27 Feb 2003, John Ferry, Risk magazine
The Eurex basis trading facility processes transactions that have been concluded off-exchange in Eurex futures against a simultaneous cash transaction in fixed-income bonds. The resulting Eurex positions are cleared and settled by Eurex Clearing.
Eurex said the move underscores the benchmark status of German capital market futures for all basis trades or simultaneous cash and futures transactions in eurobonds. Only bonds with a remaining or total maturity of at least one year and a nominal value of at least €2 billion will be eligible for use in combination with euro Bund, euro Bobl and euro Schatz futures, Eurex added.