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Interest rate derivatives 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-14 97.500 Jan-13 97.000 Jan-12 95.750
Feb-14 97.500 Feb-13 97.000 Feb-12 95.750
Mar-14 97.500 Mar-13 97.000 Mar-12 95.755
Apr-14 Apr-13 97.000 Apr-12 95.750
May-14 May-13 97.194 May-12 96.234
Jun-14 Jun-13 97.250 Jun-12 96.458
Jul-14 Jul-13 97.250 Jul-12 96.500
Aug-14 Aug-13 97.452 Aug-12 96.500
Sep-14 Sep-13 97.500 Sep-12 96.505
Oct-14 Oct-13 97.500 Oct-12 96.734
Nov-14 Nov-13 97.500 Nov-12 96.755
Dec-14 Dec-13 97.500 Dec-12 96.968

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 97.340 Mar-13 97.010 Mar-12 95.540
Jun-14 Jun-13 97.190 Jun-12 96.430
Sep-14 Sep-13 97.410 Sep-12 96.440
Dec-14 Dec-13 97.410 Dec-12 96.900


 3 year Government treasury bond futures (YT)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 97.065 Mar-13 96.860 Mar-12 96.255
Jun-14 Jun-13 97.400 Jun-12 97.635
Sep-14 Sep-13 97.080 Sep-12 97.205
Dec-14 Dec-13 96.965 Dec-12 97.185

 
10 year Government treasury bond futures (XT)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 96.010 Mar-13 96.370 Mar-12 95.785
Jun-14 Jun-13 96.605 Jun-12 97.085
Sep-14 Sep-13 95.995 Sep-12 96.695
Dec-14 Dec-13 95.740 Dec-12 96.690


3 month overnight index swap futures (OI)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 97.507 Mar-13 97.070 Mar-12 N/A
Jun-14 Jun-13 97.382 Jun-12 96.848
Sep-14 Sep-13 97.535 Sep-12 96.649
Dec-14 Dec-13 97.522 Dec-12 97.061


3 year interest rate swap futures (YS)

 
Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 96.870 Mar-13 96.865 Mar-12 95.765
Jun-14 Jun-13 97.030 Jun-12 96.780
Sep-14 Sep-13 96.710 Sep-12 96.775
Dec-14 Dec-13 96.855 Dec-12 96.925


10 year interest rate swap futures (XS)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 95.530 Mar-13 95.985 Mar-12 95.190
Jun-14 Jun-13 95.935 Jun-12 96.040
Sep-14 Sep-13 95.390 Sep-12 96.090
Dec-14 Dec-13 95.360 Dec-12 96.130


90 day New Zealand bank bill futures (BB)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-14 96.980 Mar-13 97.370 Mar-12 97.260
Jun-14 Jun-13 97.360 Jun-12 97.430
Sep-14 Sep-13 97.360 Sep-12 97.380
Dec-14  Dec-13 97.310 Dec-12 97.350


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.