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Interest Rate Resource Center
Interest Rate Statistics and Updates
Quarterly Interest Rate Update – Q3 2009
View product volumes, historical volatilities, credit spreads, foreign holdings and more.
Interest Rate Research, Information, Tools & Analytics — by Product
New Strategy | Interest Rate Futures and Options
Curve Trades with Eurodollar and Interest Rate Swap Futures Spreads (PDF)
Simple and direct means to take views on the shape of the swap curve.
Curve Trades with Eurodollar and Interest Rate Swap Futures Spreads (PDF)
Simple and direct means to take views on the shape of the swap curve.
New Strategy | STIRS
Creating Inexpensive Swaps (PDF)
Implementing a Swap-Replication Strategy with Eurodollar Futures.
Creating Inexpensive Swaps (PDF)
Implementing a Swap-Replication Strategy with Eurodollar Futures.
New Strategy | U.S. Treasuries
Yield Curve Shifts Create Trading Opportunities (PDF)
Strategies for enhanced returns using Treasury futures.
Yield Curve Shifts Create Trading Opportunities (PDF)
Strategies for enhanced returns using Treasury futures.
New Strategy | Swaps
Interest Rate Swap Futures (PDF)
An ideal opportunity for financial risk managers.
Interest Rate Swap Futures (PDF)
An ideal opportunity for financial risk managers.
Research and Strategy Papers
Synthetic Swap Spreads Strategy Paper
Liability Driven Investing: Challenges and Opportunities Strategy Paper
Reference Guides
CBOT Interest Rate Swap Futures Reference Guide
Fact Cards
CBOT Interest Rate Swap Futures Fact Card
Options on Interest Rate Swap Futures Fact Card
Tools and Analytics
Interest Rate Swap Futures 6 Percent Price-Yield Tables
Interest Rate Swap Futures 4 Percent Price-Yield Tables
- New Opportunities in Treasury and Swap Spreads: Traders' Insights (July 15, 2009)
- Overlay Applications for Treasury and Swap Futures for U.S. Treasury and Interest Rate Swap Futures (May 14, 2009)
- Historic U.S. Treasury Debt: Where are the Opportunities? (Mar. 26, 2009)
- Implied Price Functionality (updated Feb. 2009)
- Interest Rate Swap Futures - Concepts and Opportunities (Jan. 22, 2009)
- Opportunities in Trading Treasury and Swaps Spreads (Dec. 16, 2008)
- Combination Hedges for Managing Fixed Income Exposure (Nov. 6, 2008)
- Opportunities in LIBOR and OIS (Oct. 23, 2008)
- Watching the Fed: Traders' Perspectives. Host: Rick Santelli, CNBC Business News (Fed Watch series, Jun. 19, 2008)
