Trading Interest Rates

Hi,

Here's the interest rate for T bills (3months) for the past few months:

01/01/08 2.82
02/01/08 2.17
03/01/08 1.28
04/01/08 1.31
05/01/08 1.76
06/01/08 1.89
07/01/08 1.66
08/01/08 1.75
09/01/08 1.15
10/01/08 0.69
11/01/08 0.19
12/01/08 0.03
01/01/09 0.13
02/01/09 0.3
03/01/09 0.22
04/01/09 0.16
05/01/09 0.18
06/01/09 0.18
07/01/09 0.18
08/01/09 0.17
09/01/09 0.12
10/01/09 0.07
11/01/09 0.05
12/01/09 0.05
01/01/10 0.06
02/01/10 0.11
03/01/10 0.15
04/01/10 0.16
05/01/10 0.16

Is there an ETF (or another instrument) to model these interest rates?

I.e. when the interest rate is 2.82 (January 08) the ETF should close at 102.82 and for January 09 (rate 0.13) it should close at 100.013.

Thanks

 

Try FedFunds (CBOT) or, failing that Eurodollar (CME), futures. Should do the trick for you.

 

Thank you!

 

Is there some reason the CME group T-bill future isn't the right answer here? The Eurodollar future isn't far off either, but the two differ by the TED spread, which is occasional non-trivial.

http://www.cmegroup.com/trading/interest-rates/us-treasury/13-week-t-bill_quotes_globex.html

BTW, in either case the prices don't move like you're suggesting. As with all bonds yield moves inversely to price.

 

Yes, I suggested "price=100+rate" but "price=100-rate" also works for what I need.

 

Erm, have you seen the open interest on that T-bill future? It might as well not be there. If you don't like the basis aspect of it, the alternative is the FedFund future.