Interest rate futures refer to futures contracts with bond securities as the subject matter, which can avoid the risk of securities price changes caused by bank interest rate fluctuations. Interest rate futures can generally be divided into short-term interest rate futures and long-term interest rate futures. The former is mostly based on the three-month interest rate of interbank lending, while the latter is mostly based on long-term bonds with more than five years. The fluctuation of interest rate makes both borrowers and lenders in the financial market face interest rate risk, especially more and more investors holding national bonds need tools to avoid risks and hedge. In this case, interest rate futures came into being. The earliest interest rate futures business was started in the United States. At the end of 1970s, due to the influence of two oil crises, interest rates in the United States and major western capitalist countries fluctuated sharply, which made both borrowers and borrowers face great risks. In order to reduce or avoid the risk of interest rate fluctuation,1September 1975, the Chicago Mercantile Exchange first introduced interest rate futures-mortgage certificate futures of the National Mortgage Association of the United States, and then introduced interest rate futures of financial instruments such as short-term treasury bonds, medium-and long-term treasury bonds, time deposit certificates of commercial banks and European dollar deposits.