Article: Euro Bond Futures versus Eurex Swap Futures - Creating Synthetic Euro Asset Swaps - Margin Efficiencies

13 November 2014 | Byron Baldwin

Euro Synthetic Asset Swaps can be created by using Eurex Bond Futures and Eurex Swap Futures in a range of maturities - 2years, 5years, 10years and 30years. In addition, Eurex Bond Futures and Eurex Swap Futures are both included (with IRS and Money Market Derivatives) in the Fixed Income Liquidation Group as part of Eurex Clearing's innovative PRISMA portfolio risk margining system which enables significant margin efficiencies through Cross Margining.

The margin efficiencies with Cross Margining for a DV01 neutral Eurex Bond Future versus Eurex Swap Future can be seen below - cross margining delivers between 69% and 80% margin savings:

The contract specifications for the Eurex Euro Swap Futures are attached below.

Eurex Trade Entry Services' Exchange for Physical (EFP) Facility allows for the seamless off exchange execution of of a Eurex Bond Future versus Eurex Swap Future asset swap trade - one side of the transaction needs to be executed via the CLOB or via the Block Facility. Link for more information on the EFP Facility: http://www.eurexchange.com/exchange-en/products/eurex-trade-entry-services/exchange-for-physicals/