Bond Futures
ASX 3-Year and 10-Year Treasury Bond futures are exchange-traded contracts on a notional Commonwealth Government bond with A$100,000 face value and a 6% coupon. Quotes use the convention, where is the yield of the underlying bond basket. Settlement is cash, against the average yield of a basket of eligible Commonwealth bonds on the second Wednesday of March, June, September or December. These two contracts are among the most liquid rate futures globally (ASX 3 & 10 Year Factsheet).
Why it matters
Bond futures let traders take a position on the long end of the yield curve without buying physical bonds. The longer-duration 10-year contract is much more rate-sensitive than the 90-day bank bill contract. A 10-year bond with modified duration around 8 changes in price by roughly 8% for a 1% yield move, against essentially 0.25% for a 90-day bill.
Formulas
Worked examples
The ASX 10-Year Treasury Bond future trades at 96.00.
Implied yield . If a fund manager expects yields to fall to 3.80%, he goes long. A 20-basis-point yield drop raises the price by about $0.20 \times 7.5 \approx 1.5$ points. The dollar tick value on a 0.5 basis-point move is around A$36, so the P&L on one contract would be roughly A$1,500.
A bond portfolio with A$200 million face value and modified duration 8 wants to hedge a possible 50-basis-point yield spike.
The portfolio's dollar duration is $200{,}000{,}000 \times 8 \times 0.005 = \$8\text{m}$ of loss for a 50 bp move. Hedging in 10-Year Treasury Bond futures, with face A$100,000 and duration about 7.5, gives a per-contract duration value of roughly A$3,750 per basis point. The manager would short about 2,100 contracts to immunise the portfolio.
Common mistakes
- ✗Bond futures and bank bill futures have similar duration risk. They do not. The 10-year bond futures contract is roughly 30 times more rate-sensitive per dollar of face value than the 90-day bank bill contract, because of duration.
- ✗Settlement involves physical bond delivery. ASX 3-year and 10-year Treasury bond futures are cash-settled against the average yield of a basket of eligible Commonwealth bonds (ASX). This avoids the cheapest-to-deliver complications that arise in physically delivered contracts such as CBOT Treasuries.
Revision bullets
- •Notional bond, A$100k face, 6% coupon
- •Quoted
- •Cash-settled against bond basket
- •Duration drives sensitivity, 10-Year much higher than 3-Year
- •Used by fund managers, banks, issuers
- •Among the world's most liquid bond futures
Quick check
Which contract is more sensitive to a 1% change in yield, all else equal?
ASX Treasury Bond futures settle via
Connected topics
In learning paths
Sources
- Australian Securities Exchange. "ASX 3 and 10 Year Treasury Bonds Futures and Options." ASX Product Factsheet, accessed 2026.Official contract specifications including face value, notional coupon, expiry calendar and cash settlement methodology.
- Australian Securities Exchange. "Bond derivatives." ASX, accessed 2026.Describes how 3-year and 10-year Treasury Bond futures are used by issuers, fund managers and banks across the Asia-Pacific time zone.
- Hull (2022), §6.5Hull, John C. Options, Futures, and Other Derivatives. 11th ed. Pearson, 2022. ISBN 978-0-13-693997-9.Generic textbook treatment of bond futures, duration hedging and the conversion factor mechanics used in physically delivered contracts.