Structured product hedgers shun Eurex quanto futures

Maturities too short to hedge autocallable books, say dealers

dollar euro
Contracts touted as providing a hedge for dollar-denominated structured products referencing the Euro Stoxx 50

Eurex's new US dollar-denominated Euro Stoxx 50 futures are too short-dated to be an effective hedge for structured products, according to dealers. But they could rival certain currency-hedged exchange-traded funds (ETFs).

The contracts, listed on March 21, give investors unfunded dollar exposure to the euro-denominated Euro Stoxx 50 index – a situation known as quanto. This means investors don't have to take on the risk of the fluctuating euro/dollar exchange rate when investing in the European

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: