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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-15 97.750 Apr-14 97.500
    May-15 97.960 May-14 97.500
    Jun-15 98.000 Jun-14 97.500
    Jul-15 98.000 Jul-14 97.500
    Aug-15 98.000 Aug-14 97.500
    Sep-15 98.000 Sep-14 97.500
    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-15 97.850 Jun-14 97.310
    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-15 97.950 Jun-14 97.185
    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-15 97.0025 Jun-14 96.255
    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          
Sep-16          
Dec-16   Dec-15 96.605    

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 97.64 Mar-15 96.37 Mar-14 96.98
    Jun-15 96.54 Jun-14 96.57
    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.