An interest rate futures is a futures contract with an interest-bearing instrument as the underlying asset. Interest rate futures are used to hedge against the risk of interest rates moving in an adverse direction. For example, borrowers face the risk of interest rates rising. Futures use the inverse relationship between interest rates and bond prices to hedge against the risk of rising interest rates. A borrower will enter to sell a future today. Then if interest rates rise in the future, the value of the future will fall , and hence a profit can be made when closing out of the future. 3M BIBOR Futures launched since Nov 29, 2010.
Summary of 3M BIBOR Futures Contract Specification
2 nearest quarter months on March June September December cycle
In terms of index 100.000 - Yield (on annual basis with
3 decimal points)
0.005 (or THB125 per contract)
Initial price limit is
+1.25% from the latest settlement price. Should traded price reach the limit, trading will be halted for a certain period announced by TFEX. After trading resumes, the price limit will be expanded to +2.50% of
the latest settlement price.