Mechanics and Definitions of Cross Currency Basis Futures
CME are taking a bold step into the (relatively) unknown and launching EUR/USD Cross-Currency Basis futures. Let’s take a look… Definition The Cross-Currency Basis Future can be defined as; A contract for difference that cash-settles the implied 3 month cross-currency basis from observable EUR/USD FX-forward, USD and EUR short-term interest rate futures. Recall that a […]