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.
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.
STIR futures ICS
Manage basis risk and capture relative-value opportunities between US Money Market rates more efficiently with spreads between Eurodollars, Fed Funds, and SOFR futures.
Eris Swap futures ICS
Efficiently execute curve trades between Eris Swap futures contracts while eliminating slippage risk that could occur when legging such a spread.
Current Treasury spread ratios: September 2020 | September 2020 (XLS) | June 2020 | June 2020 (XLS) | Historical Ratios (2009+)
Spread |
Spread ratio* |
CME Globex code (September 2019 Contract Example) |
Bloomberg code |
STIRS |
|
||
Fed Funds vs. Eurodollars |
6:10 |
ZQV9X9-GEU9 |
FFED Comdty |
SOFR 3-Month vs. Eurodollars |
1:1 |
SR3U9-GEU9 |
SFRED Comdty |
SOFR 1-Month vs. Fed Funds |
1:1 |
SR1U9-ZQU9 |
SERFF Comdty |
SOFR 1-Month vs. SOFR 3-Month |
6:10 |
SR1 V9X9-SR3U9 |
SERSFR Comdty |
Fed Funds vs. SOFR 3-Month |
6:10 |
ZQ V9X9-SR3U9 |
FFSFR Comdty |
Treasuries |
|
||
2-Year T-Note vs. 5-Year T-Note |
5:4 |
TUF 05-04 U9 |
|
2-Year T-Note vs. 5-Year T-Note |
3:2 |
TAF 03-02 U9 |
|
2-Year T-Note vs. 10-Year T-Note |
2:1 |
TUT 02-01 U9 |
|
5-Year T-Note vs. 10-Year T-Note |
3:2 |
FYT 03-02 U9 |
|
5-Year T-Note vs. T-Bond |
4:1 |
FOB 04-01 U9 |
|
10-Year T-Note vs. T-Bond |
5:2 |
NOB 05-02 U9 |
|
T-Bond vs. Ultra T-Bond |
3:2 |
BOB 03-02 U9 |
|
Eris Swap futures |
|
||
| 2-Year vs. 3-Year Eris Swap futures | 3:2 | ETR 03-02 U19 | |
| 2 Year vs. 7 Year Eris Swap futures | 3:1 | ETV 03-01 U19 | |
| 2-Year vs. 10-Year Eris Swap futures | 4:1 | ETN 04-01 U19 | |
| 4-Year vs. 5-Year Eris Swap futures | 5:4 | EOF 05-04 U19 | |
| 5-Year vs. 7-Year Eris Swap futures | 4:3 | EFV 04-03 U19 | |
| 5-Year vs. 10-Year Eris Swap futures | 2:1 | EFN 02-01 U19 | |
| 7-Year vs. 10-Year Eris Swap futures | 4:3 | EVN 04-03 U19 | |
*Price and quantity ratios are expected to remain unchanged absent substantial changes in the marketplace
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