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October 16, 2015

Hedging and Discounting Euro Swaps with a Secured Benchmark

Hedging and Discounting Euro Swaps with a Secured Benchmark – Eurex's EUR Secured Funding Futures allows for the hedging and trading of GC Pooling repo rate for up to 7 months forward (first five ECB Maintenance Periods) and offers an ability to hedge funding exposure with regards to cash VM and PAI in Cleared IRS. Combined with Eurex's EONIA Futures it also gives the ability to trade the unsecured / secured funding basis and generate alpha by trading the Eurex Secured Funding Futures / EONIA Futures spread – with the added benefit of cross margining efficiencies under Eurex Clearing's PRISMA portfolio margining  with margin savings.

See PDF below.

 


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