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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-17 98.500 Jan-16 98.000 Jan-15 97.500
Feb-17 98.500 Feb-16 98.000 Feb-15 97.723
Mar-17 98.500 Mar-16 98.000 Mar-15 97.750
Apr-17 98.500 Apr-16 98.000 Apr-15 97.750
May-17 98.500 May-16 98.226 May-15 97.960
Jun-17 98.500 Jun-16 98.250 Jun-15 98.000
    Jul-16 98.250 Jul-15 98.000
    Aug-16 98.484 Aug-15 98.000
    Sep-16 98.500 Sep-15 98.000
    Oct-16 98.500 Oct-15 98.000
    Nov-16 98.500 Nov-15 98.000
    Dec-16 98.500 Dec-15 98.000

 

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-17 98.180 Mar-16 97.650 Mar-15 97.690
Jun-17 98.290 Jun-16 97.980 Jun-15 97.850
    Sep-16 98.260 Sep-15 97.830
    Dec-16 98.220 Dec-15 97.630

 

 

 3 year treasury bond futures (YT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-17 97.860 Mar-16 97.940 Mar-15 98.130
Jun-17 98.280 Jun-16 98.410 Jun-15 97.950
    Sep-16 98.365 Sep-15 98.070
    Dec-16 98.055 Dec-15 97.840

 

 
10 year treasury bond futures (XT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-17 97.0425 Mar-16 97.335 Mar-15 97.5025
Jun-17 97.6450 Jun-16 97.940 Jun-15 97.0025
    Sep-16 97.8725 Sep-15 97.2575
    Dec-16 97.1825 Dec-15 97.125


20 year treasury bond futures (XX)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-17 96.4950 Mar-16 96.8225    
Jun-17 97.1100 Jun-16 97.3625    
    Sep-16 97.2725    
    Dec-16 96.4800 Dec-15 96.605

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-17 98.04 Mar-16 97.64 Mar-15 96.37
Jun-17 98.07 Jun-16 97.66 Jun-15 96.54
    Sep-16 97.76 Sep-15 97.17
    Dec-16 97.97 Dec-15 97.26

 

 


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.