Interest Rates Total Cost Analysis Tool

Compare the all-in costs of listed futures versus OTC instruments for interest rate exposure.

It provides a quantitative model analyzing the difference between all-in costs across Interest Rate Swaps, Treasury futures, SOFR futures, and Eris Swap futures.

Cost variation

Analyze different costs: liquidity impact, transaction fees, and capital implications

Personalization

Input your own sources for FCM fees, CCP fees, and initial margin

Scenario Analysis

Quickly compare costs based on different tenors and holding periods

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Related Research and Analysis

- - - Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data
  - - Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data
    - By CME Group
      
      October 21, 2024
    - Learn how CME Group's Treasury cash market penetration assessment methodology has shifted from a primary dealer survey to FINRA’s Trade Reporting and ...
- - - Eris SOFR Swap Futures Inter-Commodity Spreads
  - - Eris SOFR Swap Futures Inter-Commodity Spreads
    - By CME Group
      
      March 21, 2024
    - Get an overview of Eris SOFR Swap Futures Inter-Commodity Spreads, including listing details, leg ratios, quoting conventions and more.
- - - How Overnight Reference Rates React to Central Bank Policy
  - - How Overnight Reference Rates React to Central Bank Policy
    - By Chris Farran
      
      February 23, 2024
    - Explore insights on the relationships between central bank policies and the spread between secured and unsecured rates in this article.
- - - REDIRECT - Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data
  - - REDIRECT - Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data
    - By CME Group
      
      January 22, 2024
    - Learn how CME Group's Treasury cash market penetration assessment methodology has shifted from a primary dealer survey to FINRA’s Trade Reporting and ...

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Interest Rates Total Cost Analysis Tool

Cost variation

Personalization

Scenario Analysis

Related Research and Analysis

Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data

Eris SOFR Swap Futures Inter-Commodity Spreads

How Overnight Reference Rates React to Central Bank Policy

REDIRECT - Treasury Cash Market Penetration (TCMP): Shifting from Primary Dealer to TRACE Data

Interest Rates

SOFR

U.S. Treasuries

Swap Futures