Tel Aviv Stock Exchange (TASE) Revises "Price Monitoring Mechanism” Parameters

08/04/2013

Revisions include:

  • Calibration of "Static" and "Dynamic" fluctuations
  • Price Monitoring trading halts shortened by 2-6 minutes
  • Since the launch of the mechanism the need to cancel erroneous transactions has been significantly reduced

On Thursday, February 21, 2013, the Tel Aviv Stock Exchange (TASE) Board of Directors approved revisions to the parameters governing activation of "Price Monitoring" on individual securities, as well as the shortening of the extensions for Opening or Closing Auctions triggered by TASE mechanisms to check either market-wide volatility or extraordinary price movements of individual securities.

TASE instituted price monitoring mechanism on individual securities in September 2012. The TASE staff found that this mechanism has successfully curbed price fluctuations and has significantly reduced the number of requests to cancel erroneous transactions. It appears, however, that the original calibration of the parameters has led to a relatively high frequency of their activation, particularly regarding mid and small-cap shares and corporate bonds. To enhance trading continuity, the dynamic and static fluctuations have been recalibrated (see table below). In addition, the trading halt triggered by the activation of price monitoring extensions will be shortened by 2-6 minutes. The maximum postponement will now be 6-8 minutes rather than 10-12 minutes.

The revision of parameters is going into effect on 4 April 2013.

The revision of postponement of the Opening and Closing Auctions are subject to the approval of the Israel Securities Authority.

Please see detailed table below:

Market

 

Securities Groupings

 

Static Volatility

Dynamic Volatility

Existing Parameter

New Parameter

Existing

Parameter

New Parameter

Equity

TA-25

6%

7%

3%

4%

TA-75

7%

8%

3%

4%

Mid Cap

7%

9%

4%

5%

Small Cap

12%

12%

10%

10%

Convertible bonds

7%

10%

4%

5%

Stock-linked ETNs

6%

7%

3%

4%

Debt

Government bonds

2%

2.5%

0.5%

1%

Corporate bonds

4%

8%

2%

3%

Debt-linked ETNs

4%

4%

2%

2%

T-bills

 

0.5%

0.5%

0.1%

0.1%