spread ratio

Y

ynox1

Hi guys, coud anyone please tell me ratios for the following spreads, thank you.

Bund/Schatz
Bund/Bobl
Bund/10yr Tnote
 
Hi there,

When I was at GNI in London we were all given a matrix containing all the different ratios so if you ask your broker he should be able to obtain one for you.

Cheers

Bogan7
 
Quote from ynox1:

Hi guys, coud anyone please tell me ratios for the following spreads, thank you.

Bund/Schatz
Bund/Bobl
Bund/10yr Tnote
More...

According to data compiled by Quotron, the present value of a basis point change in bond yield is

€ 46.26 per Bobl Mar 07 Contract
€ 86.51 per Bund Mar 07 Contract
€ 18.45 per Schatz Mar 07 Contract
$ 62.34 per 10y Note Mar 07 Contract

But don't forget the EURUSD spot rate for the bund/note spread! ;)
 
Here you go..9th FEB 2007 from BB


BUND BOBL SHATZ T-NOTE


BUND NA 1.88 4.80 1.801

BOBL 0.532 NA 2.554 0.958

SHATZ 0.208 0.392 NA 0.375

T-NOTE 0.555 1.044 2.665 NA

Just need to turn the T-note into a decimal and off you go...
 
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