Intercommodity spreads are implied, predefined spreads between U.S. Treasury futures, and between U.S. Treasury and CBOT Interest Rate Swap futures. Traded on the CME Globex electronic platform, they allow for easier and more efficient execution of the most commonly-traded spreading strategies, and eliminate the risk of not being able to execute the spread at the desired price.

Simpler, Easier Way to Track Treasury and Swap Spreads

CME Group has created the Intercommodity Spread Curve Tracker (“ICS Curve Tracker”) to help you track the levels of your Treasury and Swap spreads. The ICS Curve Tracker displays the difference in the weighted prices of the two legs of the spread, rather than the net change. This provides a time series, which helps you track Treasury and Swap spreads over time, and make decisions about when to put trades on and take them off. It also offers a clearer picture of profits and losses.

•  Daily ICS Curve Tracker–Updated Daily at Approximately 5:30 p.m., Central Time

  Please note: If your current browser is Internet Explorer 6 or below, you may see an Ftp message when clicking on this link. Simply click “OK” to access the spreadsheets—it is not necessary to enter a password. Upgrade your browser to Internet Explorer 7 or higher to avoid this message and to experience optimal viewing.

•  Daily ICS Curve Tracker—Summary of Daily Levels (from 10/1/09)

  Please note: If your current browser is Internet Explorer 6 or below, you may see an Ftp message when clicking on this link. Simply click “OK” to access the spreadsheets—it is not necessary to enter a password. Upgrade your browser to Internet Explorer 7 or higher to avoid this message and to experience optimal viewing.

See live quotes in all implied Treasury and Swap spreads

December 2009 Treasury and Swap Ratios

March 2010 Treasury and Swap Spreads

 
If you have questions, contact:
Pete Barker, Director, (312-930-8554)
Jonathan Kronstein, Associate Director, (312-930-3472)
Suzanne Spain, Associate Director, (312-338-2651)

About Intercommodity Spreads:

• Both components of the spread trade the same month and same year at a specific ratio
  • Example: March TOS Components: March 2009 10-Year U.S. Treasury Note over March 2009 10-Year Swap
  • Price Ratio: 1.2501
  • Quantity Ratio: 5:4
  • External name: TOS 05-04 H9
• Spread quotes are based on net change of first leg minus net change of second leg, divided by the current ratio 
• Minimum spread tick is equal to the contract with the smallest tick increment

Benefits:

• Increases matching opportunities by providing automated arbitrage between outright and spread order books
• Eliminates slippage and risk of not executing an Intercommodity spread at desired price  
• Simplicity of one ratio per spread concentrates liquidity
• Can reduce trading “noise” in individual legs during volatile markets

UPDATED Implied Price Functionality webinar
Treasury and Swap Spreads ISV Symbols
Treasury and Swap Spread Quote Vendor Symbols
Treasury And Swap Spread Overview

Publications:

Trading the TUT Spread: Capitalizing on Changes in the Yield Curve
Synthetic Swap Spreads 
Yield Curve Shifts Create Trading Opportunities