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Eurex to launch Italian government bond future

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The international derivatives exchange Eurex will introduce a future based on notional long-term debt instruments issued by the Republic of Italy on 14 September 2009.

The international derivatives exchange Eurex will introduce a future based on notional long-term debt instruments issued by the Republic of Italy on 14 September 2009.

The launch will extend the range of Eurex’s benchmark interest rate derivatives and aims to offer an appropriate hedge for all non-triple A rated European government bonds and potentially other interest rate bearing instruments.

‘Due to the financial market crisis, spreads between several European government bonds with lower ratings and German bonds have widened significantly. Thus, hedging for those non-triple A-rated government bonds using the Bund-Future has now become more difficult’, says Peter Reitz, member of the Eurex Executive Board. ‘Market participants have approached us for alternative hedging instruments for those bond markets.’

The design of the new futures is similar to the Bund-Future, so that they meet the hedging requirements of market participants and also enable efficient spread trading between the two ten-year government bond futures.

The delivery window will be 8.5 to 11 years, the notional coupon will be six per cent and the contract value will be EUR100,000. The tick size is set at 0.01 per cent (EUR10 per tick), in-line with Bund and Bobl futures.

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