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-18 98.500 Jan-17 98.500 Jan-16 98.000
Feb-18 98.500 Feb-17 98.500 Feb-16 98.000
Mar-18 98.500 Mar-17 98.500 Mar-16 98.000
Apr-18 98.500 Apr-17 98.500 Apr-16 98.000
May-18 98.500 May-17 98.500 May-16 98.226
Jun-18 98.500 Jun-17 98.500 Jun-16 98.250
Jul-18 98.500 Jul-17 98.500 Jul-16 98.250
Aug-18 98.500 Aug-17 98.500 Aug-16 98.484
Sep-18 98.500 Sep-17 98.500 Sep-16 98.500
Oct-18   Oct-17 98.500 Oct-16 98.500
Nov-18   Nov-17 98.500 Nov-16 98.500
Dec-18   Dec-17 98.500 Dec-16 98.500

 

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-18 98.190 Mar-17 98.180 Mar-16 97.650
Jun-18 97.960 Jun-17 98.290 Jun-16 97.980
Sep-18 98.080 Sep-17 98.260 Sep-16 98.260
Dec-18   Dec-17 98.250 Dec-16 98.220

 

 

 3 year treasury bond futures (YT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-18 97.920 Mar-17 97.860 Mar-16 97.940
Jun-18 97.845 Jun-17 98.280 Jun-16 98.410
Sep-18 97.940 Sep-17 97.920 Sep-16 98.365
Dec-18   Dec-17 97.955 Dec-16 98.055

 

 
10 year treasury bond futures (XT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-18 97.2700 Mar-17 97.0425 Mar-16 97.335
Jun-18 97.3100 Jun-17 97.6450 Jun-16 97.940
Sep-18 97.3775 Sep-17 97.2725 Sep-16 97.8725
Dec-18   Dec-17 97.4725 Dec-16 97.1825


20 year treasury bond futures (XX)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-18 96.8600 Mar-17 96.4950 Mar-16 96.8225
Jun-18 96.9575 Jun-17 97.1100 Jun-16 97.3625
Sep-18 97.0475 Sep-17 96.7300 Sep-16 97.2725
Dec-18   Dec-17 97.0000 Dec-16 96.4800

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-18 98.11 Mar-17 98.04 Mar-16 97.64
Jun-18 98.00 Jun-17 98.07 Jun-16 97.66
Sep-18 98.11 Sep-17 98.06 Sep-16 97.76
Dec-18   Dec-17 98.12 Dec-16 97.97

 

 


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.