DP
Interest Rate Derivativesbeginner

100 minus Yield Quoting

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−YP = 100 - Y, where YY 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).

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.

Formulas

Quote formula
Q=100−YQ = 100 - Y
QQ is the futures quote, YY is the annualised yield in per cent. Solve for Y=100−QY = 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%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−QY = 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−YQ = 100 - Y
  • •Inverse, price up means yield down
  • •Used by ASX, CME SOFR, Eurex Euribor
  • •Solve Y=100−QY = 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

In learning paths

Fixed Income & Rates Path

Sources

  1. 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.
  2. 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.
  3. 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
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