Debt Futures and Interest Rate Swaps. Futures on Debt Securities. Types T-Bills (IMM) T-Bonds and Notes (CBT) Eurodollar Deposits (IMM) Municipal Bond Index (CBT). T-Bill Futures.
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
Eurodollar Futures are similar to T-Bill futures. They call for delivery or purchase of Eurodollar deposits with a maturity of 90 days and F = $1M. They are quoted in terms of the IMM index. They differ from T-Bill futures in that there is a cash settlement feature. The cash settlement is based on the LIBOR. Used for speculating on ST rates and for hedging bank positions ( correlated with CD rates).
Take short position in futures to protect against a decrease in the spot price.
Short Hedging Strategies:
Hedging Cases with Debt