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 = (Bexit − Bentry) × 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.