Interest rate futures contract

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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Through the gateway, TT customers can trade the exchange's benchmark three-month euro yen short-term interest rate futures contract.
In the financial futures category we have a 3 month KIBOR interest rate futures contract. We have several more contracts in the pipeline due to be launched within the current financial year including sugar, wheat, maize, basmati rice, cotton and currency futures.
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.
Similarly, the original mortgage backed security, the GNMA (Government National Mortgage Association), which was the first interest rate futures contract, lost out to the more liquid Treasury Bond contract.
Finance theory long has recognized that a rich set of option contracts written on any underlying financial instrument or economic variable, such as an interest rate (or interest rate futures contract), can provide a great deal of information beyond simple expectations of a future price.
Consider the fate of the first interest rate futures contract, the GNMA (Government National Mortgage Association) CDR (Collateralized Depositary Receipt) contract.
In addition, NYSE Liffe also extended the trading hours for its Euribor interest rate futures contract in 2007, to incorporate the Asian trading day.
Fischer's remarks fuelled that sense of anticipation, though interest rate futures contracts indicate that market is pricing in about 50/50 odds of an increase in December.
Eris interest rate futures contracts are based on the Eris Methodology and replicate all of the cash flows and economics of comparable swaps traded in the over-the-counter market, including Price Alignment Interest (PAI), which are incorporated into a single futures-style variation margin cash flow.
To measure how investors' views about the future path of the federal funds rate have evolved since late 2008, we examine changes in the prices of interest rate futures contracts. The Chicago Board of Trade's federal funds futures market allows investors to purchase a contract which pays them interest on their investment equal to the average federal funds rate during the settlement month.
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.
Before yesterday's decision traders were betting on at least a quarter point cut at the bank's next meeting in August, according to Bloomberg estimates based on interest rate futures contracts. Santos said he expects a half-point reduction next month to be the bank's last though sees room for more stimulus if evidence of a stronger recovery from a contraction in the third quarter of 2011 doesn't emerge.