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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-16 98.000 Jan-15 97.500 Jan-14 97.500
Feb-16 98.000 Feb-15 97.723 Feb-14 97.500
Mar-16 98.000 Mar-15 97.750 Mar-14 97.500
Apr-16 98.000 Apr-15 97.750 Apr-14 97.500
May-16 98.226 May-15 97.960 May-14 97.500
Jun-16 98.250 Jun-15 98.000 Jun-14 97.500
Jul-16 98.250 Jul-15 98.000 Jul-14 97.500
Aug-16 98.484 Aug-15 98.000 Aug-14 97.500
Sep-16 98.500 Sep-15 98.000 Sep-14 97.500
Oct-16 98.500 Oct-15 98.000 Oct-14 97.500
    Nov-15 98.000 Nov-14 97.500
    Dec-15 98.000 Dec-14 97.500

 

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-16 97.650 Mar-15 97.690 Mar-14 97.340
Jun-16 97.980 Jun-15 97.850 Jun-14 97.310
Sep-16 98.260 Sep-15 97.830 Sep-14 97.360
    Dec-15 97.630 Dec-14 97.270

 

 

 3 year treasury bond futures (YT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-16 97.940 Mar-15 98.130 Mar-14 97.065
Jun-16 98.410 Jun-15 97.950 Jun-14 97.185
Sep-16 98.365 Sep-15 98.070 Sep-14 97.145
    Dec-15 97.840 Dec-14 97.770

 

 
10 year treasury bond futures (XT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-16 97.335 Mar-15 97.5025 Mar-14 96.010
Jun-16 97.940 Jun-15 97.0025 Jun-14 96.255
Sep-16 97.8725 Sep-15 97.2575 Sep-14 96.355
    Dec-15 97.125 Dec-14 97.1225


20 year treasury bond futures (XX)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-16 96.8225        
Jun-16 97.3625        
Sep-16 97.2725        
Dec-16   Dec-15 96.605    

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-16 97.64 Mar-15 96.37 Mar-14 96.98
Jun-16 97.66 Jun-15 96.54 Jun-14 96.57
Sep-16 97.76 Sep-15 97.17 Sep-14 96.32
    Dec-15 97.26 Dec-14 96.34

 

 


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.