Interest rate futures contract


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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.
5 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today is celebrating the 25th anniversary of its benchmark interest rate futures contract, CME Eurodollar futures.
CME Eurodollar futures are the world's most actively traded interest rate futures contract and serve as a benchmark for investors worldwide.
futures exchange, today announced that it will launch weekly expirations on the One- Year Mid-Curve options on CME Eurodollar futures, the world's most actively traded interest rate futures contract.
Last month, India's central bank took action to reverse that, announcing it would introduce 10-year interest rate futures contracts by the end of the year.
traded interest rate futures contracts already cleared by NYPC, fixed income cash and repo trades cleared by the DTCC's Fixed Income Clearing Corporation (FICC) and interest rate swaps cleared by LCH.
Similarly, it is believed that yields on short-term interest rate futures contracts might rise on speculation that policy makers would lift their overnight interest rate by 0.
Prices for US interest rate futures contracts showed dealers scaling back bets on further rate cuts, implying no more than a 50-50 chance the Fed will lower rates again in December, down from a perceived 64 per cent on Tuesday night.
For more than a decade, trading volumes in these contracts remained miniscule in comparison with other interest rate futures contracts, such as 3-month eurodollar and long-term Treasury securities.
Fed funds futures are interest rate futures contracts that are based on the monthly average fed funds rate for each month traded.
Moreover, as suggested by implied yields on interest rate futures contracts, market participants had come to expect that the Federal Reserve would ease the federal funds rate as much as 50 basis points by year-end and that the Bank of Japan might ease call rates again but by a smaller increment (roughly 25 basis points).
Although numerous uses of interest rate futures contracts exist for life insurers, this analysis will be limited to three: portfolio management, future cash flow management and life policy management.