interest rate future


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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.

interest rate future

A contract on the future delivery of interest-bearing securities, primarily U.S. Treasury bills (on the Chicago Mercantile Exchange) or Treasury bonds (on the Chicago Board of Trade), although contracts on certificates of deposit, Ginnie Mae certificates, and Treasury notes are also available. As with other futures contracts, interest rate futures permit a buyer and a seller to lock in the price of an asset (in this case, a specified package of securities) for future delivery. The contracts are large in amount ($1 million for bills and $100,000 for bonds) and lend themselves to sophisticated analysis. Amateurs beware!
References in periodicals archive ?
Global Banking News-31 August 2009-Standard Chartered reports completion of interest rate futures transaction(C)2009 ENPublishing - http://www.enpublishing.co.uk
The minimum tick size will be fixed at 0.01 percent (10 euros per tick) in line with the tick sizes of the other Eurex interest rate futures. Trading hours are from 8 a.m.
On June 9, 2014, several Liffe US interest rate futures were transitioned to ICE Futures Europe and ICE Clear Europe.
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.
In addition to these IRRI rice, Palm Olein and Kibor interest rate futures are also listed and traded on NCEL.
In addition, NYSE Liffe also extended the trading hours for its Euribor interest rate futures contract in 2007, to incorporate the Asian trading day.
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 0.75 percentage point.
Alankit is already providing services to millions of its customers like online trading in equity, future and option segments, commodities, currency derivatives, interest rate futures, portfolio management, depository participant, registrar and share transfer agent.
Interest Rate Futures ( IRF) fell flat with public sector banks keeping away from the market due to policy glitches.
In the money market, short sterling interest rate futures eased downwards, reflecting a sense that the pressure on the Bank of England to raise its official interest rate from the 4.5 per cent, where it has been since last August, are less urgent than they seemed last week.
Central bank officials said the sharp rise appears to have stemmed from increases in long-term interest rates in late June, which apparently prompted the banks to actively conclude derivatives contracts involving interest rate futures.
Prices of three-month Euroyen interest rate futures fell on the Tokyo International Financial Futures Exchange, with the yield on the key September contract up to 0.43% from 0.4% Wednesday.