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
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