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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.
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.
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
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TYT: 2-Year T-Note vs. 3-Year T-Note
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FYT: 5-Year T-note vs.10-Year T-note
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TUF: 2-Year T-note vs. 5-Year T-Note
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FOB: 5-Year T-note vs. 30-Year T-bond
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TUT: 2-Year T-note vs. 10-Year T-note
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NOB: 10-Year T-note vs. 30-Year T-bond
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TUB: 2-Year T-note vs. 30-Year T-bond
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FOS: 5-Year T-note vs. 5-Year Swap
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TOF: 3-Year T-Note vs. 5-Year T-Note
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NOS: 10-Year T-Note vs. 7-Year Swap
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TUN: 3-Year T-Note vs. 10-Year T-Note
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TOS: 10-Year T-note vs. 10-Year Swap
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TOB: 3-Year T-Note vs. 30-Year T-Bond
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BOI: 30-Year T-Bond vs. 30-Year Swap
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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:
Benefits:
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