BTP–Bund spread
Definition · Level 8 · Rates, FX & macro
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Italy’s 10-year yield minus Germany’s, in bp. Both bonds are in euros, so the gap prices Italy’s extra credit risk. It widens in euro-area stress: above 500 bp in 2011.
Example
BTP 3.80%, Bund 2.80% → 100 bp; “out 10” means 10 bp wider.
Where Tradecraft teaches it
Level 8 · Rates, FX & macro, in the lesson “Bunds, BTPs and the Eurex futures”: Germany’s bond curve, the four Eurex futures and the BTP–Bund spread as a stress gauge.
Related terms
- BundA German federal government bond, most often meaning the 10-year.
- EurexThe Frankfurt derivatives exchange of Deutsche Börse, which lists the main euro-area interest-rate, bond and Euro Stoxx 50 futures and options.
- Euro-Bund futureEurex’s 10-year German bond future: €100,000 face value, deliverable bonds with 8.5 to 10.5 years left, tick 0.01 = €10, delivery on the 10th of…
- Schatz, Bobl, Bund, BuxlEurex’s four German bond futures: Schatz (about 2 years), Bobl (about 5), Bund (about 10), Buxl (about 30).
- TPITransmission Protection Instrument: the European Central Bank’s (ECB) July 2022 tool for buying the bonds of a member state hit by an “unwarranted…
- 2s10sThe 10-year Treasury yield minus the 2-year yield, in bp: the headline gauge of curve slope.