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Eurex to launch futures and options on MSCI Russia Index next month

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The international derivatives exchange Eurex is to launch derivatives based on the MSCI Russia Index denominated in US dollars on June 23, extending an existing range of products based on

The international derivatives exchange Eurex is to launch derivatives based on the MSCI Russia Index denominated in US dollars on June 23, extending an existing range of products based on Russian equity markets introduced in April 2007, and will add another equity option on OJSC Rosneft on the same date.

‘With this new index derivative, we can participate in the rapidly expanding Russian market,’ says Eurex board member Peter Reitz. ‘We are offering our clients attractive, cost-efficient and liquid investment and diversification opportunities in one of the most important emerging markets.’

The derivatives will be the first to be offered by Eurex based on an index produced by New York-based MSCI Barra, a leading provider of international equity market benchmarks.

‘We are delighted to have licensed Eurex for the creation of derivatives based on the MSCI International Equity Indices, starting with futures and options contracts on the MSCI Russia Index,’ says MSCI Barra chief operating officer David Brierwood.

The MSCI Russia Index comprises the largest Russian companies by market capitalisation that meet certain minimum liquidity and free float requirements. To be eligible, companies must be incorporated in Russia but they may have a listing in London or New York.

The index, the weighting of whose components is not capped, currently contains 32 companies and is reviewed four times a year. Settlement of the index future and option will be made in cash, with one index point worth USD25. The future expires in March, June, September and December. Index options are offered with expirations up to 24 months.

The new Eurex option contract on OJSC Rosneft comprises 100 shares and has a maximum maturity of 12 months, and delivery will be physical. This brings the number of options on underlying Russian equities available at Eurex to five; the exchange also offers trading in 19 Russian equity futures.

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