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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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