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LIBOR Futures


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.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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