Inter-Commodity Treasury and Swap Spreads

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

Inter-Commodity 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

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.


  • Eliminates slippage and risk of not executing an Inter-Commodity 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


Ted Carey, Interest Rate Products
+1 312 930 8554

Jonathan Kronstein, Interest Rate Research
+1 312 930 3472