Interest Rate Futures Inter-Commodity Spreads

Pre-defined spreads on Interest Rate futures. Traded on CME Globex.

CME Globex listed Inter-Commodity Spreads (ICS) on Interest Rate futures allow for more efficient execution of the most commonly traded spreading strategies, with reduced leg risk on executions, automatic margin offsets and increased matching opportunities.

Key benefits

  • Eliminates price slippage and risk of not executing a spread at desired price
  • Increases matching opportunities and enhances liquidity by providing automated arbitrage between outright and spread order books
  • Provides arbitrage opportunities as the 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

Product information

Treasury futures ICS

Execute yield curve trades more efficiently with spread trades between Treasury futures contracts at different points on the curve in a single transaction on CME Globex.

Product details

STIR futures ICS

Manage basis risk and capture relative-value opportunities between Money Market rates more efficiently with spreads between SOFR, Fed Funds, €STR, and BSBY futures.

Product details

Eris Swap futures ICS

Efficiently execute curve trades between Eris SOFR Swap futures contracts while eliminating slippage risk that could occur when legging such a spread.

Product details

Trading resources

Current Treasury spread ratios: September 2023 | September 2023 (XLS) | December 2023 | December 2023 (XLS) | Historical Ratios (2009-2020)

Spread

Spread ratio*

CME Globex code

(September 2023 Contract Example)

Bloomberg code

STIRS

 

1-Month SOFR vs. Fed Funds

1:1

SR1U3-ZQU3

SERFF <Comdty> CT

1-Month vs. 3-Month SOFR

6:10

SR1 V3X3-SR3U3

SERSFR <Comdty> CT

Fed Funds vs. 3-Month SOFR

6:10

ZQ V3X3-SR3U3

FFSFR <Comdty> CT

3-Month SOFR vs. BSBY

1:1

SR3U3-BSBU3

SFRBSB <Comdty> CT

3-Month €STR vs. 3-Month SOFR

1:1

ESRU3-SR3U3

KTRSFR <Comdty> CT

Treasuries

 

2-Year T-Note vs. 5-Year T-Note

5:4

TUF 05-04 U3

 

2-Year T-Note vs. 5-Year T-Note

3:2

TAF 03-02 U3

 

2-Year T-Note vs. 10-Year T-Note

2:1

TUT 02-01 U3

 

5-Year T-Note vs. 10-Year T-Note

3:2

FYT 03-02 U3

 

5-Year T-Note vs. T-Bond

4:1

FOB 04-01 U3

 

10-Year T-Note vs. T-Bond

5:2

NOB 05-02 U3

 

T-Bond vs. Ultra T-Bond

3:2

BOB 03-02 U3

 

Eris SOFR Swap futures

 

1-Year vs. 2-Year Eris SOFR Swap

1:1

EAT 01-01 U3

 

1-Year vs. 3-Year Eris SOFR Swap

1:1

EIC 01-01 U3

 

2-Year vs. 3-Year Eris SOFR Swap

1:1

ETC 01-01 U3

 

2-Year vs. 5-Year Eris SOFR Swap

5:2

ETW 05-02 U3

 

3-Year vs. 4-Year Eris SOFR Swap

1:1

EID 01-01 U3

 

3-Year vs. 5-Year Eris SOFR Swap

5:3

ECW 05-03 U3

 

4-Year vs. 5-Year Eris SOFR Swap

1:1

EDW 01-01 U3

 

5-Year vs. 10-Year Eris SOFR Swap

2:1

EIY 05-02 U3

 

*Price and quantity ratios are expected to remain unchanged absent substantial changes in the marketplace

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