Intercommodity Treasury and Swap 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.


  • 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 Spread Listing

TYT: 2-Year T-Note vs. 3-Year T-Note TOU: 3-Year T-Note vs. Ultra T-Bond
TUF: 2-Year T-note vs. 5-Year T-Note FYT: 5-Year T-Note vs. 10-Year T-Note
TUT: 2-Year T-note vs. 10-Year T-note FOB: 5-Year T-Note vs. T-Bond
TUB: 2-Year T-note vs. T-bond FOL: 5-Year T-Note vs. Ultra T-Bond
TUL: 2-Year T-note vs. Ultra T-Bond NOB: 10-Year T-Note vs. T-Bond
TOF: 3-Year T-Note vs. 5-Year T-Note NOL: 10-Year T-Note vs. Ultra T-Bond
TUN: 3-Year T-Note vs. 10-Year T-Note BOB: T-Bond vs. Ultra T-Bond
TOB: 3-Year T-Note vs. T-Bond  


Ted Carey, Interest Rate Products
+1 312 930 8554

Jonathan Kronstein, Interest Rate Research
+1 312 930 3472