The aim of this paper is to analyze the existence of nsk premia for long term interest rate futures contracts on the Spanish Market in Financia1 Futures within the theoncal framework of the CAPM. The analysis shows that operators in futures bear systematic nsk, and that their remuneration seems to be adequate for the nsk leve1 that is borne. However, the results should be regarded as provisional, since the timesenes of profitability are discontinuous and the number of negotiated contracts is small.

Keywords: futures contracts, risk premia, CAPM.