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Inter-Product Spreads

Inter-Product Spreads

Spread trading the term structure

On 16 September 2019, Eurex launches Inter-Product Spreads for fixed income futures as a standardized futures product.

Inter-Product Spreads are strategies used to create exposure to changes in flatness and steepness of the yield curve, such as a Bund-Buxl spread or outright spreads between European government bond futures such as the BTP-Bund spread.

By standardizing these spreads into a dedicated order book, Eurex creates a delta neutral trading opportunity by using the appropriate leg ratios. As the spread is traded in a single transaction, it also eliminates legging risk and saves bid-ask spread costs. Once the Inter-Product Spread is processed, the spread is divided into its individual legs which can be traded out in their respective order books.

At a glance

  • Direct exposure to flatness, steepness of the yield curve or sovereign yield spreads
  • No legging risk
  • Bid-ask spread savings
  • One-click trading
  • Dedicated public order book
  • Individual legs are fully fungible in their respective products
  • Standardized STP process

Products and leg ratios

From 16 September 2019, the following combinations will be available as Inter-Product Spreads:

Spread StrategyInstrument NameDV01 neutral leg ratio IPS ratio of leg instruments
Bund-Buxl SpreadIPLX2.685:2
Long-term BTP-Bund SpreadIPPL1.503:2
Schatz-Short-term BTP SpreadIPS21.051:1

The above IPS leg ratios are valid for the December 2019 expiry. Final ratios will always be confirmed before each new expiry starts trading.

Contacts

Eurex Sales

Vassily Pascalis

T +44-20-78 62-72 11

vassily.pascalis@eurexchange.com

Fixed Income ETD Product Design 

Rex Jones

T +49-69-211-178 06

 

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XEUR

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