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A-Team Insight Blogs

Deutsche Börse Introduces New Benchmark for Interest Rate Swaps

Deutsche Börse – Market Data & Analytics is expanding its range of information products with “Eurex ICAP Swap Spreads”. The new data product, which aims to serve as a neutral benchmark for Euro interest rate swaps, was developed jointly with interdealer broker ICAP.

Eurex ICAP Swap Spreads provides yield spreads between exchange-traded futures and interest rate swaps that are traded over-the-counter (OTC). In addition, the product includes Bund, Bobl and Schatz futures yields, ICAP Euro interest rate swap rates and open, high, low and close spreads and yields. The data is updated every 250 milliseconds. Market participants can use the information to optimize borrowing and hedging costs, review portfolios values and improve risk management.

“Eurex and ICAP are leaders in their market segments. By combining data from both companies, we were able to create a product that provides benchmark information for key fixed income markets in Europe,” said Georg Gross, Head of Front Office Data & Analytics at Deutsche Börse.

Kevin Taylor, Global Head of ICAP Information Services, added: “We are very excited about this opportunity to work closely with another high quality market leader to provide our clients with key bond future and interest rate swap yield spreads for the European market. The benchmark reinforces our respective leading positions in the creation of innovative data products ensuring we continue to offer our customers meaningful market data solutions.”

Eurex ICAP Swap Spreads is available via Deutsche Börse’s direct real-time data feed CEF Core.

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