Bursa de Valori Bucuresti · BVB:BVB
Bursa de Valori Bucuresti — Raiffeisen Centrobank — Investor Presentation (June 2016)
43 slides from Bursa de Valori Bucuresti's investor presentation, June 2016
Slide 1: RCB Warrants on Bucharest Stock Exchange
Raiffeisen Centrobank AG RCB WARRANTS ON BUCHAREST STOCK EXCHANGE June 2016 www.rcb.at Please note the disclaimer at the end of this marketing communication.
Slide 2: Table of Content
TABLE OF CONTENT ISSUER PROFILE OF RCB MARKET DATA: GERMANY WHAT ARE WARRANTS? FUNCTIONALITY IN DETAIL www.rcb.at page 2 Please note the disclaimer at the end of this marketing communication.
Slide 3: Raiffeisen Banking Group Structure
RAIFFEISEN BANKING GROUP STRUCTURE RAIFFEISEN BANKING GROUP 60.7% Raiffeisen Bank International AG (RBI) 100% Raiffeisen Centrobank AG ÒÒ Raiffeisen Centrobank AG was founded in 1973 as Centro Internationale Handelsbank AG in Vienna. ÒÒ In 2001 the bank became part of Raiffeisen Bank International (
Slide 4: Raiffeisen Centrobank: Equity House of the Raiffeisen Bank International Group
RAIFFEISEN CENTROBANK EQUITY HOUSE OF THE RAIFFEISEN BANK INTERNATIONAL GROUP Safe group structure Securities & Derivatives Trading & Sales, Company Research, Investment Services Major Austrian provider of certificates (>80% market share at VSE) Permanent secondary market (Vienna, Stuttgart, Frankfu
Slide 5: Awards: Best Issuer in Austria, Market Leader in Poland, Best in CEE
AWARDS BEST ISSUER IN AUSTRIA, MARKET LEADER IN POLAND, BEST IN CEE Capital Market Bucharest Tatra Banka Structured Products Certificates Awards Austria Warsaw Stock Market Awards 2015 Private Banking Award Europe Award 2015 2016 Gala 2014 2015 jury voting jury voting jury voting awarded “X-SELL PAR
Slide 6: Generating Added Value in All Market Situations: Certificates' Risk Classification
GENERATING ADDED VALUE IN ALL MARKET SITUATIONS CERTIFICATES’ RISK CLASSIFICATION Yield Opportunity in All Market Situations INVESTMENT PRODUCTS LEVERAGE PRODUCTS WITH WITHOUT WITHOUT WITH CAPITAL PROTECTION CAPITAL PROTECTION KNOCK-OUT KNOCK-OUT PRODUCT CLASSIFICATION BY ZFA (CERTIFICATES FORUM AUS
Slide 7: Leveraged Products in Germany by Product Type
LEVERAGED PRODUCTS IN GERMANY BY PRODUCT TYPE PRODUCT TYPE MARKET VOLUME NUMBER OF PRODUCTS in thousand EUR in % in % Warrants 915,667 40.8% 379,674 51.4% Knock-Out Products 890,517 39.7% 354,674 48.1% Factor Certificates 438,042 19.5% 3,695 0.5% Total of leveraged Products 2,244,226 100% 738,158 10
Slide 8: Leveraged Products in Germany by Product Type: Market Size
LEVERAGED PRODUCTS IN GERMANY BY PRODUCT TYPE Market Size Warrants 39.7% 40.8% Factor Certificates 19.5% Knock-Out Products Source: Deutscher Derivate Verband, as of November 2015 www.rcb.at page 8 Please note the disclaimer at the end of this marketing communication.
Slide 9: Warrant Variety on BVB: Selected Underlyings
WARRANT VARIETY ON BVB SELECTED UNDERLYINGS RCB offers call as well as put warrants on a selection of different underlyings: BANCA TRANSILVANIA BRD GROUP SECIETE GENERALE ROMGAZ, ELECTRICA FONDUL PROPRIETATEA OMV PETROM EURO STOXX 50® ROTX® GOLD (SPOT) www.rcb.at page 9 Please note the disclaimer at
Slide 10: Warrants Added Value
WARRANTS ADDED VALUE ÒÒ Speculation Warrants can be used for speculation on rising or falling prices of the underlying. ÒÒ LeverageÒ Warrants cost less than owning a direct position in the underlying - leverage effect. ÒÒ Hedging Warrants can be used for hedging of existing positions. ÒÒ Arbitrage M
Slide 11: Warrants Risks
WARRANTS RISKS ÒÒ Investors can loose up to 100% of the capital invested. ÒÒ Warrants can display higher price movements than stocks and are subject to a larger number of price influencing factors (volatility, price of the underlying, expected dividends, interest rates, time to maturity, etc.). ÒÒ H
Slide 12: Warrants: The Concept
WARRANTS EXPECTED MARKET THE CONCEPT ÒÒ In general, a warrant gives the holder the right, but not the obligation to buy or to sell a specific good, the underlying, at a pre-defined price (strike), at a specific date (European) or until a spe- cific date (American). All warrants of Raiffeisen Centrob
Slide 13: Call Warrants Payout Profile
CALL WARRANTS PAYOUT PROFILE ÒÒ Call warrants enable investors to profit on rising markets. In case the share quotes above the warrant's strike price at the maturity date, the investor receives the intrinsic value as redempti- on amount. The redemption amount is calculated as follows: Profit End of
Slide 14: Put Warrants Payout Profile
PUT WARRANTS PAYOUT PROFILE ÒÒ Put warrants enable investors to benefit from declining markets. ÒÒ In case the share quotes below the warrant's strike price at the maturity date, the investor receives the intrinsic value as redemption amount. The redemption amount is calculated as follows: Profit En
Slide 15: A Warrant Is...
A WARRANT IS... ... in the money As soon as the warrant has an intrinsic value it is Call Put { “in the money“. ITM OTM ... at the money In the event strike price and exercise price being ATM ATM { Strike (nearly) equal, the warrant is “at the money“. OTM ITM { ... out of the money In the event the
Slide 16: Warrants Terms and Definitions
WARRANTS TERMS AND DEFINITIONS EUROPEAN WARRANT UNDERLYING TIME VALUE A European warrant can be executed A stock, an index or a commodity can The time value is the part of the exclusively on a specific day at the end serve as an underlying for a warrant. warrant's price that is not covered by of the
Slide 17: Warrants in General at BVB: Multiplier
WARRANTS IN GENERAL AT BVB MULTIPLIER Warrants may be equipped with a multiplier smaller or greater than one, for example 0.1 or 10. ÒÒ Mutiplier of 0.1 means that 10 warrants relate to 1 unit of the underlying. Thus, investors may use warrants more flexibly and target-oriented. ÒÒ Mutiplier of 10 m
Slide 18: Warrants in General at BVB: At the End of the Term
WARRANTS IN GENERAL AT BVB AT THE END OF THE TERM At the end of the term, i.e. at the warrant’s expiration, the investor obtains either the “intrinsic value“ of a warrant or the warrant expires worthless, depending on whether the underlying quotes below or above the strike. www.rcb.at page 18 Please
Slide 19: Warrants in General at BVB: Cash Settlement
WARRANTS IN GENERAL AT BVB CASH SETTLEMENT ÒÒ All warrants of Raiffeisen Centrobank listed on Bucharests Stock Exchange are equipped with an automatic cash settlement, i.e. the holder of any warrant will not receive a physical delivery of the underlying. ÒÒ Instead, at maturity the warrant holder re
Slide 20: Warrants Price Influencing Factors
WARRANTS PRICE INFLUENCING FACTORS ÒÒ The value of a warrant depends primarily on the performance of the underlying. In addition, other factors like time to maturity, the volatility of the underlying, interest rates and dividends influence its value. ÒÒ For example, the higher the underlying’s volat
Slide 21: Factors Which Influence the Premium
WARRANTS FACTORS WHICH INFLUENCE THE PREMIUM The value of a warrant increases or decreases together with changes of the variables listed below. If the respective underlying rises, the value of the warrant develops as follows: If the respective underlying rises, the value of the warrant develops as f
Slide 22: Volatility - The Unknown?
WARRANTS VOLATILITY - THE UNKNOWN? Volatility Describes the annualised fluctuation range of the underlying in per cent. Historic volatility Is the actual fluctuation of the underlying during a specified period in the past. Implied volatility Different market expectations with equal historical volati
Slide 23: The Greeks
WARRANTS THE „GREEKS“ EFFECT … SHORTS RANGE EXAMPLE … of the change in the ÒÒbetw. 0 and 1 for calls At a delta of 0.6 the warrant price rises by 60 cent if underlying price on the war- DELTA ÒÒbetw. 0 and -1 for puts the underlying rises by 1 Euro. rant value At a gamma of 0.01 the delta of a call
Slide 24: Warrants Time Value
WARRANTS TIME VALUE ÒÒ The time value of a warrant is highest in the ÒÒ The time value of a warrant does not event the exercise price nearly equals the decrease linearly. At the issue date the time current price of the underlying (at the money). value decrease is comparably low, but will decline pro
Slide 25: The Greeks: Leverage and Omega
WARRANTS THE „GREEKS“ Omega: indicates by how many percent the price of the warrant will change when the price of the underlying stock changes by 1%. Omega is calculated as follows: FORMULA: LEVERAGE AND OMEGA underlying price x multiplier Leverage = warrant price Omega = leverage x delta www.rcb.at
Slide 26: The Greeks: Call Warrant on OMV AG
WARRANTS THE „GREEKS“ Call Warrant on OMV AG FORMULA: LEVERAGE AND OMEGA ISIN: AT0000A1F231 24.91 x 0.1 Leverage = ÒÒ Call Warrant price: 0.46 0.46 ÒÒ Underlying price: 24.91 Omega = 5.42 x 0.7096 = 3.84 ÒÒ Strike: 22.00 ÒÒ Maturity: Mar 22, 2017 ÒÒ Delta: 0.7096 In this case, the investor can expec
Slide 27: Example: Fondul Proprietatea SA
WARRANTS EXAMPLE: FONDUL PROPRIETATEA SA ÒÒ Call Warrant ÒÒ Put Warrant ÒÒ ISIN: AT0000A1JX55 ÒÒ ISIN: AT0000A1JXP9 ÒÒ Maturity: 21.06.2017 ÒÒ Maturity: 21.06.2017 ÒÒ Strike price: 0.8 ÒÒ Strike price: 0.72 130,00% 30 120,00% 25 110,00% 100,00% 20 90,00% 15 80,00% 70,00% 10 60,00% 5 50,00% 40,00% 0
Slide 28: Exchange Rate Influence
WARRANTS EXCHANGE RATE INFLUENCE Some underlyings are traded in other currencies like USD, whereas warrants on Bucharest Stock Exchange quote in RON. The RON/USD exchange rate hence affects the certificate‘s performance. EXAMPLE ÒÒ Price (underlying): USD 100.00 ÒÒ RON/USD exchange rate: 3.60 ÒÒ Pri
Slide 29: RON/USD Exchange Rate
WARRANTS RON/USD EXCHANGE RATE SCENARIO 1: � New RON/USD exchange rate: 3.80 � New price of the certificate: RON 380 FIRST EXAMPLE In the event the RON decreases compared to the USD, the value Underlying: USD 100 Exchange rate: 3.60 of the Certificate will rise provided the underlying price do
Slide 30: Leverage Effect
WARRANTS LEVERAGE EFFECT Price at Spot price Performance maturity date Scenario 1 Share EUR 70.00 EUR 50.00 - 29 % Call EUR 75.00 Dec. 2016 EUR 3.00 EUR 0.00 - 100 % Scenario 2 Share EUR 70.00 EUR 75.00 +7% Call EUR 75.00 Dec. 2016 EUR 3.00 EUR 0.00 - 100 % Scenario 3 Share EUR 70.00 EUR 90.00 + 29
Slide 31: Call Warrants Calculating Performance (1/2)
CALL WARRANTS CALCULATING PERFORMANCE (1/2) The investor expects the ABC share price to increase and purchases the following call warrant: SCENARIO ANALYSIS: underlying: ABC share price (warrant): RON 30 SHARE PRICE AT MATURITY WARRANT PRICE AT MATURITY* WARRANT‘S PERFORMANCE 120 200 566.7% share pr
Slide 32: Call Warrants Calculating Performance (2/2)
CALL WARRANTS CALCULATING PERFORMANCE (2/2) This means: ÒÒ If the ABC share rises 10% from RON 100 to RON 110, the investor can benefit from the leverage effect of the warrant: At the expiry date the value of the warrant equals RON 100 (taking the multiplier of 10 into consideration). ÒÒ Taking the
Slide 33: Put Warrants Calculating Performance (1/2)
PUT WARRANTS CALCULATING PERFORMANCE (1/2) The investor expects the ABC share price to decrease and purchases the following put warrant: SCENARIO ANALYSIS: underlying: ABC share price (warrant): RON 0.8 SHARE PRICE AT MATURITY WARRANT PRICE AT MATURITY* WARRANT‘S PERFORMANCE 85 2.0 150.0% share pric
Slide 34: Put Warrants Calculating Performance (2/2)
PUT WARRANTS CALCULATING PERFORMANCE (2/2) This means: ÒÒ If the ABC share falls by 10% from RON 100 to RON 90, the investor can benefit from the leverage effect of the warrant: At the expiry date the value of the warrant equals RON 1.5 (taking the multiplier of 0.1 into consideration). ÒÒ Taking th
Slide 35: Warrants: Please Note
WARRANTS PLEASE NOTE ÒÒ Risks through the leverage effect Due to the leverage effect there is a risk to incur a high loss during the term. In case the warrant expires worthless, the investor will incur a total loss of the invested capital. ÒÒ Issuer Risk Redemption is dependent on the solvency of Ra
Slide 36: Appendix
Raiffeisen Centrobank AG APPENDIX www.rcb.at
Slide 37: Hedging Share Portfolios
WARRANTS HEDGING SHARE PORTFOLIOS ÒÒ Hedging with put warrants ÒÒ Full or partial hedge possible Reasons: –– market opinion –– transaction costs –– profit opportunities Differentiation: ÒÒ static hedge ÒÒ dynamic hedge www.rcb.at page 37 Please note the disclaimer at the end of this marketing commun
Slide 38: Hedging Share Portfolios: Static Hedge Example
WARRANTS HEDGING SHARE PORTFOLIOS STATIC HEDGE: EXAMPLE ÒÒ ”Comprehensive coverage“ at the end of the term Share portfolio EUR 100,000 ÒÒ ESX 50® 2,718 ÒÒ ”Off-set during the year“ cheaper to hedge once a year than every months (reason: theta) ÒÒ ESX 50® put Strike 2,800 Maturity date Dec. 2016 Ask
Slide 39: Hedging Share Portfolios: Static Hedge Example
WARRANTS HEDGING SHARE PORTFOLIOS STATIC HEDGE: EXAMPLE Formula: Share portfolio EUR 100,000 Value of the portfolio to be hedged ÒÒ ESX 50® 2,718 Number of warrants = Underlying price x multiplier ÒÒ ESX 50® put Strike 2,800 Maturity date Dec. 2016 100,000 Ask price EUR 2.48 Number of warrants = - =
Slide 40: Hedging Share Portfolios: Dynamic Hedge Example
WARRANTS HEDGING SHARE PORTFOLIOS DYNAMIC HEDGE (DELTA HEDGE): EXAMPLE ÒÒ Real comprehensive coverage Share portfolio EUR 100,000 ÒÒ High transactions costs as the case maybe ÒÒ Continuous observation required ÒÒ ESX 50® 2,718 ÒÒ ESX 50® put Strike 2,800 Maturity date Dec. 2016 Formula: Ask price EU
Slide 41: Hedging Share Portfolios: Dynamic Hedge Example
WARRANTS HEDGING SHARE PORTFOLIOS DYNAMIC HEDGE (DELTA HEDGE): EXAMPLE Formula: Share portfolio EUR 100,000 Value of the portfolio to be hedged ÒÒ ESX 50® 2,718 Number of warrants = Underlying price x multiplier x delta ÒÒ ESX 50® put Strike 2,800 Maturity date Dec. 2016 100,000 Ask price EUR 2.48 N
Slide 42: Disclaimer: Risk Information (1/2)
DISCLAIMER RISK INFORMATION (1/2) Non-binding marketing information/no investment advice/no offer All statements and financial data contained in this presentation are provided only for the information of the visitor and constitute non-binding marketing information. This presentation is neither an of
Slide 43: Disclaimer: Risk Information (2/2)
DISCLAIMER RISK INFORMATION (2/2) Persons with a place of residence outside Austria - no resident in the U.S. This presentation is explicitly not addressed to persons who are subject to any jurisdiction which would prohibit (either due to their nationalities or said persons places of residence or du
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