The economic rationale for the existence of futures markets is that they facilitate hedging: they allow the more risk averse market participants to transfer the risk of price changes to speculators more willing to bear such risks. Recent fluctuations in interest rates and currencies bear testament to the need for such a hedging mechanism. Accordingly, the effectiveness with which such markets facilitate hedging is of considerable interest. This paper is concerned with the hedging effectiveness of the three interest rate futures contracts traded on the Irish Futures and Options Exchange (IFOX). This exchange commenced operations on 29th May, 1989. Both the 3 month DIBOR Contract and the 20 year Long Gilt Contract have been traded from this date. Due to the volatility of long-term interest rates in recent years, the Long Gilt Future is frequently traded for both speculative and hedging purposes. The DIBOR futures contract has a broader based use, which is reflected in its high trading volume. On September6th 1990, IFOX launched a future on a notional 5-year Government Gilt and there has been substantial activity in this contract.