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Eurex ICAP Swap Spreads
Real-time Euro yield spread data
Key product characteristics
- Core information product
- The information product Eurex ICAP Swap Spreads delivers key bond future and interest rate swap yields spreads for the European market
- These yield spreads are derived from ICAP swap rates and government bond future pre-trade data from Eurex
- Deutsche Börse calculates the yield spreads and updates the information every 250 milliseconds
- The yield spreads are published simultaneously to all subscribers
Data included
- Bund, Bobl and Schatz futures traded on Eurex
- Euro 3M and 6M Euribor interest rate swaps from ICAP
- Swap rates (bid and ask)
- Futures (mid yield)
- Spreads between mid yield and swap rate (bid and ask)
- Change of spreads with respect to previous close
- Daily open, high, low, close, previous close for spreads
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