Risk-Based Overnight-Linked Futures Design

Market infrastructure developments analysis, muRisQ Advisory, September 2018

22 Pages Posted: 4 Sep 2018 Last revised: 6 Oct 2018

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: August 22, 2018

Abstract

The importance of overnight rate benchmarks has been increasing in the last years and is expected to increase further in the coming years. They could take over the IBOR-like benchmarks as the most important interest rate benchmarks. In this note we propose a new design for an overnight-linked futures. The design borrows on a swap futures design previously proposed by the author. The proposed design creates a potential unified approach to many interest rate futures and contributes to a common language between OTC and ETD markets. The design also reduces some of the drawbacks in existing futures.

Keywords: overnight benchmark, futures, market infrastructure, new design

JEL Classification: G13, G15

Suggested Citation

Henrard, Marc P. A., Risk-Based Overnight-Linked Futures Design (August 22, 2018). Market infrastructure developments analysis, muRisQ Advisory, September 2018. Available at SSRN: https://ssrn.com/abstract=3238640 or http://dx.doi.org/10.2139/ssrn.3238640

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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Brussels, 1210
Belgium

HOME PAGE: http://murisq.com

OpenGamma ( email )

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256-260 Old Street
London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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