Press

Eurex, the European derivatives market, is shifting the delivery window for the Euro-BOBL future from the current period of 3.5 to 5 years to 4.5 to 5.5 years when the September 2000 contract is introduced for trading on 09 December 1999. In the new contract specifications, the Euro-BOBL future will then be based on debt securities of the Federal Republic of Germany and of the Treuhand privatization agency with a term of 4.5 to 5.5 years remaining to maturity. The modification in the Euro-BOBL future results in a corresponding change in the contract specifications for options on the Euro-BOBL future. These changes will become effective when the options on the September 2000 contract are introduced for trading on 23 February 2000.

The change ensures that the Euro-BOBL future will be able to perform its function as a hedging instrument and benchmark for the middle-maturity segment more efficiently. Given the current relationship between the market yield and notional interest-rate level, the debt security with the shortest maturity in the delivery basket tends to be the "cheapest to deliver" (CTD). This means that the Euro-BOBL futures contract has an actual maturity of 3.5 years. When the delivery window is shifted, the shortest possible maturity will be 4.5 years.