Trading TA-25 Index Futures
at Eurex
Product cooperation between
The Tel Aviv Stock Exchange and Eurex Exchange
August 2015
August 2015
Trading TA-25 Index Future at Eurex
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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August 2015
Trading TA-25 Index Future at Eurex
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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August 2015
Trading TA-25 Index Future at Eurex
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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August 2015
Trading TA-25 Index Future at Eurex
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
Two Year Correlations (Feb 2012 - Feb 2014)
TEL
MSCI
MSCI EM
AVIV 25
WORLD
EURO
STOXX
50
DAX 30
MSCI
S&P 500
ISRAEL
TEL
AVIV 25
1.000
MSCI EM
0.435
1.000
0.441
0.677
1.000
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
MSCI
WORLD
EURO
STOXX
50
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1.000
Source: Bloomberg
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August 2015
Trading TA-25 Index Future at Eurex
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
S&P500 & TA-25 index level
1,400
5,000
4,000
1,200
1,000
3,000
800
2,000
600
EU sovereign crisis
400
1,000
200
Global financial crisis
Dotcom bubble
0
0
TA-25 Index
S&P 500
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EURO STOXX 50
6
EURO STOXX 50 index level
MSCI
upgrade
1,600
August 2015
Trading TA-25 Index Future at Eurex
5-year performance currency hedged
• Currency hedge led to lower overall volatility and higher yield p.a. from a USD investor perspective
5 year performance
1,600
TA-25 Index
Quanto USD
1,500
1,400
TA-25 Index
Composite
USD
Yield p.a.
5.05%
4.42%
360d Vol
9.29%
11.43%
1,300
1,200
1,100
1,000
900
800
12/09
12/10
TA-25 Index
12/11
12/12
12/13
12/14
TA-25 Index (USD composite)
Source: Bloomberg
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August 2015
Trading TA-25 Index Future at Eurex
Index composition and weighting*
Company
(Bold: Dual listed stocks)
Ticker
TEVA
TEVA
LEUMI
LUMI
PERRIGO
Index weight
Company
(Bold: Dual listed stocks)
11.35932 DELEK GROUP
Ticker
Index weight
DLEKG
2.34851
9.97644 ORA
ORA
2.30013
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
MLSR
0.88148
MIZRAHI TEFAHOT
MZTF
3.0734 MELISRON
2.73518
*as of August 2015
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August 2015
Trading TA-25 Index Future at Eurex
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
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9
August 2015
Trading TA-25 Index Future at Eurex
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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August 2015
Trading TA-25 Index Future at Eurex
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 TA25 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
Vendor codes
Available
Bloomberg: TUAA Index
Thomson-Reuters: <0#FT25:>
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August 2015
Trading TA-25 Index Future at Eurex
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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12
August 2015
Trading TA-25 Index Future at Eurex
Further information
Contact us
Product Development
Sales UK
Sales Zurich
Tobias Ehinger
Murat Baygeldi
Philipp Schultze
Eurex Frankfurt AG
Mergenthalerallee 61
65760 Eschborn
Germany
Deutsche Börse AG / Eurex, UK Representative Office
11 Westferry Circus, Canary Wharf
London, E14 4HE
United Kingdom
Eurex Zürich AG
Löwenstrasse 3
8021 Zürich
Switzerland
T: +49 (0)69 2 11-1 23 13
F: +49 (0)69 2 11-61 54 43
[email protected]
T: +44 (0)207 8 62-72 30
F: +44 (0)207 8 62-92 30
[email protected]
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
Vassilis Vergotis
Nico Kageneck
Eurex Frankfurt AG
Mergenthalerallee 61
65760 Eschborn
Germany
Eurex
233 South Wacker Drive - Suite 2450
Chicago, IL 60606
USA
Deutsche Börse AG, Representative Office France
17, rue de Surène
75008 Paris
France
T: +49 (0)69 2 11-1 20 42
F: +49 (0)69 2 11-1 44 77
[email protected]
T: +1 312 5 44-10 58
F: +1 312 5 44-15 58
[email protected]
T: +33 (0)155 2 76-7 76
F: +33 (0)155 2 76-7 50
[email protected]
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
[email protected]
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August 2015
Trading TA-25 Index Future at Eurex
© Eurex 2015
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