http://www.cmegroup.com/trading/interest-rates/files/IR-313_SovysFC_Final_SR.pdf New CME Globex Product - Sovereign Yield Spread Futures (UK vs Germany, US vs Germany, etc. ). Cash fungibility; those Eurex and CBOT legs won't count unless you want to go past first notice day, maybe EFP.
Are these reasonably liquid right now? Most listed Globex products have a dozen or fewer trades in a month. P.S. Sorry I didn't read the document.
Yep - they are about ten years too late on Germany vs. US. As of the past 2 years the correlation is about 65% daily close on close. Remember the yield curve futures product ? Nearly all of these new launches are doomed, but of course as long as you are paying a staff for product development ...