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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
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Heading |
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Contract Specification |
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Underlying Asset |
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3M BIBOR
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Ticker Symbol |
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BB3 |
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Contract Size |
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THB 10,000,000 |
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Contract Months
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2 nearest quarter months on March June September December cycle |
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Price Quotation |
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In terms of index 100.000 - Yield
(on annual basis with
3 decimal points) |
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Minimum Price
Fluctuations
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0.005 (or THB125 per contract) |
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Price Limit |
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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. |
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Trading Hours
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Pre-open:
Morning session:
Pre-open:
Afternoon session: |
09:15 -
09:45 hrs.
09:45 - 12:30 hrs.
14:00 - 14:30 hrs.
14:30 - 16:00 hrs.
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Speculative Position Limit |
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Net 2,000 contracts of 3M BIBOR Futures on one side of the market in any contract month or all contract months combined.
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Last Trading Day
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The third Wednesday of the contract month and the trading of
expiring contract will be ceased after 11:00 am on the last trading day |
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Final Settlement Price |
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Calculated from 3M BIBOR fixed at 11:00 am (BKK time) as announced by Bank of Thailand on the last trading day
(4 decimal points) |
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Settlement Method
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Cash Settlement |
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Exchange Fee
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THB 20 per contract per
side
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Brokerage Commission
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Freely negotiable |
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Remark :
The above description is a summary of the contract
specification. Please refer to
the procedures of listing of Derivatives Contracts
for the official contract specification. |
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Quote Vendor Codes |
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Interest Rate Futures Price: |
 Bloomberg |
Thomson
Reuters |
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<comdty>
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BB3my
0#BB3:
.BB3TVO.FX
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