Intercommodity Treasury and Swap Spreads

Implied, pre-defined spreads on U.S. Treasury Futures and Interest Rate Swap futures. Traded on CME Globex

Intercommodity spreads (ICS) 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.

ICS Overview

ICS Analytics Tool

View in:

简体中文 | 繁體中文 | 日本語

Treasury Spread Ratios

Mechanics and Pricing

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.

Benefits

Eliminates slippage and risk of not executing an Intercommodity spread at desired price
Increases matching opportunities by providing automated arbitrage between outright and spread order books
Provides arbitrage opportunities: Match engine may be able to “leg” spread orders at prices better than the spread order price
Can reduce trading “noise” in individual legs during volatile markets

Resources

Contacts

Ted Carey, Interest Rate Products
+1 312 930 8554

Jonathan Kronstein, Interest Rate Research
+1 312 930 3472

Send Us Feedback

Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

Contact Us

View All

CME Group / Chicago HQ

Phone: +1 312 930 1000

Toll Free (US Only): +1 866 716 7274

Margin Services

Tech Talk