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Eurex to launch future on short-term Italian government bonds

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Derivatives exchange Eurex will be launching a future that is based on notional short-term debt instruments issued by the Republic of Italy (Buoni del Tesoro Poliennali – BTP) on 18 October 2010.

The contract will complement the Eurex benchmark interest rate derivatives family; along with the existing ten-year Euro BTP Future, the short-term BTP contract will serve as an appropriate hedging instrument for all non-triple-A-rated European government bonds as well as for other interest rate instruments (such as swaps).

Following the launch of the new future, the short-term Italian government bond market will additionally benefit from the ensuing increase in basis and repo trading opportunities.

Spread trading strategies will also be possible, thereby enhancing trading volumes in both futures.

“The success of the Euro BTP Future we launched in September 2009 underlines the market needs for a complementary short-term hedging instrument,” says Peter Reitz, member of the Eurex executive board. “Since its launch, more than 1.3 million contracts have been traded in our Euro BTP Future. This shows that market participants are actively using our contract as a hedging instrument for government bonds with a non-triple-A-rating.”

The short-term Euro BTP Future will be based on deliverable bonds with a remaining maturity of two to 3.25 years and have a notional coupon of six per cent as well as a contract value of EUR100,000. The minimum tick size will be 0.01 per cent (EUR10 per tick) in line with the tick sizes of the BTP, Bund and Bobl futures.

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