MEFF, the Spanish Futures and Options Market operated by Bolsas y Mercados Españoles (BME) is to expand its product range with a new Futures contract based on the total amount of dividends in index points, paid by the companies that make up the IBEX 35 in a predetermined annual period.
The underlying index of this Futures contract is called IBEX 35 DIV IMPACT and is to be calculated and disseminated by BME of September 30th.
MEFF will launch the Future contract on October 14th.
UNDERLYING INDEX
The only dividends incorporated into the IBEX 35 DIV IMPACT are the ordinary and the calculation period goes from the third Friday of December of the previous year, excluding said day, until the third Friday of December of the current year, including this day.
The index’s figure will be published on a daily basis, which will be the result of adding the ordinary dividends paid by the companies since the starting point (the following day to the third Friday of the last December) to the calculation date.
Each payment is converted to index points based on the IBEX 35’s divisor on the payment date. For the calculation period, the series starts from 0 and grows as it incorporates real payments up to the expiry date.
EXPIRATION DATES
The expiration dates will be annual cycles and, in this Futures contract, a expiration date doesn’t incorporate the previous one, as is the case with the current Futures contracts.
Thus, the December 2009 expiration date comprises the period that goes from the third Friday of December 2008, excluded, to the third Friday of December 2009, included, and the December 2010 expiration date comprises the period that goes from the third Friday of December 2009, excluded, to the third Friday of December 2010, included.
MEFF will list 5 annual expiration dates, the same maximum term that is applied to the IBEX 35 Option contracts.
SETTLEMENT PRICE AT EXPIRATION
It will be the addition of gross ordinary dividends in index points paid by the companies and which have not been adjusted within the contract’s calculation period.
VARIATION MARGIN
Like for any other Futures, settlement of the variation margin will take place on a daily basis against the Daily Settlement Price which, as for other contracts, must reflect the market price of the contract in question.