Sovereign Yield Spread Futures
 
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Sovereign Bond Spreads in a Single Trade

10-Year Sovereign Yield Spread (Sovys) futures - Now Trading

10-Year Sovys futures wrap a sovereign bond yield spread into a single futures contract – with no need to execute and manage individual legs in cash bond markets, or across multiple futures exchanges.

10-Year Sovys futures make trading and monitoring of sovereign bond
spread positions:

  • Simpler
  • More cost-effective
  • More efficient than ever before
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Benefits

  • Streamlined trading of yield spreads
    One contract, one trade, one central counterparty
  • Capital efficiency
    One margin posting with a single clearing house
  • Built-in spread ratio
    Contract-reference yield spreads are always duration- and FX-weighted
  • Transparency
    Traded on a regulated market, with a transparently determined daily mark-to-market
  • CME Clearing guarantee
    Ensures the security and financial integrity of each transaction
 

 

Product Video

Information

Resources

Sovereign Treasury Agencies

Discussion on Innovative New Sovereign Yield Spread Futures


Mike Kamradt, Director of Interest Rate Products, speaks on how to "Expand Your Interest Rate Opportunities with Sovys"

10-Year Sovereign Yield Spread Futures: Key Facts

  • Pair-wise spreads among 10-year sovereign bond yields of:
    • France (OATs)
    • Germany (Bunds)
    • Italy (BTPs)
    • Netherlands (DSLs)
    • UK (Treasury Gilts)
    • US (10-Year Treasury Notes)
  • Reference Bond valuations provided by Interactive Data, the designated third-party valuation service
  • Price basis: Modified IMM Index = 100 + Yield Spread
  • Yield spread = "Sold" Nation yield minus "Bought" Nation yield
  • Contracts expire by cash settlement on last trading day
  • Block minimum: 250 contracts
  • Electronically traded on CME Globex
  • Centrally cleared