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-20 99.250 Jan-19 98.500 Jan-18 98.500
Feb-20 99.250 Feb-19 98.500 Feb-18 98.500
Mar-20 99.579 Mar-19 98.500 Mar-18 98.500
Apr-20 99.842 Apr-19 98.500 Apr-18 98.500
May-20 99.865 May-19 98.500 May-18 98.500
Jun-20 99.864 Jun-19 98.717 Jun-18 98.500
Jul-20   Jul-19 98.984 Jul-18 98.500
Aug-20   Aug-19 99.000 Aug-18 98.500
Sep-20   Sep-19 99.000 Sep-18 98.500
Oct-20   Oct-19 99.242 Oct-18 98.500
Nov-20   Nov-19 99.250 Nov-18 98.500
Dec-20   Dec-19 99.250 Dec-18 98.500

 

 
90 day bank accepted bill futures (IR)

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-20 99.470 Mar-19 98.120 Mar-18 98.190
Jun-20 99.900 Jun-19 98.660 Jun-18 97.960
Sep-20   Sep-19 98.980 Sep-18 98.080
Dec-20   Dec-19 99.100 Dec-18 97.950

 

 

 3 year treasury bond futures (YT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-20 99.540 Mar-19 98.445 Mar-18 97.920
Jun-20 99.730 Jun-19 98.975 Jun-18 97.845
Sept-20   Sep-19 99.080 Sep-18 97.940
Dec-20   Dec-19 99.230 Dec-18 98.025

 

 
10 year treasury bond futures (XT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-20 99.0750 Mar-19 98.0250 Mar-18 97.2700
Jun-20 99.1375 Jun-19 98.6000 Jun-18 97.3100
Sep-20   Sep-19 98.8275 Sep-18 97.3775
Dec-20   Dec-19 98.8200 Dec-18 97.5575


20 year treasury bond futures (XX / LT)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-20 98.4600 Mar-19 97.6200 Mar-18 96.8600
Jun-20 98.5200 Jun-19 98.1825 Jun-18 96.9575
Sept-20   Sep-19 98.4375 Sep-18 97.0475
Dec-20   Dec-19 98.4150 Dec-18 97.2325

 


90 day New Zealand bank bill futures (BB)

 

Expiry Settlement price Expiry Settlement price Expiry Settlement price
Mar-20 99.09 Mar-19 98.13 Mar-18 98.11
Jun-20 99.75 Jun-19 98.40 Jun-18 98.00
Sep-20   Sep-19 98.85 Sep-18 98.11
Dec-20   Dec-19 98.81 Dec-18 98.02

 

 


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.