Chi-X Europe & Russell Indexes unveil new European indices

3 October 2011

Tradeable indices designed to reflect pan-European and Eurozone markets.

Chi-X Europe, the leading pan-European equities exchange, and Russell Indexes, a leading provider of global and U.S. indices and part of financial services firm Russell Investments, today unveil the Chi-X Europe Russell Index (CHERIâ„¢) Series of pan-European indices. The new family of indices has been specially formulated to provide users with high quality, tradeable pan-European and Eurozone indices.

At launch, the four indices in the Chi-X Europe Russell Index series are:

Chi-X Europe Russell PanEurope Index (CHERI PanEurope) – a broad, highly liquid index of large capitalisation stocks from developed European markets. Only shares from the most liquid class of a company’s shares are included. The index includes 216 securities across 14 countries and 5 currencies.

Chi-X Europe Russell Eurozone Index (CHERI Eurozone) – a liquid, large cap index providing broad exposure to Eurozone markets. Only shares from the most liquid class of a company’s shares are included. The index includes 130 securities across 10 countries and 1 currency.

Chi-X Europe Russell PanEurope 60 Index (CHERI60) – a subset of CHERI PanEurope, including the 60 biggest stocks only. Transparent rules ensure that at least 3 stocks are priced in any one currency. The index includes 60 securities across 8 countries and 3 currencies.

Chi-X Russell Europe Eurozone 40 Index (CHERI40) – a subset of CHERI Eurozone. The 40 largest stocks are included. The index includes 40 securities across 8 countries and 1 currency.

These four new indices have been designed to offer more efficient and relevant trading, hedging and benchmarking opportunities as a basis for tradeable products. They have been constructed using Russell’s transparent, rules-based methodology which ensures consistency, predictability and objectivity. The pricing for the indices is supplied by Chi-X Europe, ensuring unprecedented homogeneous pricing for stocks across Europe. The new indices will provide targeted exposure by incorporating the most liquid and highly capitalised stocks across Europe to gain the necessary regional coverage and high investability. The indices will also efficiently balance currency exposure and tracking error with the number of constituents to appeal to the widest possible audience of equity index users.

The partnership between Chi-X Europe and Russell Investments, which was first announced in March 2011, brings together Europe’s largest pan-European equities exchange, with almost 20% market share, and the leading global index provider Russell with $3.9 trillion of assets benchmarked to its indices.

Force for improvement

Alasdair Haynes, CEO of Chi-X Europe, added: “We strongly believe that, until now, competition has been lacking in the pan-European indexing field. Our partnership with Russell changes that. Competition is the lifeblood of innovation and efficiency and we believe that our new index series can bring a new dynamic to the market and will be a force for improving upon the status quo. We have every confidence that fund managers will embrace these improved benchmarks in due course and that traders will want to deal in products based on our new series.”

Better tools for European investors

Scott Stark, head of Russell Indexes Europe, said: “Russell has a long heritage of innovation and in creating indices that accurately reflect the market and become the industry standard. This new family of tradeable indices has a tight tracking error to broad European benchmarks.”

“We identified demand from the market for pan-European indices across a range of levels and our new indices offer a neatly packaged way to meet this demand – all within the framework of Europe’s largest stock market. We have built these indices in line with our tried and tested transparent methodology which will give confidence to the market.”

New products

As of today, the new indices are being valued and distributed continuously by Russell using Chi-X Europe’s traded prices. To ensure an effective end of day value for the indices, Chi-X Europe is calculating its own closing price by using a Time Weighted Average Price (TWAP) algorithm (details on www.chi-xeurope.com). The rules and methodology governing the indices, together with daily and historic price data and statistics, can be found at http://www.russell.com/indices/european.

The CHERIs are designed as investable and tradeable indices with tight tracking to less tradeable broad benchmark indices, and can support the creation of index related products like exchange trade funds (ETFs). The two partners will work with third party providers to introduce new index derivative products to the market. Similarly, Chi-X Europe will continue to discuss with its trading participants the merits of listing derivatives on one or more of the indices.

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