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Interest Rate Futures Contract

   Also found in: Wikipedia 0.01 sec.
Interest rate futures contract
A futures contract based on an interbank deposit rate or an underlying debt security. The value of the contract rises and falls inversely to changes in interest rates.
Interest Rate Futures Contract
An agreement to buy and sell a debt obligation at a certain date at a certain price. For example, Investor A may make a contract with Creditor B in which A agrees to buy a certain number of B's bonds at a certain date for a certain amount. The value of an interest rate futures contract varies according to changes in the interest rates. For example, if interest rates rise, the value of the futures contract falls because a potential buyer will be able to buy another interest rate futures contract with a better interest rate. See also: Plain vanilla swap.
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The newly launched interest rate futures contract as well as the awaited introduction of a STRIPS market is expected to complete the width of products available to clients.
Nomura gets Primary Dealer licence for India by CPI Financial
Since the start of the year, rates on interest rate futures contracts that will expire at the end of 2005 have moved up about 60 basis points in response to evidence of robust economic growth and concerns about the possible emergence of inflationary pressures.
Monetary policy report to the Congress by Federal Reserve Bulletin
While figure 3 appears to suggest that price volatility is elevated when trading resumes following the lunchtime break, table 3 reports that this is statistically significant for the interest rate futures contracts only.
An Analysis of Intraday Quoted Bid-Ask Spreads in Futures Markets: ... by Duffy, Matthew / Australian Journal of Management
 
 
 
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