Interest Rate Futures

Futures & Options

Interest Rate Futures

1. 3M BIBOR 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.

Contract Symbol:

2. 5Y Gov Bond 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.

Contract Symbol:

Characteristics of a Contract:

Topic	3M BIBOR Futures	5Y Gov Bond Futures
Underlying Asset	3M BIBOR	5-Year Thai Government Bond with 5% coupon (semi-annual)
Contract Size	THB 10,000,000	THB 1,000,000
Tick size	0.005 (or THB125 per contract)	0.01 (or THB100 per contract)
Contract Months	March, June, September, December up to 2 quarters
Trading hours	Morning Session: 09:45 A.M. - 12:30 P.M. Afternoon Session: 14:15 P.M. - 16:00 P.M.