Anyone have any idea what the standard is for reporting leverage on financial futures - specifically swap/STIR/OIS related ones like Eurodollars and Fed Funds futures? If you are long/short a Eurodollar contract that expires in Dec 11, it seems absurd to think of it as $1MM of risk, is that the standard? What about if you engaged in a curve trade - would you theoretically have zero exposure? Would love to hear from some people who have marketed before or engaged in risk analysis on this. I know the exchange and SPAN margins, but if you were to look at leverage in a marketing sense, what would you say? Cheers!
Even though it seems absurd, most dealers that offer unleveraged "buy and hold" commodity funds, consider the risk of a 1-lot Eurodollar position to be $1 million. They use the phrase "fully collateralized long position" to describe this situation -- see chapter 4 of the attached paper for a representative example.