Futures Markets (2): Contracts on Interest Rates

Patrice Poncet () and Roland Portait
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Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 15 in Capital Market Finance, 2022, pp 607-666 from Springer

Abstract: Abstract This chapter provides an in-depth analysis of the two principal types of futures contracts on interest rates. The notional contracts on short-, medium-, or long-term securities presented in Sect. 15.1 are defined relative to an “abstract” reference (a “notional” security ) without physical existence and lead, at the seller’s will, to the delivery of one among different eligible physical securities similar to the notional security. The Short-Term Interest Rate contracts (STIRS), examined in Sect. 15.2, are referenced on a short-term underlying rate (3 months or less) although the contract maturity may be much longer, they are cash settled exclusively, and are based either on a forward-looking interest rate, usually a 3-month LIBOR, or on a backward-looking average of overnight rates.

Date: 2022
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DOI: 10.1007/978-3-030-84600-8_15

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