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Sovereign Yield Spread Futures Historical Data

Guide to Sovys Futures Historical Data

These Excel files provide historical data for Sovereign Yield Spread (Sovys) futures.

Sovereign Yield Spread Futures Historical Price Data (Excel File)
This file contains hypothetical historical daily fair-value prices for Sovys futures.

  • For the seven Sovys futures contracts with Euro as the Currency Unit (US-De, US-Fr, US-It, US-Nd, De-Fr, De-It, and De-Nd) the historical price data comprise delivery months from March 2005 through March 2011, inclusive, spanning 8 December 2004 to 7 March 2011.
  • For the five Sovys futures contracts with GBP as the Currency Unit (US-UK, UK-De, UK-Fr, UK-It, and UK-Nd) the historical price data comprise delivery months from September 2006 through March 2011, inclusive, spanning 4 August 2006 to 7 March 2011.
  • The Excel file workbook tabs are labeled in terms of "Bought Nation"-"Sold Nation" pairs. For instance, "De-Fr" tab shows data for Germany-France Sovys futures, while "UK-Nd" tab shows data for UK-Netherlands Sovys futures.
  • Workbook tabs with a "...Chart" suffix display charts of the corresponding Sovys futures price histories.
  • Within each tab, March, June, September, and December futures delivery months are labeled according to the customary futures month codes: H(March), M(June) U(September) and Z(December). For example:
    • H5 is March 2005
    • M7 is June 2007
    • U9 is September 2009
    • Z10 is December 2010
  • The "Front Future Price Chgs" tab and "Back Future Price Chgs" tab display continuous daily price change series for hypothetical nearby and first deferred contracts, respectively. These series presuppose a roll convention in which, for example, the nearby contract is held to expiration, then promptly replaced by a successor nearby. (An analogous role convention applies to time series of first-deferred contract price changes.) This ensures that the price histories contain no spuriously large price moves such as might arise from price changes computed across different futures delivery months.

Sovys Historical Median Reference Bonds (Excel File)
This file contains historical median Reference Bonds for Sovys futures.

Consider a Sovys futures contract for a given delivery month. At any given point prior to expiration, one of the (forward-starting) yields among the contract's Bought Nation Reference Bonds will be representative, in the sense of being the median yield value. Likewise, one of the (forward-starting) yields among the contract's Sold Nation Reference Bonds will be the median yield value.

For each of the six nations represented in the Sovys suite (De, Fr, It, Nd UK, and US), for each futures delivery month, for each day, this file exhibits the Reference Bond that is estimated to have been "representative."

The exercise of monitoring day-to-day shifts in the identity of representative Reference Bond issues for Sovys futures should have a familiar feel to those market practitioners who are already accustomed to monitoring cash-to-futures basis relationships in CBOT Treasury futures (e.g., shifts in the identity cash issues that are "cheapest-to-deliver").

For further explanation about the Sovys nations pairs, Reference Bonds and settlement procedures see "Sovereign Yield Spread Futures Frequently Asked Questions"