The following illustrates this benefit for spread trades between CBOT and CME Fed Fund-Eurodollar futures. Parts 1 and 2 sketch the basics of FF-ED spread trades. Part 3 presents hypothetical performance bond reductions for such transactions. Part 4 examines the capital efficiencies that should arise when performance bond reductions are applied. Part 5 briefly covers extensions to spread trades between CBOT FF futures and CME LIBOR futures (EM). The Appendix offers a more detailed discussion of the rudiments of FF-ED spreading.

 - Benefits for Fed Fund-Eurodollar Spread Trades - 11.12.2003