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 ?
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.
Although the interest rate future contract offers the advantage of flexibility as well as low transaction costs, its major disadvantage is the introduction of basis risk to the portfolio.
01 percent (10 euros per tick) in line with the tick sizes of the other Eurex interest rate futures.
Global Banking News-31 August 2009-Standard Chartered reports completion of interest rate futures transaction(C)2009 ENPublishing - http://www.
ICE Futures Europe launched Eris Euribor and GBP LIBOR interest rate futures contracts in June 2015.
New figures released by market researchers CME Group and gauging prices for interest rate futures suggest that investors are also betting on just one rate this year instead of two.
The QED service also distributes select Frankfurt-sourced equity index and interest rate futures in Madrid and Marseille at the lowest commercially available latency.
CurveGlobal said it plans to initially offer trading in short term interest rate futures in Euribor and short Sterling and long term interest rate futures in Bund, Bobl, Schatz and Gilts.
Top stock exchange NSE will launch a new interest rate futures (IRF) contract offering 7.
Interest rate futures, which had been pointing to a likely rate hike in June of next year, rose to suggest less of a chance.
According to interest rate futures, however, con-dence in that view is falling, whereby the rise may occur in 2015 instead.
On June 9, 2014, several Liffe US interest rate futures were transitioned to ICE Futures Europe and ICE Clear Europe.