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

LTIR futures ICS

Trade the Treasury yield curve using Treasury futures ICS.

Treasury futures ICS product details

Trade the SOFR swap curve and the SOFR swap spread using Eris SOFR swap futures ICS.

Eris SOFR Swap futures 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.

STIR futures ICS product details

ICS Resources

Understand how to utilize spread strategies in the TBA market.

Spreading 30-Year UMBS TBA futures and Treasury futures

Understand how implied liquidity is generated in LTIR futures ICS markets:

Liquidity in implied ICS markets

Trading resources

Current ratios and Bloomberg codes: PDF | XLS

Spread

Spread ratio*

CME Globex code

(December 2023 Contract Example)

Bloomberg code

STIRS

 

1-Month SOFR vs. Fed Funds

1:1

SR1Z3-ZQZ3

SERFF <Comdty> CT

1-Month vs. 3-Month SOFR

6:10

SR1F4G4-SR3Z3

SERSFR <Comdty> CT

Fed Funds vs. 3-Month SOFR

6:10

ZQ V3X3-SR3U3

FFSFR <Comdty> CT

3-Month €STR vs. 3-Month SOFR

1:1

ESRZ3-SR3Z3

KTRSFR <Comdty> CT

Treasuries

 

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

5:4

TUF 05-04 Z3

 

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

3:2

TAF 03-02 Z3

 

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

2:1

TUT 02-01 Z3

TUTY <Comdty>

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

3:2

FYT 03-02 Z3

 

5-Year T-Note vs. T-Bond

3:1

FOB 03-01 Z3

FVUS <Comdty>

10-Year T-Note vs. T-Bond

2:1

NOB 02-01 Z3

 

T-Bond vs. Ultra T-Bond

2:1

BOB 02-01 Z3

 

Eris SOFR Swap futures

 

1-Year vs. 2-Year Eris SOFR Swap

1:1

EAT 01-01 Z23

YIAYIT <Comdty>

1-Year vs. 3-Year Eris SOFR Swap

1:1

EIC 01-01 Z23

YIAYIC <Comdty>

2-Year vs. 3-Year Eris SOFR Swap

1:1

ETC 01-01 Z23

YITYIC <Comdty>

2-Year vs. 5-Year Eris SOFR Swap

5:2

ETW 05-02 Z23

YITYIW <Comdty>

3-Year vs. 4-Year Eris SOFR Swap

1:1

EID 01-01 Z23

YICYID <Comdty>

3-Year vs. 5-Year Eris SOFR Swap

5:3

ECW 05-03 Z23

YICYIW <Comdty>

4-Year vs. 5-Year Eris SOFR Swap

1:1

EDW 01-01 Z23

YIDYIW <Comdty>

5-Year vs. 10-Year Eris SOFR Swap

2:1

EIY 05-02 Z23

YIWYIY <Comdty>

Eris SOFR Swap futures vs. Treasuries

 
5-Year Eris SOFR Swap vs. 5-Year T-Note

1:1

EWV 01-01 Z23-Z3

YIWFV <Comdty>
7-Year Eris SOFR Swap vs. 10-Year T-Note

1:1

EBN 01-01 Z23-Z3

YIBTY <Comdty>
10-Year Eris SOFR Swap vs. Ultra 10-Year T-Note

1:1

EYT 01-01 Z23-Z3

YIYUXY <Comdty>

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

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