types Description Market Group Group Code
------------------------------------------------------------------------
DASFG DANISH STOCK GR FUTURE DEL DAS FUT 4
------------------------------------------------------------------------
NOSFG NORWEGIAN STOCK GR FORWARD NOS FWD 58
------------------------------------------------------------------------
NOSUG NORWEGIAN STOCK GR FUTURE NOS FUT 4
------------------------------------------------------------------------
SESFG SWEDISH STOCK GR FORWARD SES FWD 58
------------------------------------------------------------------------
SESUG SWEDISH STOCK GR FUTURE SES FUT 4
------------------------------------------------------------------------
HXRFG FINNISH STOCK GR ON REQ FWD HXSOR FWD 58
------------------------------------------------------------------------
Name Standard for the Gross Return Futures on Single Stocks
Number 3 will be added in front of short names for Single Stock Gross Return
Forwards and number 4 for Gross Return Futures, example below:
Existing single stock Forwards/Futures:
-- VOLVB0X
-- VOLVB0L
Gross return Forwards/Futures:
-- 3
VOLVB0X (Forwards)
-- 4
VOLVB0L (Futures)
Margin parameter and margin netting
The same margin methodology will apply for GRFs as for the regular single stock
forwards/futures contracts. There will be margin offset between the Gross
Return Futures and the standard single stock futures/forwards on the same
underlying stock.
For further information on margining and netting, please visit
https://www.nasdaq.com/solutions/nasdaq-clearing-counterparty-risk-management
Member testing
GRFs will be available for testing in Genium INET External Test System 1 (EXT1)
as of Monday, June 29th. Sample instruments for the below underlyings will be
available.
Danish Market (GR Futures) - Novo Nordisk (NOVOB)
Finnish Market (GR Forwards) - Outokumpu (OUT1V3)
Norwegian Market (GR Forwards and Futures) - Equinor (EQNR)
Swedish Market (GR Forwards and Futures) - Volvo (VOLVB) and Essity (ESSITB)
Instrument series Instrument class ISIN Expiration ProdID
---------------------------------------------------------------------
3OUT1V30S OUT1V3GFO SE0213238720 2020-07-17 HOUT1V
---------------------------------------------------------------------
3OUT1V30T OUT1V3GFO SE0213238738 2020-08-21 HOUT1V
---------------------------------------------------------------------
3OUT1V30U OUT1V3GFO SE0213238746 2020-09-18 HOUT1V
---------------------------------------------------------------------
3OUT1V30X OUT1V3GFO SE0213238753 2020-12-18 HOUT1V
---------------------------------------------------------------------
4NOVOB0G NOVOBGFU SE0213238506 2020-07-17 GNOVOB
---------------------------------------------------------------------
4NOVOB0H NOVOBGFU SE0213238514 2020-08-21 GNOVOB
---------------------------------------------------------------------
4NOVOB0I NOVOBGFU SE0213238522 2020-09-18 GNOVOB
---------------------------------------------------------------------
4NOVOB0L NOVOBGFU SE0213238530 2020-12-18 GNOVOB
---------------------------------------------------------------------
4NOVOB1C NOVOBGFU SE0213238548 2021-03-19 GNOVOB
---------------------------------------------------------------------
4NOVOB1F NOVOBGFU SE0213238555 2021-06-18 GNOVOB
---------------------------------------------------------------------
4EQNR0G EQNRGFU SE0213238647 2020-07-17 GEQNR
---------------------------------------------------------------------
4EQNR0H EQNRGFU SE0213238654 2020-08-21 GEQNR
---------------------------------------------------------------------
4EQNR0I EQNRGFU SE0213238662 2020-09-18 GEQNR
---------------------------------------------------------------------
4EQNR0L EQNRGFU SE0213238670 2020-12-18 GEQNR
---------------------------------------------------------------------
4EQNR1C EQNRGFU SE0213238688 2021-03-19 GEQNR
---------------------------------------------------------------------
4EQNR1F EQNRGFU SE0213238696 2021-06-18 GEQNR
---------------------------------------------------------------------
4EQNR1L EQNRGFU SE0213238704 2021-12-17 GEQNR
---------------------------------------------------------------------
4EQNR2F EQNRGFU SE0213238712 2022-06-17 GEQNR
---------------------------------------------------------------------
3EQNR0S EQNRGFO SE0213238563 2020-07-17 HEQNR
---------------------------------------------------------------------
3EQNR0T EQNRGFO SE0213238571 2020-08-21 HEQNR
---------------------------------------------------------------------
3EQNR0U EQNRGFO SE0213238589 2020-09-18 HEQNR
---------------------------------------------------------------------
3EQNR0X EQNRGFO SE0213238597 2020-12-18 HEQNR
---------------------------------------------------------------------
3EQNR1O EQNRGFO SE0213238605 2021-03-19 HEQNR
---------------------------------------------------------------------
3EQNR1R EQNRGFO SE0213238613 2021-06-18 HEQNR
---------------------------------------------------------------------
3EQNR1X EQNRGFO SE0213238621 2021-12-17 HEQNR
---------------------------------------------------------------------
3EQNR2R EQNRGFO SE0213238639 2022-06-17 HEQNR
---------------------------------------------------------------------
4VOLVB1L VOLVBGFU SE0213238415 2021-12-17 GVOLVB
---------------------------------------------------------------------
4VOLVB1F VOLVBGFU SE0213238407 2021-06-18 GVOLVB
---------------------------------------------------------------------
4VOLVB1C VOLVBGFU SE0213238399 2021-03-19 GVOLVB
---------------------------------------------------------------------
4VOLVB0L VOLVBGFU SE0213238381 2020-12-18 GVOLVB
---------------------------------------------------------------------
4VOLVB0I VOLVBGFU SE0213238373 2020-09-18 GVOLVB
---------------------------------------------------------------------
4VOLVB0H VOLVBGFU SE0213238365 2020-08-21 GVOLVB
---------------------------------------------------------------------
4VOLVB0G VOLVBGFU SE0213238357 2020-07-17 GVOLVB
---------------------------------------------------------------------
3VOLVB1X VOLVBGFO SE0213238498 2021-12-17 HVOLVB
---------------------------------------------------------------------
3VOLVB1R VOLVBGFO SE0213238480 2021-06-18 HVOLVB
---------------------------------------------------------------------
3VOLVB1O VOLVBGFO SE0213238472 2021-03-19 HVOLVB
---------------------------------------------------------------------
3VOLVB0X VOLVBGFO SE0213238464 2020-12-18 HVOLVB
---------------------------------------------------------------------
3VOLVB0U VOLVBGFO SE0213238456 2020-09-18 HVOLVB
---------------------------------------------------------------------
3VOLVB0T VOLVBGFO SE0213238449 2020-08-21 HVOLVB
---------------------------------------------------------------------
3VOLVB0S VOLVBGFO SE0213238431 2020-07-17 HVOLVB
---------------------------------------------------------------------
4ESSITB1L ESSITBGFU SE0213238258 2021-12-17 GESSIT
---------------------------------------------------------------------
4ESSITB1F ESSITBGFU SE0213238241 2021-06-18 GESSIT
---------------------------------------------------------------------
4ESSITB1C ESSITBGFU SE0213238233 2021-03-19 GESSIT
---------------------------------------------------------------------
4ESSITB0L ESSITBGFU SE0213238225 2020-12-18 GESSIT
---------------------------------------------------------------------
4ESSITB0I ESSITBGFU SE0213238217 2020-09-18 GESSIT
---------------------------------------------------------------------
4ESSITB0H ESSITBGFU SE0213238209 2020-08-21 GESSIT
---------------------------------------------------------------------
4ESSITB0G ESSITBGFU SE0213238191 2020-07-17 GESSIT
---------------------------------------------------------------------
3ESSITB1X ESSITBGFO SE0213238332 2021-12-17 HESSIT
---------------------------------------------------------------------
3ESSITB1R ESSITBGFO SE0213238324 2021-06-18 HESSIT
---------------------------------------------------------------------
3ESSITB1O ESSITBGFO SE0213238316 2021-03-19 HESSIT
---------------------------------------------------------------------
3ESSITB0X ESSITBGFO SE0213238308 2020-12-18 HESSIT
---------------------------------------------------------------------
3ESSITB0U ESSITBGFO SE0213238290 2020-09-18 HESSIT
---------------------------------------------------------------------
3ESSITB0T ESSITBGFO SE0213238282 2020-08-21 HESSIT
---------------------------------------------------------------------
3ESSITB0S ESSITBGFO SE0213238274 2020-07-17 HESSIT
---------------------------------------------------------------------
For further information concerning GRFs, please contact your Nasdaq
representative below.
For product related questions, please contact:
Jari Elo Håkan Walden
Product Manager, Equity Derivatives Product Manager, Equity
Derivatives
jari.elo@nasdaq.com
hakan.walden@nasdaq.com
+358 9 6166 7275 +46 8 405 7170
For technical questions, please contact:
Technical Support
technicalsupport@nasdaq.com
+46 8 405 6750
For general questions concerning this notice, please contact:
Technical Relations
Anders Bergström
anders.bergstrom@nasdaq.com
+46 8 405 7364
Attachment:
https://cns.omxgroup.com/cds/DisclosureAttachmentServlet?messageAttachmentId=781903© 2020 GlobeNewswire
