Trading TA-25 Index Futures at Eurex

Transcription

1 Trading TA-25 Index Futures at Eurex Product cooperation between The Tel Aviv Stock Exchange and Eurex Exchange August 2015

2 Advantages of the TA-25 Index Future at a glance Cost efficient Market Access and Currency Hedge Easy and cost efficient market access to Israel s main blue chips index TA-25 Index The TA-25 Index Future is denominated in USD and constructed as a Quanto product meaning no additional currency risk against the Israeli shekel from a USD-Investor perspective Market Access during Israeli, European and US trading hours: Israeli Local Time: 09:00 23:00 European Local Time (CET): 08:00 22:00 U.S. Eastern Time Zone (EST): 02:00 16:00 No other domestic futures contract available, only synthetic market through index calls and puts Approval from U.S. Commodity Trading Commission (CFTC) in September

3 Product cooperation Tel Aviv Stock Exchange - Eurex Partnership with local market and product know how Tel Aviv Stock Exchange (TASE) central order book access to a wide range of Israeli products clearing, settlement and depository services 622 companies (incl. 60 dual listed abroad, 130 debt/etn issuers) 550 ETNs (180 Israeli and global index ETNs) TASE TA-25 index Israel s blue chip index one of the most heavily traded global equity index options. USD 150 billion market capitalization average daily volume TA-25 index options in 2013: 190,000 contracts The Eurex TA-25 index futures was launched 9 th of June

4 Israeli economy at glance Strong development of key indicators Upgraded to Developed Market by MSCI in 2010 MSCI World Index weight of 0.4% similar to Denmark & Belgium 2013 GDP per capita approx. $36,000 (24 th ) Favorable demographics young and growing High credit rankings of Israeli sovereign debt (AA-) Well-capitalized banking sector (Basel III) Well diversified economy with focus on healthcare, high-tech, bio-tech, defense-tech and agri-tech Source: Bloomberg Source: Bloomberg Source: Bloomberg 4

5 TA-25 index characteristics Low correlation vs main indices Israel s blue chip index comprising the 25 most liquid Israeli companies listed at TASE by market capitalisation The TA-25 is a performance index Index review occurs twice a year on June 15 and December 15 7 stocks dual/listed at NYSE and Nasdaq Number of constituents: 25 Weight cap: 10% Minimum free float rate: 25% Bloomberg: TA-25 Index Reuters:.TA25 TEL AVIV 25 TEL AVIV Two Year Correlations (Feb Feb 2014) MSCI EM MSCI MSCI EM MSCI WORLD EURO STOXX 50 WORLD EURO STOXX DAX 30 DAX MSCI ISRAEL MSCI ISRAEL S&P 500 S&P Source: Bloomberg 5

6 S&P500 & TA-25 index level EURO STOXX 50 index level Trading TA-25 Index Future at Eurex August 2015 Long term performance TA-25 Index MSCI upgrade to Developed Market transition period of stagnation and negative portfolio flows EM investors had to exit the market and DM investors penetrate at a slower pace Implementing restrictions on business pyramids and forcing separation of financial and non-financials holdings 2,000 6,000 1,800 1,600 MSCI upgrade 5,000 1,400 4,000 1,200 1,000 3, EU sovereign crisis 2,000 1, Dotcom bubble Global financial crisis 0 TA-25 Index S&P 500 EURO STOXX 50 6

7 5-year performance currency hedged Currency hedge led to lower overall volatility and higher yield p.a. from a USD investor perspective 1,600 1,500 1,400 1,300 5 year performance TA-25 Index Quanto USD TA-25 Index Composite USD Yield p.a. 5.05% 4.42% 360d Vol 9.29% 11.43% 1,200 1,100 1, /09 12/10 12/11 12/12 12/13 12/14 TA-25 Index TA-25 Index (USD composite) Source: Bloomberg 7

8 Index composition and weighting* Company (Bold: Dual listed stocks) Ticker Index weight Company (Bold: Dual listed stocks) Ticker Index weight TEVA TEVA DELEK GROUP DLEKG LEUMI LUMI ORA ORA PERRIGO PRGO AZRIELI GROUP AZRG POALIM POLI PAZ OIL PZOL NICE NICE GAZIT GLOBE GZT BEZEQ BEZQ ISRAEL CORP ILCO OPKO HEALTH OPK AVNER L AVNR.L ICL ICL DELEK DRILL L DEDR.L ELBIT SYSTEMS ESLT STRAUSS GROUP STRS ISRAMCO L ISRA.L FIBI BANK FTIN DISCOUNT DSCT OSEM OSEM FRUTAROM FRUT MELISRON MLSR MIZRAHI TEFAHOT MZTF *as of August

9 TA-25 Index Future New investment opportunity for the Israeli market The new Eurex TA-25 index future Offers new hedging opportunities Expand arbitrage opportunities with the market for synthetics Access to Israel for international market participants Quanto-style futures, i.e. listed in U.S. Dollars, while the underlying index and index options trade in Israeli New Shekel (see back-up slides) Trading will be possible on any regular Eurex trading day from Monday until Friday Trading hours will cover Israeli, European and U.S. market hours The Final Settlement Prices (index level) for both options and futures traded at TASE as well as for futures at Eurex will be identical and based on the opening prices of the shares included in the TA-25 index Maturity is on the same day as on TASE, unless it is not an Eurex exchange day, then it will mature on the next trading day according to TASE settlement prices 9

10 Your advantages trading TA-25 Index Future at Eurex New investment opportunity for the Israeli market Exposure to the fast growing Israeli economy with focus on high tech industries Hedge against regional risk exposure and expanded arbitrage opportunities with local option market Liquidity Local know-how and liquidity transfer through committed market makers International access access to Israeli exposure through the Eurex network globally Trading hours Aligned with international markets The futures are tradable from Monday through Friday Covering European and US trading hours completely, as well as part of Asian trading hours Data distribution through Bloomberg, Reuters and other data vendors. Currency hedged investment for USD-based investors Eurex provides one of the most sophisticated fully-electronic trading environments 10

11 Contract specifications for TA-25 Index Futures (FT25) Product Type Quanto Index version in USD Underlying TA-25 Index (ILS-version) Contract value USD 25 per index point (~ USD 30,000) Currency USD Contract months Tick size (Minimum price change) Last trading day Final settlement price and final settlement day Daily settlement price Settlement The three nearest successive calendar months 0.5 points; equivalent to a value of USD 12.5 The Wednesday before the last Friday of the maturity month The final settlement price is based on the opening prices of the shares included in the TA- 25 Index ILS-version on the TASE last trading day before the last Friday of the maturity month (usually Thursday). In case the maturity date at TASE occurs on a Eurex holiday, the Eurex futures will expire on the first available trading day at Eurex according to TASE s settlement price. Set according to Eurex rules Cash settlement Position limits 20,000 contracts Trading hours 08:30 a.m. 10:00 p.m. CET Trading days Mon-Fri on regular Eurex trading days. Services Trade Entry Available Vendor codes Bloomberg: TUAA Index Thomson-Reuters: <0#FT25:> 11

12 Designated Market Making scheme and pricing TA-25 Index Futures (USD) Minimum quote size 20 contracts on the bid and ask side. All maturities (up to 3 months) Maximum spread 0.50% Quotation period Fast market conditions Designated Market Maker rebates 75 percent of the trading period from 8:30 a.m. to 4:35 p.m. (CET) on a monthly average Maximum spreads will be increased by 100% Minimum quote size will be reduced by 50% Fulfilling the obligations in a given month translates into a rebate of 80% for all transactions in the M-account (both order book and OTC transactions) TA-25 Equity Index Futures (per contract) Order book Trade Entry services Designated Market Maker rebate 0.30 USD 0.45 USD 80% on all transactions on the M-account, depending on monthly fulfilment of the Designated Market Maker requirements 12

13 Further information Contact us Product Development Sales UK Sales Zurich Tobias Ehinger Eurex Frankfurt AG Mergenthalerallee Eschborn Germany T: +49 (0) F: +49 (0) tobias.ehinger@eurexchange.com Murat Baygeldi Deutsche Börse AG / Eurex, UK Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom T: +44 (0) F: +44 (0) murat.baygeldi@eurexchange.com Philipp Schultze Eurex Zürich AG Löwenstrasse Zürich Switzerland T: +41 (0) F: +41 (0) philipp.schultze@eurexchange.com Sales Frankfurt Sales Americas Sales Paris Paul Beck Eurex Frankfurt AG Mergenthalerallee Eschborn Germany T: +49 (0) F: +49 (0) paul.beck@eurexchange.com Sales Asia & Middle East Vassilis Vergotis Eurex 233 South Wacker Drive - Suite 2450 Chicago, IL USA T: F: vassilis.vergotis@eurexchange.com Nico Kageneck Deutsche Börse AG, Representative Office France 17, rue de Surène Paris France T: +33 (0) F: +33 (0) nico.kageneck@eurexchange.com Eurex Frankfurt AG 50 Raffles Place No Singapore Land Tower Singapore T: F: roland.schwinn@eurexchange.com 13

14 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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