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. 5-Year Thai Government Bond Futures launched since Oct 18, 2010.
Summary of 5Y GOV Bond Futures Contract Specification
2 nearest quarter months on March June September December cycle
Price quoted by percent of par value with 2 decimal points.
0.01 (or THB100 per contract)
Initial price limit is
+2.50% 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 +5.00% of
the latest settlement price.
Net 10,000 contracts of
5Y Gov Bond Futures on one side of the market in any contract month or all contract months combined.
Last Trading Day
The third Wednesday of the contract month and the trading of series going to expire will be ceased after 16:00 hrs. on the last trading day
Final Settlement Price
- Based on basket of eligible bond � A designated basket of Government
Bonds with a minimum issuance size of �5,000 million and 4 - 6 year
to maturity on the first calendar day of the contract month.
- Calculated from average yield quoted by primary dealers
(4 decimal points)