Market Data + Services
Eurex® ICAP Swap Spreads Historical Data
Historical Euro yield spread data
Eurex ICAP Swap Spreads Historical Data files offer
key bond future and interest rate swap yield spreads
for the European market. These yield spreads are
derived from ICAP swap rates and government bond
future pre-trade data from Eurex.
The data serves as a valuable basis for back-testing
trading and risk assessment models. The data is
identical to the data provided in the real-time product
Eurex ICAP Swap Spreads.
Time series available
Three types of time series are distributed:
Eurex ICAP Swap Spreads Daily Statistics (open,
high, low and close spreads and yields)
Eurex ICAP Swap Spreads Snapshots (snapshots
extracted from real-time data in one minute intervals)
Eurex ICAP All Ticks (complete historical time series
of the real-time product)
If you are interested in receiving the data, please
request an order form from customer service at
[email protected].
After ordering, files are provided through two different
channels:
Personalized download from the Deutsche Börse
WebShop download area (Eurex ICAP Swap Spreads
Daily Statistics, Eurex ICAP Swap Spreads Daily
Snapshots)
Data provided on data medium (Eurex ICAP Swap
Spreads All Ticks, Eurex ICAP Swap Spreads Daily
Snapshots)
For more information on the real-time product Eurex
ICAP Swap Spreads, please go to
www.mds.deutsche-boerse.com > Information >
Real-time market data > Derivatives markets.
Contact
Monthly CSV files are created for each product and
packaged into ZIP files. All files comprise reference
data and daily statistics as disseminated in the realtime product. The history starts on 1 June 2011.
Market Data + Services /Information
+49-(0) 69-2 11-1 24 42 (Frankfurt)
+44-20-7862-7223 (London)
+1-312-544-1095 (Chicago)
+65-6597-3018 (Singapore)
Ordering process and data delivery
Files can be purchased on a monthly basis for the
current year, whereas previous year’s data needs to
be purchased on a yearly basis. However, in order
to simplify download and processing, the one year
contents are disseminated as twelve one month files.
April 2015
Eurex ® is a registered trademark of Deutsche Börse AG.
[email protected]
www.mds.deutsche-boerse.com