See live quotes in all implied Treasury and Swap spreads

CME Group Treasury and Swap Spreads are implied 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. In conjunction with the launch of 3-Year T-Note futures on March 23, 2009, four new implied Treasury spreads were introduced.

September Intercommodity Spread Ratios

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

Spread ratios for June 2009 contracts
UPDATED Implied Price Functionality webinar
Implied Price Functionality Overview
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