Interest Rate Derivativesintermediate

Bank Bill Futures

ASX 90-day Bank Bill futures are short-term interest rate contracts on A$1 million face value of 90-day Bank Accepted Bills issued by Prime Banks (as defined in the BBSW conventions). Quotes follow the $P = 100 - Y$ convention. The contract cash-settles against the 3-month BBSW (Bank Bill Swap Rate) on the second Friday of March, June, September or December. A 1 basis-point move corresponds to roughly A$24 of P&L per contract (ASX 90-Day BAB Factsheet).

Why it matters

Bank bill futures track Australia's main short-term funding benchmark. The 100-minus-yield quote means that when yields rise, the price falls. A borrower worried about rising rates sells the futures, gaining on the short position as yields climb. The contract is the Australian equivalent of the old US Eurodollar future, which moved to 3-Month SOFR after the 2023 LIBOR transition.

Formulas

Quote

P = 100 - Y

Y

is the annualised yield in per cent, settled against 3-month BBSW at expiry.

Price of the underlying 90-day bill

B = \frac{\text{Face value}}{1 + Y \times \frac{d}{365}}

d

is days to maturity, typically 90. Australian money-market convention uses a 365-day year.

Approximate tick value

\text{Tick value} \approx \$24 \text{ per basis point per contract}

Equal to $1{,}000{,}000 \times 0.0001 \times 90/365 \approx \$24.66$. Varies slightly with the level of rates.

Worked examples

Scenario

ASX 90-day Bank Bill futures are quoted at 95.50 for the September contract.

Solution

Implied yield $= 100 - 95.50 = 4.50\%$ p.a. The market is pricing 90-day BBSW at 4.50% on the September settlement Friday. If actual BBSW settles at 4.75% instead, the contract closes at $100 - 4.75 = 95.25 $, a 25-basis-point loss for the long, around A$ 600 per contract.

Scenario

A corporate treasurer plans to roll A$20 million of short-term debt in 60 days at the prevailing 90-day BBSW.

Solution

She sells 20 of the nearest ASX Bank Bill futures contracts. If 90-day BBSW rises by 30 basis points before the roll, the short position gains about $20 \times 30 \times \$24 = \$14{,}400$, offsetting the higher BBSW she will pay on the debt.

Common mistakes

✗A rising futures price means rising rates. The opposite. Quotes use $P = 100 - Y$ , so a higher price means a lower yield.
✗The contract size is small. Each contract is on A$1 million face value, the standard wholesale Australian money market parcel size (ASX). Position values run in the millions even for modest open interest.

Revision bullets

•Underlying, 90-day Prime Bank bill
•Contract size, A$1 million face value
•Quoted as $P = 100 - Y$
•Cash-settles against 3-month BBSW
•Tick value, roughly A$24 per basis point
•Hedge or speculate on short-term rates

Quick check

If ASX Bank Bill futures move from 95.00 to 95.25, the implied 90-day yield has

ASX 90-day Bank Bill futures cash-settle against

Connected topics

Tick Value 100 - Y FRA vs Fut.

In learning paths

Fixed Income & Rates Path

Sources

ASX 90 Day BAB Factsheet
Australian Securities Exchange. "ASX 90 Day Bank Accepted Bill Futures and Options." ASX Product Factsheet, accessed 2026.
Official contract specifications including face value, quoting convention, expiry calendar and tick value.
ASX BBSW Conventions
Australian Securities Exchange. "ASX Bank Bill Swap (BBSW) Conventions and BBSW Methodology." ASX, October 2024.
Describes the prime bank panel, VWAP methodology, and the BBSW fixing used to cash-settle bank bill futures.
Hull (2022), §6.3
Hull, John C. Options, Futures, and Other Derivatives. 11th ed. Pearson, 2022. ISBN 978-0-13-693997-9.
Generic textbook treatment of short-term interest rate futures, parallel to the ASX bank bill contract.

How to cite this page

Dr. Phil's Quant Lab. (2026). Bank Bill Futures. Derivatives Atlas. https://phucnguyenvan.com/concept/bank-bill-futures

← Back to the atlas See in the network →