ICE, Euronext, and Eurex Futures Spread Margin Credits

Just an FYI, if you use the exchange supported spreads, apparently it is much more compatible with most FCM's risk management software in terms of intraday margining.
 
I'm considering placing a spread trade on two equity indexes, the DAX (FDAX) and the EuroStoxx 50 (FESX). These futures trade on the Eurex exchange (in EUR currency).

I think the correct FDAX:FESX ratio is 1:5, but I can't find any indication of the exchange spread ratio or margin relief for this spread on the Eurex website. The link shown above contains spreadsheets with margins, but the spreads shown are limited to intra-commodity calendar spreads.

Can anyone refer me to the inter-commodity spread margin for this spread?
 
Follow-up: I sent an email directly to the Eurex exchange to inquire about this and they replied promptly that these contracts (DAX, EUSX) are in the same margin group (DMIX) as shown in the spreadsheet for Margin Group Parameters on the Eurex website page. The Margin Offset is shown as 100%.

The new Eurex portfolio margining calculation does not specify any fixed spread ratio that you have to trade. In my testing of various combinations, the margin relief appears to be much less than is provided by SPAN for the CME/CBOT contracts.
 
You must log in or register to reply here.
Back
Top