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CME E-mini S&P Asia 50 Futures
CME Equity Products
Global Leadership in the FinancialMarketplace
CME is the largest and most diverse financial futures and options
exchange in the world – handling nearly 800 million futures contracts
worth more than $460 trillion in a single year. Founded in 1898,
we serve the risk-management needs of customers around the globe
by offering the widest range of benchmark financial products available
on any exchange, traded via our CME Globex electronic trading
platform and on our trading floors. Our innovative products cover
major market segments – including interest rates, equities, foreign
exchange, commodities and alternative investment products – and
improve the way these markets work for customers everywhere.
CME Equity Products
CME is the dominant marketplace for equity derivatives. More than
90 percent of all U.S. stock index futures and options trade at our
exchange, presenting one of the world's most liquid trading
environments for equity products. CME offers the widest array of
equity futures and options on futures products, which include the
S&P 500 and S&P MidCap 400 Indexes, the NASDAQ-100 Index, the
Russell 1000 and Russell 2000 Indexes, and the Nikkei 225 Index.
1CME E-mini S&P Asia 50 Futures
PAGE
ABOUT CME E-MINI S&P ASIA 50 FUTURES 2
WHY TRADE CME E-MINI S&P ASIA 50 FUTURES? 3
ABOUT THE UNDERLYING INDEX 4
Correlations to Key Benchmark Indexes 5
Performance Comparisons to the Nikkei 225 and S&P 500 Indexes 6
CONTRACT SPECIFICATIONS 7
TRADING EXAMPLE 1 – Global Asset Allocation 8
TRADING EXAMPLE 2 – Spread Trading 9
GETTING STARTED IN CME E-MINI S&P ASIA 50 FUTURES 10
CME EQUITY PRODUCT LISTING 11
Table of Contents
2 cme.com
CME, the world leader of stock-index futures trading,
is at the forefront in providing innovative derivatives
products. Now CME is the first exchange to offer futures
on a Pan-Asian Index – CME E-mini S&P Asia 50 futures.
The contracts are based on Standard & Poor's Asia 50
Index, a broad-based index comprised of some of the
largest, most liquid blue-chip issues in four major Asian
markets: Korea, Hong Kong, Taiwan, and Singapore.
Markets such as these have demonstrated high gross
domestic product (GDP) growth, savings rates exceeding
25%–30%, and tremendous infrastructure investment,
attracting the attention and capital of equity investors
from around the world.
While derivatives on specific indexes such as the Hang
Seng, KOSPI, and Nikkei 225 have become popular with
traders and institutional investors, until now there has not
been a futures contract available that tracks the region as
a whole. CME E-mini S&P Asia 50 futures give investors
an ideal benchmark derivatives product for Asia.
The CME E-mini S&P Asia 50 futures contracts employ
the time-tested, electronically traded CME E-mini design
pioneered by the exchange and made popular with
individual and institutional investors alike. Like all
CME E-mini products, CME E-mini S&P Asia 50 futures
are designed to trade exclusively on the CME Globex
electronic trading platform, where investors will have
virtually 24-hour access to the benefits offered by
these products.
About CME E-mini S&P Asia 50 Futures
3CME E-mini S&P Asia 50 Futures
CME E-mini S&P Asia 50 futures offer versatile investment
and risk management tools that provide users with several
benefits:
Regional Exposure
CME E-mini S&P Asia 50 futures enable customers to
quickly gain exposure to top Asian markets without having
to select individual issues from multiple regions.
Trading Opportunities
As with all of our index futures contracts, CME E-mini S&P
Asia 50 futures tend to closely track the price movements
of the underlying cash index. That makes the futures
contracts attractive to investors such as hedge funds,
proprietary traders and portfolio managers who can use
these futures to hedge financial risks associated with
movements in the region's equity markets, as well as to
take advantage of investing opportunities in the markets.
Cost Efficiency
CME E-mini S&P Asia 50 futures are dollar-denominated,
eliminating foreign exchange risk for U.S. users,
particularly those engaging in global asset allocation.
Also, since these products require only a comparatively
small upfront performance bond deposit, they offer
exposure to this fast-growing region without the need to
incur the high transaction costs, taxes and custodial fees
inherent in overseas equity markets.
Electronic Access/Ease of Trading
CME E-mini S&P Asia 50 futures trade on the CME Globex
electronic trading platform virtually around the clock,
allowing customers to initiate positions quickly and efficiently
in all time zones. Customers currently access the platform
through 800 direct connections in over 36 countries
around the world, as well as through telecommunications
hubs – in London, Amsterdam, Dublin, Frankfurt, Gibraltar,
Milan, Paris and Singapore – that provide reduced
connectivity costs, increased accessibility, and fast, efficient
trading of CME products.
Market Integrity/Fully Integrated Clearing
At CME, we operate our own clearing house that matches
and settles all trades and guarantees the creditworthiness
of every transaction that takes place in our markets. Our
integrated clearing function ensures the safety and
soundness of our markets and helps differentiate us from
our competitors. With CME Clearing serving as the
counterparty to every trade, credit risk is greatly reduced.
Why Trade CME E-mini S&P Asia 50 Futures?
4 cme.com
About the Underlying Index
The S&P Asia 50 Index is constructed of 50 large blue-
chip stocks traded in Korea, Hong Kong, Taiwan, and
Singapore. It was designed to expose institutional
investors and traders to the biggest names in those four
regions, and to represent the most liquid, investable
markets in Asia. Stocks are selected for inclusion in the
Index on the basis of size, liquidity, sector and regional
representation.
For example: Samsung Electronics is the largest stock
in the S&P Asia 50 and is the largest company in Korea;
another component, Taiwan Semiconductor, is the largest
company in Taiwan.
Figures 1–5 on pages 4–6 provide additional information
about the underlying Index as of December 31, 2005,
including representations of the four markets in the
underlying Index, sector and individual component
weightings, correlations of returns compared to
individual regional benchmarks, and performance of the
Index versus the S&P 500 Index and Nikkei 225 Index.
Figure 1: Market Weightingin the Underlying S&P Asia 50 Index*
Number
Market of Stocks Weight
Hong Kong 18 30.3%
Taiwan 14 26.1%
Korea 10 33.7%
Singapore 8 9.9%
*Data as of Dec. 31, 2005
Source: Standard & Poors.
Figure 2: Sector Weightingin the Underlying S&P Asia 50 Index*
Sector Weight
Information Technology 30.2%
Financials 28.8%
Materials 8.3%
Consumer Discretionary 8.0%
Telecommunication Services 7.9%
Industrials 7.3%
Utilities 4.3%
Energy 4.1%
Consumer Staples 1.1%
*Data as of Dec. 31, 2005
Source: Standard & Poors.
Figure 3: Top Componentsin the Underlying S&P Asia 50 Index*
Float Adj Index
Market Company Cap USD Weight
Korea Samsung Electronics $84.4 bil. 15.9%
Taiwan Taiwan Semiconductor $38.4 bil. 6.9%
Korea Kookmin Bank $25.6 bil. 4.6%
Hong Kong China Mobile $23.0 bil. 4.1%
Hong Kong Hutchison Whampoa Ltd $20.3 bil. 3.6%
Korea POSCO $17.6 bil. 3.1%
Hong Kong Hon Hai $17.5 bil. 3.1%
Korea Hyundai $17.0 bil. 3.0%
Hong Kong PetroChina $15.0 bil. 2.7%
Hong Kong Cheung Kong Ltd. $15.0 bil. 2.7%
*Data as of Dec. 31, 2005
Source: Standard & Poors.
5CME E-mini S&P Asia 50 Futures
Figure 4: Correlations of the Underlying S&P Asia 50 Index versus Key Benchmark Indexes
Calendar Year 2005
SPAS50 100.00
SPX 5.71 100.00
NKY 53.52 3.67 100.00
HSI 74.49 6.19 51.21 100.00
TWSE 69.11 3.84 44.14 46.02 100.00
Calendar Year 2004
SPAS50 100.00
SPX 20.63 100.00
NKY 62.98 16.50 100.00
HSI 79.43 13.20 47.95 100.00
TWSE 73.36 16.02 43.65 45.96 100.00
Calendar Year 2003
SPAS50 100.00
SPX 11.73 100.00
NKY 56.98 4.44 100.00
HSI 83.52 10.10 49.84 100.00
TWSE 77.74 9.59 47.22 56.58 100.00
Calendar Year 2002
SPAS50 100.00
SPX 10.20 100.00
NKY 53.22 16.18 100.00
HSI 77.63 14.15 48.01 100.00
TWSE 71.16 13.95 38.79 44.16 100.00
Source: CME Equity Products and Bloomberg.
About the Underlying Index – Correlations
S&P Asia 50
Index (SPAS50)S&P 500
Index (SPX)
Nikkei 225
Stock Index
(NKY)
Hang Seng
Index (HSI)
Taiwan Stock
Index (TWSE)
6 cme.com
About the Underlying Index — Performance Comparisons
Figure 5: Comparing the Daily Performance of the Underlying S&P Asia 50 Index to the Nikkei 225 and S&P 500 Indexes
January 2002 – December 2005
Base = 100.
Source: CME Equity Products and Bloomberg
Jan
-02
Feb-0
2
Apr-
02
Jun
-02
Jul-0
2
Sep
-02
Oct
-02
Dec
-03
Feb-0
3
Apr-
03
May
-03
Jul-0
3
Sep
-03
Oct
-03
Dec
-03
Jan
-04
Mar
-04
May
-04
Jun
-04
Aug
-04
Oct
-04
Nov-
04
Jan
-05
Mar
-05
Apr-
05
Jun
-05
Aug
-05
Sep
-05
Nov-
05
Dec
-05
60
80
100
120
140
160
180
60
80
100
120
140
160
180
S&P Asia 50 Index S&P 500 Index Nikkei 225
7CME E-mini S&P Asia 50 Futures
Following are the contract specifications for the CME E-mini S&P Asia 50 futures contract.
Contract Size $25.00 x the CME E-mini S&P Asia 50 futures index level (Notional value as of 1/19/06:
$25.00 x 2411.00 = $60,275)
Contract Months Two months out in March Quarterly Cycle
Ticker Symbol SP5
CME Globex Trading Hours Mon - Thur: 15:30 - 15:15
Sunday/holiday: 17:00 - 15:15
Shutdown nightly between 16:30 - 17:00
Minimum Price
Fluctuation (Tick) 0.50 index points or $12.50
Price Limits Index level 0 < 2,000 100 index points
Index level 2,000 to < 3,000 150 index points
Index level 3,000 to < 4,000 200 index points
Index level 4,000 + 250 index points
Position Limits 25,000 contracts net long or short
Final Settlement Normally the third Friday of the contract month
Last Trading Day Futures trading shall terminate at the close of trading on the business day
immediately preceding the day of determination of the final settlement price
Final Settlement Price The final settlement price shall be the special opening quotation of the S&P Asia 50
Index as calculated by S&P. This value usually will be based on the opening of the third
Friday of the contract month.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME rules. Current CME rules should be consulted in all
cases concerning contract specifications.
CME E-mini S&P Asia 50 Futures Contract Specifications
8 cme.com
Trading Example 1:
Global Asset Allocation Using CME E-mini S&P Asia 50 Futures
Situation
A U.S.- based money manager with $100 million in assets under management (AUM) decides to increase his Asian equity
allocation from 10% to 20%. Approximately $10 million is earmarked to be invested in several major Asian markets.
Possible Strategies
» Buy a basket of Asian equities in different markets with various foreign exchange (FX) exposures
» Buy $10,000,000 notional amount of CME E-mini S&P Asia 50 futures contracts to gain regional exposure
Currency Risk
CME E-mini S&P Asia 50 futures are dollar-denominated; for a USD- based money manager with dollar-based assets,
there is no direct currency risk.
Number of Futures Contracts
= USD notional amount to be allocated / Contract notional value
= $10,000,000/2411 x $25.00
= $10,000,000/$60,275
= 166 futures contracts
The money manager will need to purchase 166 CME E-mini S&P Asia 50 futures contracts to take his global asset
allocation in the Asian region to 20%. Futures contracts offer several advantages over buying individual issues:
» It is simpler and more efficient to buy one futures contract than to buy individual equities across four different
markets with four different currency exchange rates.
» Futures contracts are commonly the lower cost alternative in terms of execution costs – especially in certain
emerging international markets.
» The around-the-clock access of the CME Globex electronic trading platform allows fast and efficient order execution.
Trading CME E-mini S&P Asia 50 Futures
9CME E-mini S&P Asia 50 Futures
Trading Example 2:
Spread Trading Using CME E-mini S&P Asia 50 Index Futures
Situation
A U.S.- based hedge fund manager believes that the 2004 – 05 outperformance of Asian emerging markets relative to the
S&P 500 has run its course and that U.S. large-cap equities will begin to outperform Asian markets (ex-Japan).
Possible Strategies
» Go long a basket of large-cap equities in the United States; simultaneously sell short a basket of securities in Asian
emerging markets such as Taiwan, Korea, Singapore and Hong Kong.
» Go long CME E-mini S&P 500 futures contracts and simultaneously short CME E-mini S&P Asia 50 futures contracts
Additional Considerations
The notional value of the CME E-mini S&P Asia 50 futures contract at the time of this writing is $60,275; the notional
value of the CME E-mini S&P 500 is $62,000. A 1:1 ratio would have the trader long $62,000 worth of U.S. equities and
short $60,275 worth of Asian stocks. Because paired strategies such as this are commonly done in “dollar neutral” terms,
a ratio should be employed. The exact ratio is up to the trader and the capital (performance bond) constraints of the fund.
Advantages of Spread Strategy
» Using futures precludes the need to transact costly baskets of stocks across several times zones.
» The CME E-mini S&P Asia 50 futures contract is dollar-denominated, removing the need to contend with foreign
exchange currency fluctuations in the markets involved.
» Spreads allow the fund the potential to profit in rising or falling equity markets. As long as large-cap U.S. stocks
outperform the S&P Asia 50 index, the strategy should be profitable without regard to bull or bear market conditions.
Other Strategies
The preceding trading examples are only a small sample of the many strategies available to a knowledgeable investor. In
addition to hedging and spreading, institutional investors can use CME E-mini S&P Asia 50 futures for a host of strategies,
such as:
Trading CME E-mini S&P Asia 50 Futures
» Enhanced Indexing
» Strategic/Tactical Global Asset Allocation
» Cash Equitization
» Portfolio Hedging
10
For additional information to help you get started trading CME E-mini S&P Asia 50 futures, please visit our web site
at www.cme.com/equities. You will be able to access a number of other brochures, online seminars and marketing
and education materials that can answer your questions or help you to begin trading these and other CME products.
Also, if you would like to talk to a CME representative, please call our Customer Service line at 1-800-331-3332 or
contact your broker.
CME Publications
» CME E-mini Stock Index Futures and Options on Futures Brochure
» CME Equity Index Futures and Options Information Guide
» CME Nikkei 225 Futures and Options Brochure
Web Sites:
» www.cme.com
» www.cme.com/emini
» www.cme.com/equities
» www.cme.com/equotes
» www.cme.com/eminioptions
Getting Started in CME E-mini S&P Asia 50 Futures
cme.com
11
» CME NASDAQ-100
» CME E-mini NASDAQ-100
» CME E-mini NASDAQ Composite
» CME E-mini NASDAQ Biotechnology
» CME E-mini MSCI EAFE
» CME Russell 2000
» CME E-mini Russell 2000
» CME E-mini Russell 1000
» CME Nikkei 225
» CME Futures on ETFs
» CME S&P 500
» CME E-mini S&P 500
» CME E-mini S&P Asia 50
» CME S&P MidCap 400
» CME E-mini S&P MidCap 400
» CME S&P SmallCap 600
» CME SPCTR Futures
» CME Goldman Sachs Commodity Index (GSCI)
» CME X-Funds
» TRAKRS (Total Return Asset Contracts)
CME Equity Product Listing
CME E-mini S&P Asia 50 Futures
For more information on these products, visit www.cme.com.
CME offers a complete range of futures and options products based on a variety of different indexes, including:
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract's value
is required to trade, it is possible to lose more than the amount of money initially deposited for a futures position. Therefore, traders should only use funds that they
can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because a trader cannot expect to profit
on every trade.
All references to options in this brochure refer to options on futures.
“Standard & Poor's®”, “S&P®”, “S&P 500®”, “S&P Asia 50®”, “Standard & Poor's 500®”, “Standard & Poor's Depositary Receipts®”, “S&P SmallCap 600®”,
and “S&P MidCap 400®” are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by PDR Services LLC and the American Stock
Exchange LLC in connection with the listing and trading of SPDRs, on the Amex. These products are not sponsored, sold or endorsed by S&P, a division of The
McGraw-Hill Companies, Inc., and S&P makes no representation regarding the advisability of investing in them. iShares® is a service mark of Barclays Global
Investors. The Russell 1000® Index, Russell 2000® Index and iShares Russell 2000 Index Fund™ are registered trademarks of Frank Russell Company. Frank Russell
Company assumes no liability in connection with the trading of any contract based on the Russell 1000 or Russell 2000 Indexes. NASDAQ®, NASDAQ-100®,
NASDAQ Composite®, NASDAQ Biotechnology Index® are trademarks of The Nasdaq Stock Market, Inc. used under license. Nikkei and Nikkei 225 are trademarks
of Nihon Keizai Shimbun Inc. and have been licensed for use by CME in connection with the trading of Futures and Futures Options (Products) based on the Nikkei
Stock Average (Nikkei 225). The Nikkei Stock Average or Nikkei 225, as it is called sometimes, is owned by and the property of Nihon Keizai Shimbun Inc. The
products are not issued, endorsed, sold or promoted by Nihon Keizai Shimbun Inc. or its subsidiaries. NIHON KEIZAI SHIMBUN INC. AND ITS SUBSIDIARIES MAKE
NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO SUCH PRODUCTS. “GSCI®” is a registered trademark of GS&Co. and has been licensed for use by
CME.
The Globe Logo, Globex®, CME®, SPCTR® and E-mini® are trademarks of CME. All other trademarks are the property of their respective owners. The information
within this brochure has been compiled by CME for general purposes only. CME assumes no responsibility for any errors or omissions. Additionally, all examples in
this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market
experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME rules. Current CME rules should be
consulted in all cases concerning contract specifications.
Copyright © 2006 CME. All rights reserved.
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