What is Overnight-rate future?

An overnight-rate future is a cash-settled futures contract whose final price is 100 minus a rate computed from the daily fixings of an overnight benchmark (Definition 1.13) over a reference period: their arithmetic average over a calendar month for one-month contracts, their compounded rate over a quarter for three-month contracts. Before expiry the price is the market’s expectation of that settlement, adjusted for convexity (Section 8.4).