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 US Money Market rates more efficiently with spreads between Eurodollars, Fed Funds, and SOFR futures.

Product details

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.

Product details

Trading resources

Current Treasury spread ratios: Sep 2019 | Sep 2019 (XLS) | Dec 2019 | Dec 2019 (XLS)

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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