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.
Ted Carey, Interest Rate Products
+1 312 930 8554
Jonathan Kronstein, Interest Rate Research
+1 312 930 3472