100 minus Yield Quoting

Q: A futures quote of 94.00 implies a yield of

6.00%. Solve Y = 100 - Q = 100 - 94 = 6.00\%. The 100-minus-yield convention turns rates into a price-like number, so a quote of 94 corresponds to a 6% annualised yield.

Q: Under the 100-minus-yield convention, if yields rise by 50 basis points, the futures price

Falls by 0.50. Q = 100 - Y implies Δ Q = -Δ Y. A 50 bp yield rise corresponds to a 0.50 fall in the futures price. This is the inverse relationship every rates trader must internalise.

Most short-term interest rate futures use the 100 minus yield quoting convention. ASX 90-day Bank Bill futures, ASX 3-year and 10-year Treasury Bond futures, CME 3-Month SOFR futures and Eurex 3-Month Euribor futures all quote $P = 100 - Y$ , where $Y$ is the annualised yield in per cent. This is a convention, not a fair-value price. The key consequence is the inverse relationship, yields up means futures price down (Hull, 2022, §6.3).

Try it yourself

Rate futures P&L explorer

A rate future is quoted 100 − yield, so its price moves opposite to the interest rate — and you profit from the side you took. Drag the exit yield: when it falls, the quote Q rises, and a long gains.

Entry Q 95.50Exit Q 95.70Tick value A$24.14/bp

Yields fell 20bp. The quote rose 95.50 → 95.70, so the long position gains A$4,826.

Total P&L (10 contracts)+A$4,826

Position

Entry yield4.50% → Q 95.50

Exit yield (drag me)4.30% → Q 95.70

Number of contracts10

Entry bill valueA$989,025.88

Exit bill valueA$989,508.50

Per-contract change+A$483

Try this

Q = 100 − Y · B = A$1,000,000 / (1 + Y · 90/365) · P&L = (B_exit − B_entry) × contracts × (+1 long)Tick value here is computed from the discount formula at the current yield (1bp of yield ≈ A$24.14 per contract), so it drifts slightly with the rate level. The textbook A$1,000,000 × 0.0001 × 90/365 ≈ A$24.66/bp is the undiscounted approximation. ASX 90-day Bank Bill futures cash-settle against 3-month BBSW under the Australian money-market 365-day convention.

Discussion. A corporate treasurer who must roll A$10m of debt in three months fears rising rates. Which side of the bank bill future should she take, and why does a gain on that position offset the higher BBSW she will pay? Set the toggle to test your answer.

Why it matters

Yields and bond prices move in opposite directions, but traders are used to buying low and selling high on prices. The 100-minus-yield convention restates a yield as a price-like number on a 0 to 100 scale, so a long position profits when prices rise (which means yields fall). It also makes tick sizes natural, a 1 basis point yield move equals a 0.01 price move.

Before you read on — recall

A futures quote of 94.00 implies a yield of

Formulas

Quote formula

Q = 100 - Y

Q

is the futures quote,

Y

is the annualised yield in per cent. Solve for

Y = 100 - Q

to extract the implied rate.

Worked examples

Scenario

The September ASX 90-Day Bank Bill futures is quoted at 96.25.

Solution

Implied yield $Y = 100 - 96.25 = 3.75\%$ p.a. The market expects 3-month BBSW to fix at 3.75% on the September settlement Friday.

Scenario

Yields rise overnight by 12 basis points on the December bank bill contract.

Solution

The futures quote falls by 0.12. A long contract loses 12 ticks, roughly 12 $\times$ A$24 = A$288. A short contract gains the same amount. This is the inverse relationship in action.

Common mistakes

✗The futures quote is the interest rate. No, it is 100 - $Y$ . Subtract from 100 to extract the rate, $Y = 100 - Q$ .
✗A higher quote means higher rates. The opposite. Higher quote means lower yield. A trader who is long (bought) the future is positioned for yields to fall.
✗The 100 - Y price is a fair value. It is just a quoting convention. It is not a discounted cash flow valuation of the underlying bill or bond.

Revision bullets

• $Q = 100 - Y$
•Inverse, price up means yield down
•Used by ASX, CME SOFR, Eurex Euribor
•Solve $Y = 100 - Q$ to recover the rate
•It is a convention, not a fair value
•Tick of 0.01 equals 1 basis point of yield

Quick check

A futures quote of 94.00 implies a yield of

Under the 100-minus-yield convention, if yields rise by 50 basis points, the futures price

Connected topics

BB Futures BB Pricing

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IR Futures Bond Futures FRA FRA vs Fut.

In learning paths

Fixed Income & Rates Path

Sources

Hull (2022), §6.3
Hull, John C. Options, Futures, and Other Derivatives. 11th ed. Pearson, 2022. ISBN 978-0-13-693997-9.
Standard textbook explanation of the 100-minus-yield convention for short-term interest rate futures.
ASX 90 Day BAB Factsheet
Australian Securities Exchange. "ASX 90 Day Bank Accepted Bill Futures and Options." ASX Product Factsheet, accessed 2026.
Confirms the 100-minus-yield quoting convention for the flagship Australian short rate contract.
CME Three-Month SOFR Futures
CME Group. "Three-Month SOFR Futures Contract Specifications." CME, accessed 2026.
US benchmark short-rate futures using the same $P = 100 - Y$ quote, the successor to Eurodollar futures after the LIBOR transition.

How to cite this page

Dr. Phil's Quant Lab. (2026). 100 minus Yield Quoting. Derivatives Atlas. https://phucnguyenvan.com/concept/100-minus-yield