ASX Interest Rate Futures and Options Settlement History

The 30 Day Interbank Cash Rate Futures, 3 Year Treasury Bond Futures and 10 Year Treasury Bond Futures contracts are all cash settled contracts. The 90 Day Bank Bill futures contract is a deliverable contract where upon settlement an approved Bank Accepted Bill of Exchange or Negotiable Certificate of Deposit is exchanged.

30 Day Interbank Cash Rate Futures (IB)

Expiry Settlement
Price 		Expiry Settlement
Price 		Expiry Settlement
Price
Jan-13 97.000 Jan-12 95.750 Jan-11 95.250
Feb-13 97.000 Feb-12 95.750 Feb-11 95.250
Mar-13 97.000 Mar-12 95.755 Mar-11 95.250
Apr-13 97.000 Apr-12 95.750 Apr-11 95.250
May-12 96.234 May-11 95.250
Jun-12 96.458 Jun-11 95.250
Jul-12 96.500 Jul-11 95.250
Aug-12 96.500 Aug-11 95.250
Sep-12 96.505 Sep-11 95.250
Oct-12 96.734 Oct-11 95.250
Nov-12 96.755 Nov-11 95.492
Dec-12 96.968 Dec-11 95.702

 
90 Day Bank Accepted Bill Futures (IR)

Expiry Settlement
Price 		Expiry Settlement
Price 		Expiry Settlement
Price
Mar-13 97.010 Mar-12 95.540 Mar-11 95.150
Jun-13 Jun-12 96.430 Jun-11 95.020
Sep-13 Sep-12 96.440 Sep-11 95.210
Dec-13 Dec-12 96.900 Dec-11 95.520


 3 Year Government Treasury Bond Futures (YT)

Expiry Settlement
Price		 Expiry Settlement
Price		 Expiry Settlement
Price
Mar-13 96.860 Mar-12 96.255 Mar-11 95.065
Jun-13 Jun-12 97.635 Jun-11 95.135
Sep-13 Sep-12 97.205 Sep-11 96.410
Dec-13 Dec-12 97.185 Dec-11 96.885

 
10 Year Government Treasury Bond Futures (XT)

Expiry Settlement
Price 		Expiry Settlement
Price 		Expiry Settlement
Price
Mar-13 96.370 Mar-12 95.785 Mar-11 94.545
Jun-13 Jun-12 97.085 Jun-11 94.755
Sep-13 Sep-12 96.695 Sep-11 95.875
Dec-13 Dec-12 96.690 Dec-11 96.175


3 Month Overnight Index Swap Futures (OI)

Expiry Settlement
Price 		Expiry Settlement
Price
Mar-13 97.070 Mar-12 N/A
Jun-13 Jun-12 96.848
Sep-13 Sep-12 96.649
Dec-13 Dec-12 97.061


3 Year Interest Rate Swap Futures (YS)

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Expiry Settlement
Price		 Expiry Settlement
Price		 Expiry Settlement
Price
Mar-13 96.865 Mar-12 95.765 Mar-11 94.620
Jun-13 Jun-12 96.780 Jun-11 94.785
Sep-13 Sep-12 96.775 Sep-11 95.640
Dec-13 Dec-12 96.925 Dec-11 96.105


10 Year Interest Rate Swap Futures (XS)

Expiry Settlement
Price		 Expiry Settlement
Price		 Expiry Settlement
Price
Mar-13 95.985 Mar-12 95.190 Mar-11 93.930
Jun-13 Jun-12 96.040 Jun-11 94.230
Sep-13 Sep-12 96.090 Sep-11 94.930
Dec-13 Dec-12 96.130 Dec-11 95.250


90 Day New Zealand Bank Bill Futures (BB)

Expiry Settlement
Price 		Expiry Settlement
Price 		Expiry Settlement
Price
Mar-13 97.370 Mar-12 97.260 Mar-11 97.430
Jun-13 Jun-12 97.430 Jun-11 97.330
Sep-13 Sep-12 97.380 Sep-11 97.100
Dec-13  Dec-12 97.350 Dec-11 97.310


Disclaimer

ASX Limited and its related corporations accept no responsibility for errors or omissions, including negligence, or for any damage loss or claim arising from reliance on the information. Futures and options trading involves the potential for both profits and losses and only licensed brokers and advisors can advise on this risk.