sfe contract specifications

7/28/2019 SFE Contract Specifications

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The ASX takes no responsibility for any errors or omissions or losses consequential or otherwise arising from actions based

upon this information. The information published here does not substitute for the ASX24 Operating Rules and in the case of

inconsistency, the Operating Rules prevail. For further information on the ASX or its products, please contact the Business

Development Group.

Contract Specifications.....................................................................................................................1

ASX SPI 2001

Index Futures ..........................................................................................................................4Options on ASX SPI 200

1Index Futures ......................................................................................................5

ASX 30 Day Interbank Cash Rate Futures ....................................................................................................6

Options on ASX 30 Day Interbank Cash Rate Futures.................................................................................7

ASX 90 Day Bank Accepted Bills Futures ......................................................................................................8

Options on ASX 90 Day Bank Accepted Bills Futures ..................................................................................9

Serial Options on ASX 90 Day Bank Accepted Bills Futures .....................................................................10

ASX 3 Year Treasury Bond Futures .............................................................................................................11

Options on ASX 3 Year Treasury Bond Futures .........................................................................................12Intra-Day Options on ASX 3 Year Treasury Bond Futures .......................................................................13

Overnight Options on ASX 3 Year Treasury Bond Futures.......................................................................14

Serial Options on ASX 3 Year Treasury Bond Futures ..............................................................................15

ASX 10 Year Treasury Bond Futures ...........................................................................................................16

Options on ASX 10 Year Treasury Bond Futures .......................................................................................17

Intra-Day Options on ASX 10 Year Treasury Bond Futures .....................................................................18

Overnight Options on ASX 10 Year Treasury Bond Futures.....................................................................19

Serial Options on ASX 10 Year Treasury Bond Futures ............................................................................20

ASX 3 Year Interest Rate Swap Futures ......................................................................................................21

ASX 10 Year Interest Rate Swap Futures ....................................................................................................22

ASX New Zealand 30 Day Official Cash Rate Futures ...............................................................................23

ASX 90 Day New Zealand Bank Bill Futures...............................................................................................24

Options on ASX 90 Day New Zealand Bank Bill Futures ...........................................................................25

ASX 3 Year New Zealand Government Stock Futures ...............................................................................26

Options on ASX 3 Year New Zealand Government Stock Futures............................................................28

ASX 10 Year New Zealand Government Stock Futures .............................................................................29

Options on ASX 10 Year New Zealand Government Stock Futures..........................................................31

d-cypha ASX Base Load, Peak Period and Strip Electricity ......................................................................32

ASX Victorian Wholesale Gas Futures.........................................................................................................33

ASX Victorian Wholesale Gas Strip Futures Products ...............................................................................33

ASX Fine Wool Futures (19 Micron) ............................................................................................................34

ASX Greasy Wool Futures (21 Micron)........................................................................................................35

Options on ASX Greasy Wool Futures (21 Micron)....................................................................................36

ASX Broad Wool Futures (23 Micron) .........................................................................................................37

ASX Otahuhu Base Load Electricity Futures Contracts.............................................................................38


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Development Group.

ASX Otahuhu Base Load Electricity Strip Futures Products ....................................................................39

Strip Options over ASX Otahuhu Base Load Electricity Futures Contracts............................................40

ASX Benmore Base Load Electricity Futures Contracts ............................................................................41ASX Benmore Base Load Electricity Strip Futures Products ....................................................................42

Strip Options over ASX Benmore Base Load Electricity Futures Contracts............................................43


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Development Group.

ASX SPI 2001 Index Futures

Contract Unit: Valued at A$25 per index point (e.g. A$150,000 at 6,000 index points).

Contract Months: March/J une/September/December up to six quarter months ahead.

Commodity Code: AP

Listing Date: 02/05/2000

Minimum Price Movement: One index point (A$25)

Last Trading Day: All trading in expiring contracts ceases at 12.00pm on the Third Thursday of thesettlement month. Non-expiring contracts will continue to trade as per thestated trading hours.

3

Cash Settlement Price: The Special Opening Quotation of the underlying S&P/ASX 2002

Index on theLast Trading Day. The Special Opening Quotation is calculated using the firsttraded price of each component stock in the S&P/ASX 200

2Index on the Last

Trading Day, irrespective of when those stocks first trade in the ASX tradingday. This means that the first traded price of each component stock may occurat any time between ASX market open and ASX market close (including theClosing Single Price Auction) on the Last Trading Day.

Should any component stock not have traded by ASX market close on the LastTrading Day, the last traded price of that stock will be used to calculate theSpecial Opening Quotation.

Trading Hours: 5.10pm 7.00am and 9.50am 4.30pm3

(For period from second Sunday in

March to first Sunday in November)

5.10pm 8.00am and 9.50am 4.30pm3(For period from first Sunday in

November to second Sunday in March)

Settlement Day: The first business day after expiry, SFE Clearing publishes the final settlementprice of the contract. On the second business day after expiry, SFE Clearingsettles cash flows as a result of the settlement price.

Position Limit: None

Daily Price Limi t: None

CFTC Approved: Yes

Last Modified: 8/01/08

1ASX SPI 200

is a trademark of the Sydney Futures Exchange.

2"S&P/ASX 200" is a trademark of Standard & Poors. The trademark is used under licence by the Sydney Futures

Exchange.

3Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time.


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Development Group.

Options on ASX SPI 2001 Index Futures

Contract Unit: Valued at A$25 per index point (e.g. A$150,000 at 6,000 index points).

Contract Months: ASX SPI 2001

index options expire in the same calendar month as theunderlying ASX SPI 200

1index futures contract. Put and Call options

available on existing ASX SPI 2001

index futures contracts.ASX SPI 200

1Index Options available four quarter months ahead.

Commodity Code: AP


Minimum Price Movement: 0.5 index points (A$12.50)

Exercise Prices: Set at intervals of 25 index points. New option exercise prices createdautomatically as the underlying futures contract price fluctuates.

Last Trading Day: The last day of trading of the underlying futures contract.

All trading in expiring contracts ceases at 12.00pm on the Last Trading Day.Non-expiring contracts will continue to trade as per the stated trading hours.

2

Cash Settlement Price: The Cash Settlement Price of the underlying futures contract.

Trading Hours: 5.10pm 7.00am and 9.50am 4.30pm2(For period from second Sunday in




Settlement Day: Options may be exercised on any business day up to and including the LastTrading Day. Only in-the-money options are automatically exercised at expiry,unless abandoned. Upon exercise, the holder will receive an underlying ASXSPI 200

1index futures contract position at the option strike price.

Position Limit: None

Daily Price Limi t: None

CFTC Approved: Yes

Last Modified: 08/01/081 ASX SPI 200

is a trademark of the Sydney Futures Exchange



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Development Group.

ASX 30 Day Interbank Cash Rate Futures

Contract Unit: Average monthly Interbank Overnight Cash Rate payable on a notional sum ofAUD 3,000,000

Contract Months: Monthly up to 18 months ahead

Commodity Code: IBListing Date: 11/08/2003

Minimum Price Movement: Quoted in yield percent per annum in multiples of 0.005%, for quotationpurposes yield is deducted from 100. A one basis point move of 0.01% is equalto $24.66

Last Trading Day: Trading shall cease at 4.30pm on the last business day of the expiry month

Settlement Day: The second business day after the Last Trading Day





Settlement Price: The Cash Settlement Price is equal to 100 minus the cash settlement rate,where the cash settlement rate is the monthly average of the InterbankOvernight Cash Rate for that contract month calculated by taking the sum of thedaily Interbank Overnight Cash Rate, as published by the Reserve Bank ofAustralia, divided by the number of days for that month. On weekends andpublic holidays, when no Interbank Overnight Cash Rate is published the CashRate published on the previous business day will be used for settlement pricecalculation. The cash settlement price is rounded to the nearest multiple of0.001. The Cash Settlement price shall be announced to the market by12.00pm on the first business day following the Last Trading Day. All boughtand sold contracts in existence as at the close of trading in the contract monthshall be settled by SFE Clearing at the cash settlement price

1.Last Modified: 14/11/05

1Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time..


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Development Group.

Options on ASX 30 Day Interbank Cash Rate Futures

Contract Unit: One AUD 3,000,000 face value 30 Day Interbank Cash Rate Futures contractfor a specified contract month

Option Type American

Contract Months: Put and Call options available on futures contracts up to 4 months ahead.

Commodity Code: IB


Minimum Price Movement: Quoted in yield per cent per annum in multiples of 0.005 per cent. A one basispoint move of 0.01 per cent is equal to AUD24.66.

Exercise Prices: Set at intervals of 0.125 per cent per annum yield. New option exercise pricescreated automatically as the underlying futures contract price moves.

Contract Expiry: At 12.30pm on the Business Day prior to the Last Trading Day in theunderlying futures contract.

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5.14pm 7.30am and 8.34am 4:30pm1(For period from first Sunday in


Settlement Method: Options may be exercised on any business day up to and including the day of

expiry. In-the-money options are automatically exercised at expiry unlessabandoned. Settlement price is determined as the mid point of the bid andoffer prices in the underlying futures at 12.30pm, rounded up to the nearest0.005 per cent.




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Development Group.

ASX 90 Day Bank Accepted Bil ls Futures

Contract Unit: A$1,000,000 face value 90-Day Bank Accepted Bills of exchange or EBAs.1

Contract Months: March/J une/September/December up to twenty quarter months or five yearsahead.

Commodity Code: IR


Minimum Price Movement: One hundred minus annual percentage yield quoted to two decimal places.(The minimum fluctuation of 0.01% equals approximately $24 per contract,varying with the level of interest rates).

Last Trading Day: 12.00 noon on the business day immediately prior to settlement day.2

Settlement Day: The second Friday of the delivery month.





Settlement Method: One bank accepted bill or EBA or bank negotiable certificate of deposit or ECD

issued by an approved bank of face value A$1,000,000 maturing 85-95 daysfrom settlement day, and classified as early month papers. Early month paper

matures on business days between the 1

st

and 15

th

of the month.


1EBAs and ECDs are electronically recorded debt obligations as defined within the definition of Dematerialised

Security in the Operating Rules of Austraclear Limited.

Buyers and Sellers should note the following in relation to the two types of bills:

(i) An EBA is not the legal equivalent of a bill of exchange under the Bills of Exchange Act and accordingly

delivery of an EBA may not be the same as delivery of a bank accepted bill of exchange under the Bills of

Exchange Act.

(ii) The Bills of Exchange Act is a Commonwealth Act which grants and guarantees rights of title, enforcement and

negotiability to instruments which qualify as bills of exchange under the Act.

(iii) An EBA is not a bill of exchange unless and until it is withdrawn from the Austraclear Limited system in

accordance with the Operating Rules of Austraclear Limited AND the withdrawn EBA satisfies the requirements of

a bill of exchange under the Bills of Exchange Act.



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Development Group.

Options on ASX 90 Day Bank Accepted Bills Futures

Contract Unit: One A$1,000,000 face value 90-Day Bank Accepted Bills futures contract for aspecified contract month on the Sydney Futures Exchange.

Contract Months: Put and Call options available on futures contracts up to six quarter monthsahead.

Commodity Code: IR


Minimum Price Movement: Quoted in yield per cent per annum in multiples of 0.005 per cent.

Exercise Prices: Set at intervals of 0.125 per cent per annum yield. New option exercise prices

created automatically as the underlying futures contract price moves.

Contract Expiry: At 12.30pm on the Friday one week prior to the settlement day for theunderlying futures contract.

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5.08pm 7.30am and 8.28am 4:30pm1(For period from first Sunday in


Settlement Method: Options may be exercised on any business day up to and including the day ofexpiry. In-the-money options are automatically exercised at expiry unless

abandoned.




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Development Group.

Serial Options on ASX 90 Day Bank Accepted Bills Futures

Contract Unit: One A$1,000,000 face value 90-Day Bank Accepted Bills futures contract for aspecified contract month on the Sydney Futures Exchange.

Contract Months: Serial Options are listed in non-financial quarter months with two serial optionmonths listed at all times. Put and call options are available based on a futurescontract which expires in the financial quarter month immediately following therespective serial month.

Commodity Code: IR



Exercise Prices: Set at intervals of 0.125 per cent per annum yield. New option exercise pricescreated automatically as the underlying futures contract price moves.

Contract Expiry: At 12.30pm on the first Friday of the Serial Option month.






expiry. In-the-money options are automatically exercised at expiry unlessabandoned. Upon exercise, the holder will receive a futures position at theoption strike price. Buyers may exercise or abandon positions held by lodginga notice of manual exercise or abandonment with SFE Clearing prior to contractexpiry. Settlement price is taken from the underlying futures market at12.30pm. Obtained by taking the midpoint between the futures bid and askquotations rounded up.


1 Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time.


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Development Group.

ASX 3 Year Treasury Bond Futures

Contract Unit: Commonwealth Government Treasury Bonds with a face value of A$100,000,a coupon rate of 6% per annum and a term to maturity of three years, no taxrebate allowed.

Contract Months: March/J une/September/December up to two quarter months ahead.

Commodity Code: YT


Minimum Price Movement: Multiples of 0.005 per cent during the period 5.10pm on8th of the expiry month,or the next business day if the 8th is not a business day, to 4.30pm on the dayof expiry. At all other times the minimum price increment will be 0.01 per cent.

For quotation purposes the yield is deducted from an index of 100. Theminimum fluctuation of 0.01 per cent equals approximately $28 per contract,varying with the level of interest rates.

Last Trading Day: The fifteenth day of the contract month (or the next succeeding business daywhere the fifteenth day is not a business day). Trading ceases at 12.00 noon.

1

Settlement Day: The business day following the last permitted day of trading.


(For period from second Sunday inMarch to first Sunday in November)

5.10pm 7.30am and 8.30am 4.30pm1

(For period from first Sunday in


Settlement Method: The arithmetic mean, taken at 9.45 am, 10.30 am and 11.15 am on the last dayof trading by 10 dealers, randomly selected for each time, at which they wouldbuy and sell a series of bonds previously declared by ASX for that contractmonth, excluding the two highest and two lowest buying quotations and the twohighest and two lowest selling quotations for each bond. All bought and soldcontracts in existence as at the close of trading in the contract month shall besettled by the Clearing House at the cash settlement price.

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Development Group.

Options on ASX 3 Year Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 3 Year Treasury Bond Futurescontract for a specified contract month on the Sydney Futures Exchange.

Contract Months: Put and call options available on futures contracts up to two quarter monthsahead.

Commodity Code: YT



Exercise Prices: Set at intervals of 0.10 per cent per annum yield. New option exercise prices

created automatically as the underlying futures contract price moves.Contract Expiry:

2 At 12.30pm on the business day prior to the last day of trading in the

underlying futures contract.1





Settlement Method: Options may be exercised on any business day up to and including the day ofexpiry. In-the-money options are automatically exercised at expiry unlessabandoned. Upon exercise, the holder will receive a futures position at the

option strike price. Buyers may exercise or abandon positions held by lodginga notice of manual exercise or abandonment with SFE Clearing prior tocontract expiry. Settlement price is taken from the underlying futures market at12.30pm. Obtained by taking the midpoint between the futures bid and askquotations rounded up.



2For the September 2006 contract months the contract expiry is at 12pm on the last day of trading in the underlying

futures contract.


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Development Group.

Overnight Options on ASX 3 Year Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 3-Year Treasury Bond futures contractfor a specified contract month on the Sydney Futures Exchange.

Contract Months: Put and call options available on futures contracts for the nearest quartermonth ahead.

Commodity Code: YO


Minimum Price Movement: Quoted in yield per cent per annum in multiples of 0.005 per cent

Exercise Prices: Set at intervals of 0.01 per cent per annum yield. Nine option exercise prices

are available for trading with additional strike prices listed at the discretion ofthe Exchange.

Contract Expiry: At the cessation of each SYCOMsession.

Last Trading Day: The business day prior to the last day of trading in the underlying futurescontract. On the last day of trading of the underlying futures contract put and calloptions will be listed on the next quarter month.

Trading Hours: 5.10pm 7.00am1

(For period from second Sunday in March to first Sunday inNovember)

5.10pm 7.30am1

(For period from first Sunday in November to secondSunday in March)

Settlement Method: All options, which are in-the-money, are automatically exercised on thebusiness day immediately following the SYCOMsession. Exercise of anoption results in the holder receiving a futures position at the options strikeprice. The settlement price is the weighted average of trade prices executed inthe underlying contract between 8.30am and 8.40am on the business dayimmediately following the SYCOMsession excluding any Exchange forPhysical, Custom Market, intra- and inter- commodity spread trades and anytrades that occur during the Levelling Phase.

1

Where the underlying futures contract minimum price increment is set to 0.005per cent, the weighted average of trade prices shall be calculated to 4 decimalplaces and rounded to the nearest multiple of 0.005; if the 3

rdand 4

thdecimal

places are 2 and 5 or 7 and 5 respectively, the weighted average shall berounded to the next highest multiple of 0.005.

Where the underlying futures contract minimum price increment is set to 0.01per cent, the weighted average of trade prices shall be calculated to 3 decimalplaces and rounded 2 decimal places; if the third decimal place is 5 theweighted average shall be rounded to the next highest second decimal place.




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Development Group.

Serial Options on ASX 3 Year Treasury Bond Futures


Contract Months: Serial Options are listed in non-financial quarter months with two serial optionmonths listed at all times. Put and call options are available based on afutures contract which expires in the financial quarter month immediatelyfollowing the respective serial month.

Commodity Code: YT



Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise pricescreated automatically as the underlying futures contract price moves.

Contract Expiry: At 12.30pm on the fifteenth day of the Serial Option month or should thefifteenth not be a business day, the next succeeding business day.

1






expiry. In-the-money options are automatically exercised at expiry unlessabandoned. Upon exercise, the holder will receive a futures position at theoption strike price. Buyers may exercise or abandon positions held by lodginga notice of manual exercise or abandonment with SFE Clearing prior tocontract expiry. Settlement price is taken from the underlying futures market at12.30pm. Obtained by taking the midpoint between the futures bid and askquotations rounded up.




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Development Group.

ASX 10 Year Treasury Bond Futures

Contract Unit: Commonwealth Government Treasury Bonds with a face value of A$100,000,a coupon rate of 6% per annum and a term to maturity of ten years, no taxrebate allowed

Contract Months: March/J une/September/December up to two quarter months ahead.

Commodity Code: XT


Minimum Price Movement: Prices are quoted in yield per cent per annum in multiples of 0.005 per cent.For quotation purposes the yield is deducted from an index of 100. Theminimum fluctuation of 0.005 per cent equals approximately $40 per contract,

varying with the level of interest rates.

Last Trading Day: The fifteenth day of the contract month (or the next succeeding business daywhere the fifteenth day is not a business day). Trading ceases at 12.00 noon.

1



(For period from second Sunday inMarch to first Sunday in November)

5.12pm 7.30am and 8.32am 4.30pm1

(For period from first Sunday inNovember to second Sunday in March)

Settlement Method: The arithmetic mean, taken at 9.45 am, 10.30 am and 11.15 am on the last day

of trading by 10 dealers, randomly selected for each time, at which they wouldbuy and sell a series of bonds previously declared by ASX for that contractmonth, excluding the two highest and two lowest buying quotations and the twohighest and two lowest selling quotations for each bond. All bought and soldcontracts in existence as at the close of trading in the contract month shall besettled by the Clearing House at the cash settlement price.

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Development Group.

Options on ASX 10 Year Treasury Bond Futures


Contract Months: Put and call options available on futures contracts up to two quarter monthsahead.

Commodity Code: XT



Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise prices

created automatically as the underlying futures contract price moves.Contract Expiry:

2 At 12.30pm on the business day prior to the last day of trading in the

underlying futures contract.1





Settlement method: Options may be exercised on any business day up to and including the day ofexpiry. In-the-money options are automatically exercised at expiry unlessabandoned. Upon exercise, the holder will receive a futures position at the

option strike price. Buyers may exercise or abandon positions held by lodginga notice of manual exercise or abandonment with SFE Clearing prior tocontract expiry. Settlement price is taken from the underlying futures market at12.30pm. Obtained by taking the midpoint between the futures bid and askquotations rounded up.



2For the September 2006 contract months the contract expiry is at 12pm on the last day of trading in the underlying

futures contract.


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Development Group.

Intra-Day Options on ASX 10 Year Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 10 Year Treasury Bond Futurescontract for a specified contract month on the Sydney Futures ExchangeLimited.

Contract Months: Put and call options available on futures contracts for the nearest quarter monthahead.

Commodity Code: XD

Minimum Price Move: Quoted in yield per cent per annum in multiples of 0.005 per cent.

Exercise Prices: Set at intervals of 0.01 per cent per annum yield. Nine option exercise prices

are available for trading with additional strike prices listed at the discretion ofthe Exchange.

Contract Expiry: At 4.10pm in the SYCOMsession in which the contract was listed fortrading.

1

Last Day of Trading: The business day prior to the last day of trading in the underlying futurescontract On the last day of trading of the underlying futures contract put and calloptions will be listed on the next quarter month.

Trading Hours: 8.32am 4.10pm1

Settlement Method: All options, which are in-the-money, are automatically exercised. Exercise ofan option results in the holder receiving a futures position at the options strikeprice. The settlement price is the weighted average of trade prices executed inthe underlying futures contract between 4.15pm and 4.25pm excluding anyExchange for Physical, Custom Market, and intra- and inter-commodity spreadtrades. Calculation of the settlement price is to four decimal places androunded to the nearest multiple of 0.005 per cent. When rounding, if the thirdand fourth decimal places are two and five or seven and five respectively, theweighted average of trade prices is rounded up to the next highest multiple of0.005 per cent.

1




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Development Group.

Overnight Options on ASX 10 Year Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 10-Year Treasury Bond futurescontract for a specified contract month on the Sydney Futures Exchange.

Contract Months: Put and call options available on futures contracts for the nearest quartermonth ahead.

Commodity Code: XO


Minimum Price Movement: Quoted in yield per cent per annum in multiples of 0.005 per cent

Exercise Prices: Set at intervals of 0.01 per cent per annum yield. Nine option exercise pricesare available for trading with additional strike prices listed at the discretion of

the Exchange.

Contract Expiry: At the cessation of each SYCOMsession.

Last Trading Day: The business day prior to the last day of trading in the underlying futurescontract. On the last day of trading of the underlying futures contract put and calloptions will be listed on the next quarter month.

Trading Hours: 5.12pm 7.00am1

(For period from second Sunday in March to first Sunday inNovember)

5.12pm 7.30am1

(For period from first Sunday in November to secondSunday in March)

Settlement Method: All options, which are in-the-money, are automatically exercised on thebusiness day immediately following the SYCOMsession. Exercise of anoption results in the holder receiving a futures position at the options strikeprice. The settlement price is the weighted average of trade prices executed inthe underlying contract between 8.32am and 8.42am on the business dayimmediately following the SYCOMsession excluding any Exchange forPhysical, Custom Market, intra- and inter-commodity spread trades and anytrades that occur during the Levelling Phase. Calculation of the settlementprice is to 4 decimal places. When rounding, if the third and fourth decimalplaces are two and five or seven and five respectively, the arithmetic mean isrounded to the next highest multiple of 0.005 per cent.

1




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Development Group.

Serial Options on ASX 10 Year Treasury Bond Futures


Contract Months: Serial Options are listed in non-financial quarter months with two serial optionmonths listed at all times. Put and call options are available based on afutures contract which expires in the financial quarter month immediatelyfollowing the respective serial month.

Commodity Code: XT



Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise pricescreated automatically as the underlying futures contract price moves.

Contract Expiry: At 12.30pm on the fifteenth day of the Serial Option month or should thefifteenth not be a business day, the next succeeding business day.

1






expiry. In-the-money options are automatically exercised at expiry unlessabandoned. Upon exercise, the holder will receive a futures position at theoption strike price. Buyers may exercise or abandon positions held by lodginga notice of manual exercise or abandonment with SFE Clearing prior tocontract expiry. Settlement price is taken from the underlying futures market at12.30pm. Obtained by taking the midpoint between the futures bid and askquotations rounded up.




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Development Group.

ASX 3 Year Interest Rate Swap Futures

Contract Unit: AUD100,000 swap based on a 6.5% coupon and a term to maturity of threeyears.

Contract Months: March/ J une/September/December up to two quarter months ahead

Commodity Code: YS

Minimum Price Move: Prices are quoted in yield per cent per annum in multiples of 0.005%. Forquotation purposes the yield is deducted from an index of 100. The minimumfluctuation of 0.005% equals approximately $14 per contract, varying with thelevel of interest rates.

Last Day of Trading: The Business Day preceding the second Friday of an expiry month.

Trading ceases at 12:00 noon

1

.Trading Hours: 5.14pm - 7.00am and 8.34am - 4.30pm

1(For period from second Sunday in


5.14pm - 7.30am and 8.34am - 4.30pm1(For period from first Sunday in



Settlement Method: The Settlement Price shall be 100 minus the 3 year AFMA 10.00am swapsreference rate, as determined by AFMA Services Pty Limited. The referencerate will be rounded to the nearest 0.005%.

All bought and sold contracts in existence as at the close of trading in thecontract month shall be settled by the SFE Clearing Corporation at the cashsettlement price.

1




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Development Group.

ASX 10 Year In terest Rate Swap Futures

Contract Unit: AUD100,000 swap based on a 6.5% coupon and a term to maturity of tenyears.

Contract Months: March/ J une/September/December up to two quarter months ahead

Commodity Code: XS

Minimum Price Move: Prices are quoted in yield per cent per annum in multiples of 0.005%. Forquotation purposes the yield is deducted from an index of 100. The minimumfluctuation of 0.005% equals approximately $36 per contract, varying with thelevel of interest rates.

Last Day of Trading: The Business Day preceding the second Friday of an expiry month.

Trading ceases at 12:00 noon1.

Trading Hours: 5.14pm - 7.00am and 8.34am - 4.30pm1(For period from second Sunday in


5.14pm - 7.30am and 8.34am - 4.30pm1(For period from first Sunday in



Settlement Method: The Settlement Price shall be 100 minus the 10 year AFMA 10.00am swapsreference rate, as determined by AFMA Services Pty Limited. The reference

rate will be rounded to the nearest 0.005%.

All bought and sold contracts in existence as at the close of trading in thecontract month shall be settled by the SFE Clearing Corporation at the cashsettlement price.

1




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Development Group.

Settlement Method: ASX New Zealand 30 Day Official Cash Rate Futures

Contract Unit: Average monthly RBNZ Official Cash Rate payable on a notional sum of NZD3,000,000

Contract Months: Monthly up to 12 months ahead

Commodity Code: ZO


Minimum Price Movement: Quoted in yield percent per annum in multiples of 0.005%, for quotationpurposes yield is deducted from 100. A one basis point move of 0.01% is equalto NZD24.66

Last Trading Day: Trading shall cease at 4.30pm on the last business day of the expiry month

Settlement Day: The second business day after the Last Trading Day

Trading Hours: 5.40pm - 7.00am and 8.30am - 4.30pm1

Settlement Price: The Cash Settlement Price is equal to 100 minus the cash settlement rate,where the cash settlement rate is the monthly average of the Official Cash Ratefor that contract month calculated by taking the sum of the daily Official CashRate, as published by the Reserve Bank of New Zealand, divided by thenumber of days for that month. On weekends and public holidays, when noOfficial Cash Rate is published the Cash Rate published on the previous

business day will be used for settlement price calculation. The cash settlementprice is rounded to the nearest multiple of 0.001. The Cash Settlement priceshall be announced to the market by 12.00pm on the first Business Day afterLast Trading Day.

1Settlement Method All bought and sold contracts in existence as at the close of trading in the

contract month shall be settled by SFE Clearing at the cash settlement price.

Position Limits None

Daily Price Limit None


1Trading hours: New Zealand Time


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Development Group.

ASX 90 Day New Zealand Bank Bi ll Futures

Contract Unit: NZ$1,000,000 face value 90 day bank accepted bill of exchange complying withthe Bills of Exchange Act 1908, or a transferable or negotiable security issuedby a bank with a term to maturity of 90 days

Contract Months: March/J une/September/December up to 12 quarter months or 3 years ahead.

Commodity Code: BB


Minimum Price Movement: One hundred minus annual percentage yield quoted to two decimal places.The minimum fluctuation of 0.01 equals approximately $24 per contract, varyingwith the level of interest rates.

Final Trading Day: The first Wednesday after the ninth day of the relevant Settlement Month.Trading will cease at 12 noon on the Final Trading Day.

Settlement Day: The business day following the Final Trading Day.


Settlement Method: Cash settlement with the parties making payment to or receiving from theClearing House (whichever is applicable) the amount of the difference betweenthe Contract Value and the Mandatory Settlement Value by no later than 2pmon the Mandatory Settlement Day.

The Mandatory Settlement Price is determined as 100 minus the 3 month FRA

settlement rate as published at approximately 1045 hours on the Final TradingDay by Reuters New Zealand Limited on page BKBM of the Reuters MonitorScreen (or its successor page). The FRA settlement rate will be rounded to 2decimal places. Where the third decimal place is 5 the average will be roundedto the next highest second decimal place.

If the Mandatory Settlement Price is not able to be declared in accordance withthe above procedures, Approved Settlement List Procedures as set out in theSFE Operating Rules will apply.


1 Trading hours: New Zealand Time


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Development Group.

Options on ASX 90 Day New Zealand Bank Bill Futures

Reference Code: BB

Ticker Code: BB

Underlying Security: A 90 Day Bank Bill Futures Contract as specified in BB

Unit Size: 1 unit of the Underlying Security

Premium Quotes: Yield percent per annum multiplied by 100

Minimum Fluctuations: 0.01 percent per annum

Premium Value:

1,000,000 x 365

36590

100365

0 01 90

100

.

e e

P1,000,000 x 365

where:e =100 - Exercise PriceP =premium expressed as a yield percent per annum multiplied by 100. Thecalculation within the square brackets will be carried out to 2 decimal places.All other calculations will be carried out to 8 decimal places. The premium valuewill be rounded to the nearest cent. 0.5 of 1 cent will be rounded up.

Expiration Date: The first Wednesday after the ninth day of the relevant Settlement Month.

Trading will cease at the 12 noon on the Expiration Date.1

Mandatory SettlementDay:

The business day following the Expiration Date.

Exercise of Options: Notice may be given to the Clearing House on any business day on which theContractis traded. Notice must be received by the Clearing House prior to5.30pm

1

Assignment For options exercised prior to expiry, the seller will be notified by the ClearingHouse no later than 45 minutes prior to commencement of the next businessdays trading.

For options exercised at expiry, the seller will be notified by the Clearing House

no later than 9.00am on the business day following the Expiration Date.1


1 Trading hours: New Zealand Time


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Development Group.

requirements: each underlying security as at 9.00 am, 9.30 am and 10.00 am (the quotation times)on the Final Trading Day

- time for obtainingquotes:

Quotes will be obtained within 15 minutes of the quotation time:

- calculation procedures: (a) For each quotation time:

The Company will randomly select 6 quotes. Quotes with a spread of greaterthan 0.05 percent per annum will be discarded. Midrates will be calculated fromall remaining quotes and the highest and lowest midrates will be discarded foreach stock.

The average of the remaining midrates for each stock will be calculated.

A yield will be calculated from the 2 averages so calculated by straight lineinterpolation or straight line extrapolation as the case may require using thefollowing formula:

yield i i i nn

1 2 11

2

where:

i1=the average midrate of shorter dated stock

i2=the average midrate of longer dated stock

n1=the number of days between the maturity of the shorter dated stock and the

theoretical futures maturity

n2=the number of days between the maturity of the shorter dated stock and the

maturity of the longer dated stock

The yield will be expressed to the nearest second decimal place

0.005 will be rounded up

(b) The average of the 3 yields determined in accordance with (a) above will becalculated to the nearest second decimal place

0.005 will be rounded up

The average yield so calculated and deducted from 100 will be the mandatorysettlement price


1 Trading hours: New Zealand Time.


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Development Group.

Options on ASX 3 Year New Zealand Government Stock Futures

Reference Code: TY

Ticker Code: TY

Underlying Security: A Three Year Government Stock Futures Contract as specified in TY




Premium Value:

1 000

100

14 0

1

1

1 100

14 0

11

16

6

6

6

, . .pi

i

i j

j

j

where:

p =premium in yield percent per annum x 100

iExercisePrice

100

200

j i 200 0 01

200.

The calculation within the brackets will be carried out to 8 decimal places. Thevalues will be rounded to the nearest cent. 0.5 of 1 cent will be rounded up.

Expiration Date: The first Wednesday after the ninth day of the relevant Settlement Month.Trading will cease at 12 noon on the Expiration Date.

Mandatory Settlement Day: The business day following the Expiration Date

Exercise or Abandonment: Notice may be given to the Clearing House on any business day on which theContract is traded. Notice must be received by the Clearing House prior to1730 hours.

Assignment : For options exercised prior to expiry, the seller will be notified by the ClearingHouse no later than 45 minutes prior to commencement of the next businessdays trading. For options exercised at expiry, the seller will be notified by theClearing House no later than 0900 hours on the business day following theExpiration Date.




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Development Group.

ASX 10 Year New Zealand Government Stock Futures

Reference Code: TN

Ticker Code: TN

Underlying Security: New Zealand Government Stock with a coupon rate of 8 percent and a 10 year termto maturity.

Unit Size: Face value of $100,000

Price Quotes: Yield percent per annum quoted as 100 percent minus price


Contract Value andMandatory SettlementValue Calculations:

Valuei

i

i

1000100

14 0

1

1

120

20

, .

The calculation within the brackets will be carried out to 8 decimal places. Thevalues will be rounded to the nearest cent. 0.5 of 1 cent will be rounded up

Contract Value: In the above formula:

iPrice

200

expressed as a yield percent per annum

Mandatory SettlementValue:

In the above formula

iMandatory Settlement Price

200

expressed as a yield percent per annum

Final Trading Day: The first Wednesday after the ninth day of the relevant Settlement Month. Tradingwill cease at 12 noon on the Final Trading Day.

Settlement: Cash settlement with the parties making payment to or receiving from the ClearingHouse (whichever is applicable) the amount of the difference between the Contract

Value and the Mandatory Settlement Value by no later than 1400 hours on theMandatory Settlement Day

Mandatory SettlementDay:

The business day following the Final Trading Day

Mandatory SettlementPrice:

The Mandatory Settlement Price will be determined in accordance with ApprovedSettlement List Procedures

Approved Settlement L is tProcedures:

- time of announcement: The Mandatory Settlement Price will be announced by the Company by no laterthan 1500 hours on the Final Trading Day

- minimum no. of parties: 6

- underlying securities for 2 New Zealand Government Stocks with maturities as determined by the Company


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Development Group.

Options on ASX 10 Year New Zealand Government Stock Futures

Reference Code: TN

Ticker Code: TN

Underlying Security: A Ten Year Government Stock Futures Contract as specified in TN




Premium Value:

1 000

100

14 0

1

1

1 100

14 0

11

120

20

20

20

, . .pi

i

i j

j

j

where:

p =premium in yield percent per annum x 100

i

100 ExercisePrice

200

j i 200 0 01200.

The calculation within the brackets will be carried out to 8 decimal places

The values will be rounded to the nearest cent

0.5 of 1 cent will be rounded up

Expiration Date: The first Wednesday after the ninth day of the relevant Settlement Month.Trading will cease at 12 noon on the Expiration Date

Mandatory Settlement Day: The business day following the Expiration Date

Exercise or Abandonment: Notice may be given to the Clearing House on any business day on which theContract is traded notice must be received by the Clearing House prior to 1730hours

Assignment : For options exercised prior to expiry, the seller will be notified by the ClearingHouse no later than 45 minutes prior to commencement of the next businessdays trading.

For options exercised at expiry, the seller will be notified by the Clearing Houseno later than 0900 hours on the business day following the Expiration Date.


Trading hours: New Zealand Time.


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Development Group.

ASX Victor ian Wholesale Gas Futures

Contract Unit: One hundred (100) Gigajoules (GJ ) of natural gas per day over the period of aCalendar Quarter.

Contract Months: March / J une / September / December sufficient to support two calendar andtwo financial years ahead.

Commodity Code: GX

Minimum Price Movement: Prices are quoted in dollars and cents per GJ .The minimum fluctuation is $0.01.

Last Trading Day: Last Business Day of the Calendar Quarter1

Settlement Day: The fourth Business Day following the Final Trading Day.Trading Hours: 9.00am - 4.00pm

1(For period from second Sunday in March to first Sunday in

November)9.00am - 4.00pm

1(For period from first Sunday in November to second Sunday

in March)

Settlement Method: Cash Settled


ASX Victor ian Wholesale Gas Str ip Futures Products

Contract Unit: Four Victorian Wholesale Gas Futures contracts

Contract Months: 2 calendar year and 2 financial year strip products

Commodity Code: GY

Minimum Price Movement: Prices are quoted in dollars and cents per GJ .The minimum fluctuation is $0.01.

Last Trading Day: The Last Business Day (in Victoria) in the month prior to the commencement ofthe first futures contract in the relevant strip futures product.

Trading Hours: 9.00am - 4.00pm1(For period from second Sunday in March to first Sunday in

November)9.00am - 4.00pm

1(For period from first Sunday in November to second Sunday

in March)

Settlement Method: n/a



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Development Group.



Options on ASX Greasy Wool Futures (21 Micron)

Contract Unit: One ASX Wool futures contract for a specified contract month on SydneyFutures Exchange.

Contract Months: Put and call options available on futures contracts for February, April, J une,August, October and December up to 10 calendar months ahead.

Commodity Code: GW


Minimum Price Movement: Quoted in cents per kilogram clean weight in multiples of one tenth of a cent.

Exercise Prices: Intervals of 25 cents per kilogram.

Contract Expiry: The Friday preceding commencement of the delivery period for thecorresponding futures expiry month (or the prior business day where the Fridayis not a business day).





Settlement Method: Good topmaking merino fleece with average fibre diameter of 21.0 microns, withmeasured mean staple strength of 35 n/ktx, mean staple length of 90mm, ofgood colour with less than 1.0% vegetable matter. Options may be exercised onany business day up to and including the day of expiry. In-the-money optionsare automatically exercised at expiry unless abandoned.




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Development Group.

ASX Otahuhu Base Load Electrici ty Futures Contracts

Contract Unit: 1 MW of electrical energy per hour for the Otahuhu grid reference point in NewZealand over the period of a calendar quarter.

Contract Months: March / J une / September / December such that sufficient quarter months arealways available for market participants to trade strip options over 3 calendaryears. At any point in time there will be between 13 and 17 quarter monthslisted.

Commodity Code: EA

Minimum Price Movement: Prices are quoted in dollars and cents per MWh

The minimum fluctuation is NZ $0.05.

Tick sizes under a $0.05/MWh price fluctuation: a 2,160 MWh contract quarter has a tick size of $108.00 a 2,184 MWh contract quarter has a tick size of $109.20 a 2,208 MWh contract quarter has a tick size of $110.40

Last Trading Day: Last Business Day (in New Zealand) in the Calendar Quarter.

Settlement Day: The fourth Business Day (in New Zealand) after the expiry of the ContractQuarter.

Trading Hours: 10.30am - 4.00pm1

Settlement Method: Cash Settled



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Development Group.

ASX Otahuhu Base Load Electrici ty Str ip Futures Products

Contract Unit: Four Otahuhu Base Load Electricity futures contracts.

Contract Months: At least 3 calendar year strip products to ensure sufficient contracts areavailable to cater for up to 3 calendar year strip option products.

Commodity Code: EB

Minimum Price Movement: Prices are quoted in dollars and cents per MWhThe minimum fluctuation is NZ $0.01.

Last Trading Day: The last trading day of the first contract quarter in the relevant Strip Futuresproduct.





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Development Group.

ASX Benmore Base Load Electrici ty Str ip Futures Products

Contract Unit: Four Benmore Electricity Futures contracts.

Contract Months: At least 3 calendar year strip products to ensure sufficient contracts areavailable to cater for up to 3 calendar year strip option products.

Commodity Code: EF


Last Trading Day: The last trading day of the first contract quarter in the relevant Strip Futuresproduct





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Development Group.

Strip Options over ASX Benmore Base Load Electric ity Futures Contracts

Contract Unit: One Benmore Base Load Electricity Strip Futures Product.

Contract Months: Put and Call options available on up to 3 calendar year strip futures products.

Commodity Code: EF


Exercise Prices: NZ $2.50. New option exercise prices created automatically as the underlying

futures contract price moves.

Contract Expiry: Options will cease trading at 12:00 noon NZST on the Last Trading Day. TheLast Trading Day shall be the day 6 weeks prior to the day immediatelypreceding the commencement of the calendar year for the underlying StripFutures product. If this day is not a business day in New Zealand then thefollowing business day will be the expiry day. ASX will publish expiry dates inadvance of new contracts being listed.


Settlement Method: Options may be exercised on any business day up to and including the day ofexpiry. In-the-money options are not automatically exercised at expiry. Buyersmay exercise in, at and out-of-the-money option positions held, by lodging anotice of exercise. On receipt of the exercise request, the options will beexercised against a random selection of seller positions, and the resultantfutures legs automatically recorded in the Buyer and Sellers account.


sfe contract specifications

Documents