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Enhancing Overlay Collateral Efficiency

July 31, 2023

Futures offer investors potentially valuable returns via exposure to markets and corresponding risk premiums. Yet while many investors choose to post cash to fulfill their futures margin obligations, a more capital-efficient way to participate in a futures overlay program may be to post other types of assets as margin collateral. In this paper, we’ll explore how Treasury securities can come to the rescue by enhancing flexibility in contrast to posting cash.

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James Thorson, CFA

Portfolio Manager

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