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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-15 97.500 Jan-14 97.500 Jan-13 97.000
Feb-15 97.723 Feb-14 97.500 Feb-13 97.000
Mar-15 97.750 Mar-14 97.500 Mar-13 97.000
Apr-15 97.750 Apr-14 97.500 Apr-13 97.000
    May-14 97.500 May-13 97.194
    Jun-14 97.500 Jun-13 97.250
    Jul-14 97.500 Jul-13 97.250
    Aug-14 97.500 Aug-13 97.452
    Sep-14 97.500 Sep-13 97.500
    Oct-14 97.500 Oct-13 97.500
    Nov-14 97.500 Nov-13 97.500
    Dec-14 97.500 Dec-13 97.500

 

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 97.690 Mar-14 97.340 Mar-13 97.010
    Jun-14 97.310 Jun-13 97.190
    Sep-14 97.360 Sep-13 97.410
    Dec-14 97.270 Dec-13 97.410

 

 

 3 year Government treasury bond futures (YT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 98.130 Mar-14 97.065 Mar-13 96.860
    Jun-14 97.185 Jun-13 97.400
    Sep-14 97.145 Sep-13 97.080
    Dec-14 97.770 Dec-13 96.965

 

 
10 year Government treasury bond futures (XT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 97.5025 Mar-14 96.010 Mar-13 96.370
    Jun-14 96.255 Jun-13 96.605
    Sep-14 96.355 Sep-13 95.995
    Dec-14 97.1225 Dec-13 95.740

 


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 97.505 Jun-13 97.382 Jun-12 96.848
Sep-14 N/A Sep-13 97.535 Sep-12 96.649
Dec-14 N/A 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-15 97.810 Mar-14 96.870 Mar-13 96.865
Jun-15   Jun-14 96.975 Jun-13 97.030
Sep-15   Sep-14 97.020 Sep-13 96.710
Dec-15   Dec-14 97.495 Dec-13 96.855

 

 


10 year interest rate swap futures (XS)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 97.060 Mar-14 95.530 Mar-13 95.985
    Jun-14 95.855 Jun-13 95.935
    Sep-14 96.045 Sep-13 95.390
    Dec-14 96.705 Dec-13 95.360

 

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-15 96.37 Mar-14 96.98 Mar-13 97.37
    Jun-14 96.57 Jun-13 97.36
    Sep-14 96.32 Sep-13 97.36
    Dec-14 96.34 Dec-13 97.31

 

 


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.