CME Group » Interest Rates » Intercommodity Treasury and Swap Sp

Intercommodity Treasury and Swap Spreads

 
 
 

About Intercommodity Spreads

Intercommodity spreads (ICS) 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.

  • Both components of the spread trade the same month and same year at a specific ratio.
    • Example: March FYT Components: March 2013 5-Year U.S. Treasury Note over March 2013 10-Year U.S. Treasury Note
    • Price Ratio: 1.5000
    • Quantity Ratio: 3:2
    • External name: FYT 03-02 H3
  • Spread quotes are based on the following: [Net change of the front leg (in 32nds)] minus [(Net change of the second leg) divided by (the appropriate Price Ratio)]
  • Minimum spread tick is equal to that of the minimum tick of the front leg of the spread.
Implied Pricing on Treasury
vs. DSF Spreads (May 6)

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
  • Can reduce trading “noise” in individual legs during volatile markets

Treasury and Swap Spread Ratios

 

 

Intercommodity Spread Curve Tracker

Resources

Publications

Simpler, Easier Way to Track Treasury and Swap Spreads
The CME Group Intercommodity Spread Curve Tracker helps 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.

Treasury and Swaps Spread Listing

TYT: 2-Year T-Note vs. 3-Year T-Note FOB: 5-Year T-Note vs. T-Bond
TUF: 2-Year T-note vs. 5-Year T-Note FOL: 5-Year T-Note vs. Ultra T-Bond
TUT: 2-Year T-note vs. 10-Year T-note FOS: 5-Year T-Note vs. 5-Year Swap
TUB: 2-Year T-note vs. T-bond NOB: 10-Year T-Note vs. T-Bond
TUL: 2-Year T-note vs. Ultra T-Bond NOL: 10-Year T-Note vs. Ultra T-Bond
TOF: 3-Year T-Note vs. 5-Year T-Note NOS: 10-Year T-Note vs. 7-Year Swap
TUN: 3-Year T-Note vs. 10-Year T-Note TOS: 10-Year T-Note vs. 10-Year Swap  
TOB: 3-Year T-Note vs. T-Bond
 BOB: T-Bond vs. Ultra T-Bond
TOU: 3-Year T-Note vs. Ultra T-Bond BOI: T-Bond vs. 30-Year Swap
FYT: 5-Year T-Note vs. 10-Year T-Note UOS: Ultra T-Bond vs. 30-Year Swap
Contacts
Mike Kamradt, Executive Director
+1 312 466 7473

Jonathan Kronstein, Senior Director
+1 312 930 3472

Matt Gierke, Director
+1 312 338 2651
 
 

 

 
 
 
 
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