Interest rate derivatives settlement history

The 30 day interbank cash rate futures, 3 year treasury bond futures, 10 year treasury bond futures and 90 day bank bill futures contracts are all cash settled contracts.

30 day interbank cash rate futures (IB)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Dec-24		Dec-23	95.680	Dec-22	96.987	Dec-21	99.96	Dec-20	99.96
Nov-24		Nov-23	95.738	Nov-22	97.198	Nov-21	99.964	Nov-20	99.944
Oct-24		Oct-23	95.930	Oct-22	97.472	Oct-21	99.97	Oct-20	99.87
Sep-24		Sep-23	95.930	Sep-22	97.790	Sep-21	99.97	Sep-20	99.87
Aug-24		Aug-23	95.930	Aug-22	98.222	Aug-21	99.97	Aug-20	99.868
Jul-24		Jul-23	95.930	Jul-22	98.771	Jul-21	99.97	Jul-20	99.869
Jun-24	95.676	Jun-23	95.980	Jun-22	99.306	Jun-21	99.97	Jun-20	99.864
May-24	95.679	May-23	96.196	May-22	99.714	May-21	99.97	May-20	99.865
Apr-24	95.680	Apr-23	96.430	Apr-22	99.939	Apr-21	99.97	Apr-20	99.842
Mar-24	95.680	Mar-23	96.486	Mar-22	99.949	Mar-21	99.97	Mar-20	99.579
Feb-24	95.680	Feb-23	96.742	Feb-22	99.950	Feb-21	99.97	Feb-20	99.25
Jan-24	95.680	Jan-23	96.930	Jan-22	99.954	Jan-21	99.968	Jan-20	99.25

90 day bank accepted bill futures (IR)

Expiry	Settlement Price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	95.650	Mar-23	96.364	Mar-22	99.855	Mar-21	99.961	Mar-20	99.470
Jun-24	95.634	Jun-23	95.798	Jun-22	98.517	Jun-21	99.975	Jun-20	99.900
Sep-24		Sep-23	95.880	Sep-22	97.400	Sep-21	99.99	Sep-20	99.909
Dec-24		Dec-23	95.650	Dec-22	96.878	Dec-21	99.939	Dec-20	99.980

3 year treasury bond futures (YT)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	96.246	Mar-23	96.868	Mar-22	98.134	Mar-21	99.752	Mar-20	99.540
Jun-24	96.194	Jun-23	96.082	Jun-22	96.408	Jun-21	99.846	Jun-20	99.730
Sep-24		Sep-23	96.174	Sep-22	96.680	Sep-21	99.77	Sept-20	99.732
Dec-24		Dec-23	96.230	Dec-22	96.892	Dec-21	98.94	Dec-20	99.83

5 year treasury bond futures (VT)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	96.165	Mar-23	96.765	Mar-22	97.7975	Mar-21	99.1475
Jun-24	96.1475	Jun-23	96.1325	Jun-22	96.1725	Jun-21	99.345
Sep-24		Sep-23	96.14	Sep-22	96.5900	Sep-21	99.38
Dec-24		Dec-23	96.1825	Dec-22	96.795	Dec-21	98.69

10 year treasury bond futures (XT)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	95.854	Mar-23	96.491	Mar-22	97.483	Mar-21	98.203	Mar-20	99.0750
Jun-24	95.877	Jun-23	96.037	Jun-22	95.918	Jun-21	98.551	Jun-20	99.1375
Sep-24		Sep-23	95.904	Sep-22	96.3590	Sep-21	98.813	Sep-20	99.12
Dec-24		Dec-23	95.8730	Dec-22	96.603	Dec-21	98.425	Dec-20	99.050

20 year treasury bond futures (XX / LT)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	95.5425	Mar-23	96.0425	Mar-22	97.0700	Mar-21	97.5	Mar-20	98.4600
Jun-24	95.57	Jun-23	95.7475	Jun-22	95.7325	Jun-21	97.87	Jun-20	98.5200
Sep-24		Sep-23	95.57	Sep-22	96.0850	Sep-21	98.1825	Sep-20	98.525
Dec-24		Dec-23	95.5750	Dec-22	96.2325	Dec-21	97.90	Dec-20	98.4225

90 day New Zealand bank bill futures (BB)

Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price	Expiry	Settlement price
Mar-24	94.36	Mar-23	94.910	Mar-22	98.440	Mar-21	99.67	Mar-20	99.09	Mar-19	98.13
Jun-24	94.38	Jun-23	94.32	Jun-22	97.250	Jun-21	99.68	Jun-20	99.75	Jun-19	98.40
Sep-24		Sep-23	94.33	Sep-22	96.390	Sep-21	99.46	Sep-20	99.70	Sep-19	98.85
Dec-24		Dec-23	94.37	Dec-22	95.48	Dec-21	99.12	Dec-20	99.75	Dec-19	98.81

Disclaimer

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