Characteristics of Different Types of Futures Contracts

In this article, we will discuss the characteristics and conventions for different types of futures contracts.

T-bill Futures Contracts

  • Face value: $1 million
  • Underlying asset: 90-day T-bills
  • Quotation: 100 minus annualized discount rate
  • Settlement: Settled in cash

Eurodollar Futures

  • Face value: $1 million
  • Underlying: 90-day LIBOR (add-on yield)
  • Quotation: 100 minus annualized LIBOR(%)
  • Settlement: Settled in cash
  • Minimum price change: 1 tick ($25 per $1 million contract)

In Eurodollar futures, the long gains when interest rates decline, and vice verse.

Treasury Bond Futures

  • Face value: $100,000
  • Underlying: Treasury bonds with maturity greater than 15 years
  • Quotation: Quoted as percent and fraction of 1% (1/32) of face value
  • Settlement: Deliverable contracts

The short can deliver from many bonds that meet the delivery terms. Generally, the cheapest-to-deliver bond will be delivered. 

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