An exchange-traded futures contract on the 3-month LIBOR rate. Each contract controls a notional amount of USD 100,000. Interest on these futures is calculated on an ACT/360 day count basis. The rates (R) on LIBOR futures are quoted on the Eurodollar futures in terms of the price: 100 x (1-R). This type of futures is structured to the effect that a single contract pays USD 25 for each basis point movement in LIBOR.
A LIBOR futures contract is similar to a forward rate agreement (FRA), except that its terms are regulated by futures exchanges.
LIBOR futures contracts are also referred to as Eurodollar futures.
