A Note on Interest Rate Futures

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Case Details:

Case Code : MISC011
Case Length : 15 Pages
Period : -
Pub Date : 2003
Teaching Note : Available
Organization : -
Industry : Banking & Financial Services
Countries : -

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This case study was compiled from published sources, and is intended to be used as a basis for class discussion. It is not intended to illustrate either effective or ineffective handling of a management situation. Nor is it a primary information source.

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Introduction

An interest rate futures contract is "an agreement to buy or sell a package of debt instruments at a specified future date at a price that is fixed today." The underlying assets of an interest rate futures contract are different interest bearing instruments like T-Notes, T-Bills, T-Bonds, deposits and so on.

Interest rate futures contracts were first traded on October 20, 1975, in the Chicago Board of Trade.

Such contracts can have short-term (less than one year) and long-term (more than one year) interest bearing instruments as the underlying asset.

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In the US, short-term interest rate futures like 90-day T-Bill and 3 month Eurodollar time deposits are more popular (See Exhibit I for actively traded short-term interest rate futures). Long-term interest rate futures include the 10-year treasury note futures contract, the treasury bond futures contract and more (See Exhibit II for actively traded long-term interest rate futures)...

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