ta-25 index futures at eurex - eurex exchange€¦ · the tel aviv stock exchange and eurex...
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Trading TA-25 Index Futures at Eurex Product cooperation between
The Tel Aviv Stock Exchange and Eurex Exchange
August 2015
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Trading TA-25 Index Future at Eurex August 2015
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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 2014
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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 9th of June 2014.
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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 (24th)
• 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
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TA-25 index characteristics Low correlation vs main indices
Source: Bloomberg
• 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
Two Year Correlations (Feb 2012 - Feb 2014)
TEL
AVIV 25 MSCI EM
MSCI
WORLD
EURO
STOXX
50 DAX 30
MSCI
ISRAEL S&P 500
TEL
AVIV 25 1.000
MSCI EM 0.435 1.000
MSCI
WORLD 0.441 0.677 1.000
EURO
STOXX
50 0.487 0.566 0.808 1.000
DAX 30 0.511 0.612 0.807 0.937 1.000
MSCI
ISRAEL 0.624 0.320 0.334 0.319 0.342 1.000
S&P 500 0.381 0.461 0.901 0.661 0.651 0.215 1.000
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Long term performance TA-25 Index
0
1,000
2,000
3,000
4,000
5,000
6,000
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
EU
RO
ST
OX
X 5
0 i
nd
ex l
ev
el
S&
P500 &
TA
-25 i
nd
ex l
ev
el
TA-25 Index S&P 500 EURO STOXX 50
Global financial crisis
EU sovereign crisis
MSCI
upgrade
Dotcom bubble
• 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
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5-year performance currency hedged
TA-25 Index
Quanto USD
TA-25 Index
Composite
USD
Yield p.a. 5.05% 4.42%
360d Vol 9.29% 11.43%
800
900
1,000
1,100
1,200
1,300
1,400
1,500
1,600
12/09 12/10 12/11 12/12 12/13 12/14
5 year performance
TA-25 Index TA-25 Index (USD composite)
Source: Bloomberg
• Currency hedge led to lower overall volatility and higher yield p.a. from a USD investor perspective
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Index composition and weighting*
Company (Bold: Dual listed stocks)
Ticker Index weight Company
(Bold: Dual listed stocks) Ticker Index weight
TEVA TEVA 11.35932 DELEK GROUP DLEKG 2.34851
LEUMI LUMI 9.97644 ORA ORA 2.30013
PERRIGO PRGO 9.61497 AZRIELI GROUP AZRG 2.0105
POALIM POLI 9.46608 PAZ OIL PZOL 2.00715
NICE NICE 6.49616 GAZIT GLOBE GZT 1.94646
BEZEQ BEZQ 6.38579 ISRAEL CORP ILCO 1.803
OPKO HEALTH OPK 5.92406 AVNER L AVNR.L 1.80071
ICL ICL 5.85408 DELEK DRILL L DEDR.L 1.20295
ELBIT SYSTEMS ESLT 3.36207 STRAUSS GROUP STRS 1.12684
ISRAMCO L ISRA.L 3.22914 FIBI BANK FTIN 1.00727
DISCOUNT DSCT 3.20226 OSEM OSEM 0.88605
FRUTAROM FRUT 3.0734 MELISRON MLSR 0.88148
MIZRAHI TEFAHOT MZTF 2.73518 *as of August 2015
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TA-25 Index Future
• 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
New investment opportunity for the Israeli market
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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
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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 The three nearest successive calendar months
Tick size (Minimum price
change) 0.5 points; equivalent to a value of USD 12.5
Last trading day The Wednesday before the last Friday of the maturity month
Final settlement price and
final settlement day
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.
Daily settlement price Set according to Eurex rules
Settlement 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:>
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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 75 percent of the trading period from 8:30 a.m. to 4:35 p.m. (CET) on a
monthly average
Fast market conditions Maximum spreads will be increased by 100% Minimum quote size will be reduced by 50%
Designated Market Maker rebates 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 0.30 USD
Trade Entry services 0.45 USD
Designated Market Maker rebate 80% on all transactions on the M-account, depending on monthly fulfilment of
the Designated Market Maker requirements
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Further information Contact us
Product Development Sales UK Sales Zurich
Tobias Ehinger Eurex Frankfurt AG Mergenthalerallee 61 65760 Eschborn Germany T: +49 (0)69 2 11-1 23 13 F: +49 (0)69 2 11-61 54 43 [email protected]
Murat Baygeldi Deutsche Börse AG / Eurex, UK Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom T: +44 (0)207 8 62-72 30 F: +44 (0)207 8 62-92 30 [email protected]
Philipp Schultze Eurex Zürich AG Löwenstrasse 3 8021 Zürich Switzerland T: +41 (0)43 43 0-71 26 F: +41 (0)43 43 0-72 90 [email protected]
Sales Frankfurt Sales Americas Sales Paris
Paul Beck Eurex Frankfurt AG Mergenthalerallee 61 65760 Eschborn Germany T: +49 (0)69 2 11-1 20 42 F: +49 (0)69 2 11-1 44 77 [email protected]
Vassilis Vergotis Eurex 233 South Wacker Drive - Suite 2450 Chicago, IL 60606 USA T: +1 312 5 44-10 58 F: +1 312 5 44-15 58 [email protected]
Nico Kageneck
Deutsche Börse AG, Representative Office France
17, rue de Surène
75008 Paris
France
T: +33 (0)155 2 76-7 76
F: +33 (0)155 2 76-7 50
Sales Asia & Middle East
Eurex Frankfurt AG
50 Raffles Place
No. 21-05 Singapore Land Tower
Singapore 048623
T: +65 630 4-52 52
F: +65 630 4-52 80
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