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Eurex ICAP Swap Spreads The Real-time benchmark for Euro yield spreads

Key Information Product characteristics

  • Core 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 Information from Eurex®
  • Both companies operate in highly liquid markets and are recognised market leaders providing high quality Information
  • Deutsche Börse calculates the yield spreads and updates the information every 250 milliseconds as independent authority
  • The yield spreads are published simultaneously to all Subscribers

Product details

  • 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

Key Benefits

The Information provided by Eurex® ICAP Swap Spreads allows market participants to:

  • React quickly to changes in the yield curve, in turn enabling better management of borrowing and hedging  costs
  • Price fixed income OTC derivatives
  • Review and calculate portfolio values
  • Improve risk management
  • Monitor the long-term cost of funding