Contract Specifications

Transcription

1 Contract Specifications

2 Contract Specifications... SFE SPI 00 Index Futures...3 Options on SFE SPI 00 Index Futures Day Interbank Cash Rate Futures...5 Options on 30 Day Interbank Cash Rate Futures Day Bank Accepted Bills Futures...7 Options on 90 Day Bank Accepted Bills Futures...8 Serial Options on 90 Day Bank Accepted Bills Futures Year Commonwealth Treasury Bond Futures...0 Options on 3 Year Commonwealth Treasury Bond Futures... Intra-Day Options on 3 Year Commonwealth Treasury Bond Futures... Overnight Options on 3 Year Commonwealth Treasury Bond Futures...3 Serial Options on 3 Year Commonwealth Treasury Bond Futures Year Commonwealth Treasury Bond Futures...5 Options on 0 Year Commonwealth Treasury Bond Futures...6 Intra-Day Options on 0 Year Commonwealth Treasury Bond Futures...7 Overnight Options on 0 Year Commonwealth Treasury Bond Futures...8 Serial Options on 0 Year Commonwealth Treasury Bond Futures Year Interest Rate Swap Futures Year Interest Rate Swap Futures... Australia / US 0 Year Bond Spread Futures Contract... d-cypha SFE Base Load, Peak Period and Strip Electricity...3 Fine Wool Futures (9 Micron)...4 Greasy Wool Futures ( Micron)...5 Options on Greasy Wool Futures ( Micron)...6 Broad Wool Futures (3 Micron)...7 MLA/SFE Cattle Futures...8 NZ 30 Day Official Cash Rate Futures...9 SFE NZ 90 Day Bank Bill Futures...30 SFE NZ Options on 90 Day Bank Bill Futures...3 SFE NZ 3 Year Government Stock Futures...3 SFE NZ Options on 3 Year Government Stock Futures...34 SFE NZ 0 Year Government Stock Futures...35 SFE NZ Options on 0 Year Government Stock Futures...37

3 SFE SPI 00 Index Futures Valued at A$5 per index point (e.g. A$50,000 at 6,000 index points). March/June/September/December up to six quarter months ahead. AP Listing Date: 0/05/000 Last Trading Day: Cash Settlement Price: One index point (A$5) All trading in expiring contracts ceases at.00pm on the Third Thursday of the settlement month. Non-expiring contracts will continue to trade as per the stated trading hours. 3 The Special Opening Quotation of the underlying S&P/ASX 00 Index on the Last Trading Day. The Special Opening Quotation is calculated using the first traded price of each component stock in the S&P/ASX 00 Index on the Last Trading Day, irrespective of when those stocks first trade in the ASX trading day. This means that the first traded price of each component stock may occur at any time between ASX market open and ASX market close (including the Closing Single Price Auction) on the Last Trading Day. Should any component stock not have traded by ASX market close on the Last Trading Day, the last traded price of that stock will be used to calculate the Special Opening Quotation. Trading Hours: 5.0pm 7.00am and 9.50am 4.30pm 3 (during US daylight saving time) 4 5.0pm 8.00am and 9.50am 4.30pm 3 (during US non daylight saving time) 4 Settlement Day: Position Limit: Daily Price Limit: CFTC Approved: The first business day after expiry, SFE Clearing publishes the final settlement price of the contract. On the second business day after expiry, SFE Clearing settles cash flows as a result of the settlement price. None None Yes Last Modified: 8/0/ SFE SPI 00 is a trademark of the Sydney Futures Exchange. "S&P/ASX 00" is a trademark of Standard & Poor s. The trademark is used under licence by the Sydney Futures Exchange. 3

4 Options on SFE SPI 00 Index Futures Valued at A$5 per index point (e.g. A$50,000 at 6,000 index points). SFE SPI 00 index options expire in the same calendar month as the underlying SFE SPI 00 index futures contract. Put and Call options available on existing SFE SPI 00 index futures contracts. SFE SPI 00 Index Options available four quarter months ahead. AP Listing Date: 0/05/000 Exercise Prices: Last Trading Day: 0.5 index points (A$.50) Set at intervals of 5 index points. New option exercise prices created automatically as the underlying futures contract price fluctuates. The last day of trading of the underlying futures contract. All trading in expiring contracts ceases at.00pm on the Last Trading Day. Non-expiring contracts will continue to trade as per the stated trading hours. Cash Settlement Price: The Cash Settlement Price of the underlying futures contract. Trading Hours: 5.0pm 7.00am and 9.50am 4.30pm (during US daylight saving time) 3 5.0pm 8.00am and 9.50am 4.30pm (during US non daylight saving time) 3 Settlement Day: Position Limit: Daily Price Limit: CFTC Approved: Options may be exercised on any business day up to and including the Last Trading Day. Only in-the-money options are automatically exercised at expiry, unless abandoned. Upon exercise, the holder will receive an underlying SFE SPI 00 index futures contract position at the option strike price. None None Yes Last Modified: 08/0/08 3 SFE SPI 00 is a trademark of the Sydney Futures Exchange 4

5 30 Day Interbank Cash Rate Futures Average monthly Interbank Overnight Cash Rate payable on a notional sum of AUD 3,000,000 Monthly up to 8 months ahead IB Listing Date: /08/003 Last Trading Day: Settlement Day: Quoted in yield percent per annum in multiples of 0.005%, for quotation purposes yield is deducted from 00. A one basis point move of 0.0% is equal to $4.66 Trading shall cease at 4.30pm on the last business day of the expiry month The second business day after the Last Trading Day Trading Hours: 5.4pm 7.30am and 8.34am 4.30pm (US non daylight saving time ) 5.4pm 7.00am and 8.34am 4.30pm (US daylight saving time ) Settlement Price: The Cash Settlement Price is equal to 00 minus the cash settlement rate, where the cash settlement rate is the monthly average of the Interbank Overnight Cash Rate for that contract month calculated by taking the sum of the daily Interbank Overnight Cash Rate, as published by the Reserve Bank of Australia, divided by the number of days for that month. On weekends and public holidays, when no Interbank Overnight Cash Rate is published the Cash Rate published on the previous business day will be used for settlement price calculation. The cash settlement price is rounded to the nearest multiple of The Cash Settlement price shall be announced to the market by.00pm on the first business day following the Last Trading Day. 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. Last Modified: 4//05 5

6 Options on 30 Day Interbank Cash Rate Futures Option Type One AUD 3,000,000 face value 30 Day Interbank Cash Rate Futures contract for a specified contract month American Put and Call options available on futures contracts up to 4 months ahead. IB Listing Date: 4/0/008 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. A one basis point move of 0.0 per cent is equal to AUD4.66. Set at intervals of 0.5 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the Business Day prior to the Last Trading Day in the underlying futures contract. Trading Hours: 5.4pm 7.00am and 8.34am 4.30pm (during US daylight saving time) 5.4pm 7.30am and 8.34am 4:30pm (during US non daylight saving time) 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 unless abandoned. Settlement price is determined as the mid point of the bid and offer prices in the underlying futures at.30pm, rounded up to the nearest per cent. Last Modified: /0/08 6

7 90 Day Bank Accepted Bills Futures A$,000,000 face value 90-Day Bank Accepted Bills of exchange or EBAs. March/June/September/December up to twenty quarter months or five years ahead. IR Listing Date: 7/0/979 One hundred minus annual percentage yield quoted to two decimal places. (The minimum fluctuation of 0.0% equals approximately $4 per contract, varying with the level of interest rates). Last Trading Day:.00 noon on the business day immediately prior to settlement day. Settlement Day: The second Friday of the delivery month. Trading Hours: 5.08pm 7.00am and 8.8am 4.30pm (during US daylight saving time) pm 7.30am and 8.8am 4.30pm (during US non daylight saving time) 3 One bank accepted bill or EBA or bank negotiable certificate of deposit or ECD issued by an approved bank of face value A$,000,000 maturing days from settlement day, and classified as early month papers. Early month paper matures on business days between the st and 5 th of the month. Last Modified: 0/08/07 EBAs 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. 3 7

8 Options on 90 Day Bank Accepted Bills Futures One A$,000,000 face value 90-Day Bank Accepted Bills futures contract for a specified contract month on the Sydney Futures Exchange. Put and Call options available on futures contracts up to six quarter months ahead. IR Listing Date: 0/05/985 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.5 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the Friday one week prior to the settlement day for the underlying futures contract. Trading Hours: 5.08pm 7.00am and 8.8am 4.30pm (during US daylight saving time) 5.08pm 7.30am and 8.8am 4:30pm (during US non daylight saving time) 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 unless abandoned. Last Modified: 8/09/06 8

9 Serial Options on 90 Day Bank Accepted Bills Futures One A$,000,000 face value 90-Day Bank Accepted Bills futures contract for a specified contract month on the Sydney Futures Exchange. Serial Options are listed in non-financial quarter months with two serial option months listed at all times. Put and call options are available based on a futures contract which expires in the financial quarter month immediately following the respective serial month. IR Listing Date: 4/08/003 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.5 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the first Friday of the Serial Option month. Trading Hours: 5.08pm 7.00am and 8.8am 4.30pm (US daylight saving time) 5.08pm 7.30am and 8.8am 4.30pm (US non daylight saving time) 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 unless abandoned. Upon exercise, the holder will receive a futures position at the option strike price. Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing prior to contract expiry. Settlement price is taken from the underlying futures market at.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 8/09/06 9

10 3 Year Commonwealth Treasury Bond Futures Commonwealth Government Treasury Bonds with a face value of A$00,000, a coupon rate of 6% per annum and a term to maturity of three years, no tax rebate allowed. March/June/September/December up to two quarter months ahead. YT Listing Date: 6/03/00 Last Trading Day: Settlement Day: Multiples of per cent during the period 5.0pm on8th of the expiry month, or the next business day if the 8th is not a business day, to 4.30pm on the day of expiry. At all other times the minimum price increment will be 0.0 per cent. For quotation purposes the yield is deducted from an index of 00. The minimum fluctuation of 0.0 per cent equals approximately $8 per contract, varying with the level of interest rates. The fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day). Trading ceases at.00 noon. The business day following the last permitted day of trading. Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) The arithmetic mean, taken at 9.45 am, 0.30 am and.5 am on the last day of trading by 0 dealers, randomly selected for each time, at which they would buy and sell a series of bonds previously declared by SFE for that contract month, excluding the two highest and two lowest buying quotations and the two highest and two lowest selling quotations for each bond. All bought and sold contracts in existence as at the close of trading in the contract month shall be settled by the Clearing House at the cash settlement price. Last Modified: /05/09 0

11 Options on 3 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 3 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange. Put and call options available on futures contracts up to two quarter months ahead. YT Listing Date: 6/03/00 Exercise Prices: Contract Expiry: 3 Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the business day prior to the last day of trading in the underlying futures contract. Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 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 unless abandoned. Upon exercise, the holder will receive a futures position at the option strike price. Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing prior to contract expiry. Settlement price is taken from the underlying futures market at.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 5/06/06 3 For the September 006 contract months the contract expiry is at pm on the last day of trading in the underlying futures contract.

12 Intra-Day Options on 3 Year Commonwealth Treasury Bond Futures Minimum Price Move: Exercise Prices: Contract Expiry: Last Day of Trading: One A$00,000 face value, 6% coupon, 3 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange Limited. Put and call options available on futures contracts for the nearest quarter month ahead. YD Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. Nine option exercise prices are available for trading with additional strike prices listed at the discretion of the Trading Manager or the Chief Executive of SFE. At 4.0pm in the SYCOM session in which the contract was listed for trading. The business day prior to the last day of trading in the underlying futures contract. On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month. Trading Hours: 8.30am 4.0pm All options, which are in-the-money, are automatically exercised. Exercise of an option results in the holder receiving a futures position at the options strike price. The settlement price is the weighted average of trade prices executed in the underlying futures contract between 4.5pm and 4.5pm excluding any Exchange for Physical, Custom Market, and intra- and inter-commodity spread trades. Where the underlying futures contract minimum price increment is set to per cent, the weighted average of trade prices shall be calculated to 4 decimal places and rounded to the nearest multiple of 0.005; if the 3 rd and 4 th decimal places are and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of Where the underlying futures contract minimum price increment is set to 0.0 per cent, the weighted average of trade prices shall be calculated to 3 decimal places and rounded decimal places; if the third decimal place is 5 the weighted average shall be rounded to the next highest second decimal place. Last Modified: /05/09

13 Overnight Options on 3 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 3-Year Treasury Bond futures contract for a specified contract month on the Sydney Futures Exchange. Put and call options available on futures contracts for the nearest quarter month ahead. YO Listing Date: 8/06/00 Exercise Prices: Contract Expiry: Last Trading Day: Quoted in yield per cent per annum in multiples of per cent Set at intervals of 0.0 per cent per annum yield. Nine option exercise prices are available for trading with additional strike prices listed at the discretion of the Trading Manager or the Chief Executive of SFE. At the cessation of each SYCOM session. The business day prior to the last day of trading in the underlying futures contract. On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month. Trading Hours: 5.0pm 7.00am (during US daylight saving time) 5.0pm 7.30am (during US non daylight saving time) All options, which are in-the-money, are automatically exercised on the business day immediately following the SYCOM session. Exercise of an option results in the holder receiving a futures position at the options strike price. The settlement price is the weighted average of trade prices executed in the underlying contract between 8.30am and 8.40am on the business day immediately following the SYCOM session excluding any Exchange for Physical, Custom Market, intra- and inter- commodity spread trades and any trades that occur during the Levelling Phase. Where the underlying futures contract minimum price increment is set to per cent, the weighted average of trade prices shall be calculated to 4 decimal places and rounded to the nearest multiple of 0.005; if the 3 rd and 4 th decimal places are and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of Where the underlying futures contract minimum price increment is set to 0.0 per cent, the weighted average of trade prices shall be calculated to 3 decimal places and rounded decimal places; if the third decimal place is 5 the weighted average shall be rounded to the next highest second decimal place. Last Modified: /05/09 3

14 Serial Options on 3 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 3 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange. Serial Options are listed in non-financial quarter months with two serial option months listed at all times. Put and call options are available based on a futures contract which expires in the financial quarter month immediately following the respective serial month. YT Listing Date: 8/04/00 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the fifteenth day of the Serial Option month or should the fifteenth not be a business day, the next succeeding business day. Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 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 unless abandoned. Upon exercise, the holder will receive a futures position at the option strike price. Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing prior to contract expiry. Settlement price is taken from the underlying futures market at.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 8/5/04 4

15 0 Year Commonwealth Treasury Bond Futures Commonwealth Government Treasury Bonds with a face value of A$00,000, a coupon rate of 6% per annum and a term to maturity of ten years, no tax rebate allowed March/June/September/December up to two quarter months ahead. XT Listing Date: 6/03/00 Last Trading Day: Settlement Day: Prices are quoted in yield per cent per annum in multiples of per cent. For quotation purposes the yield is deducted from an index of 00. The minimum fluctuation of per cent equals approximately $40 per contract, varying with the level of interest rates. The fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day). Trading ceases at.00 noon. The business day following the last permitted day of trading. Trading Hours: 5.pm 7.00am and 8.3am 4.30pm (during US daylight saving time) 5.pm 7.30am and 8.3am 4.30pm (during US non daylight saving time) The arithmetic mean, taken at 9.45 am, 0.30 am and.5 am on the last day of trading by 0 dealers, randomly selected for each time, at which they would buy and sell a series of bonds previously declared by SFE for that contract month, excluding the two highest and two lowest buying quotations and the two highest and two lowest selling quotations for each bond. All bought and sold contracts in existence as at the close of trading in the contract month shall be settled by the Clearing House at the cash settlement price. Last Modified: 4//05 5

16 Options on 0 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 0 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange. Put and call options available on futures contracts up to two quarter months ahead. XT Listing Date: 6/03/00 Exercise Prices: Contract Expiry: 3 Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the business day prior to the last day of trading in the underlying futures contract. Trading Hours: 5.pm 7.00am and 8.3am 4.30pm (during US daylight saving time) 5.pm 7.30am and 8.3am 4.30pm (during US non daylight saving time) 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 unless abandoned. Upon exercise, the holder will receive a futures position at the option strike price. Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing prior to contract expiry. Settlement price is taken from the underlying futures market at.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 5/06/06 3 For the September 006 contract months the contract expiry is at pm on the last day of trading in the underlying futures contract. 6

17 Intra-Day Options on 0 Year Commonwealth Treasury Bond Futures Minimum Price Move: Exercise Prices: Contract Expiry: Last Day of Trading: One A$00,000 face value, 6% coupon, 0 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange Limited. Put and call options available on futures contracts for the nearest quarter month ahead. XD Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. Nine option exercise prices are available for trading with additional strike prices listed at the discretion of the Trading Manager or the Chief Executive of SFE. At 4.0pm in the SYCOM session in which the contract was listed for trading. The business day prior to the last day of trading in the underlying futures contract On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month. Trading Hours: 8.3am 4.0pm All options, which are in-the-money, are automatically exercised. Exercise of an option results in the holder receiving a futures position at the options strike price. The settlement price is the weighted average of trade prices executed in the underlying futures contract between 4.5pm and 4.5pm excluding any Exchange for Physical, Custom Market, and intra- and inter-commodity spread trades. Calculation of the settlement price is to four decimal places and rounded to the nearest multiple of per cent. When rounding, if the third and fourth decimal places are two and five or seven and five respectively, the weighted average of trade prices is rounded up to the next highest multiple of per cent. Last Modified: 4//05 7

18 Overnight Options on 0 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 0-Year Treasury Bond futures contract for a specified contract month on the Sydney Futures Exchange. Put and call options available on futures contracts for the nearest quarter month ahead. XO Listing Date: 8/06/00 Exercise Prices: Contract Expiry: Last Trading Day: Quoted in yield per cent per annum in multiples of per cent Set at intervals of 0.0 per cent per annum yield. Nine option exercise prices are available for trading with additional strike prices listed at the discretion of the Trading Manager or the Chief Executive of SFE. At the cessation of each SYCOM session. The business day prior to the last day of trading in the underlying futures contract. On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month. Trading Hours: 5.pm 7.00am (during US daylight saving time) 5.pm 7.30am (during US non daylight saving time) All options, which are in-the-money, are automatically exercised on the business day immediately following the SYCOM session. Exercise of an option results in the holder receiving a futures position at the options strike price. The settlement price is the weighted average of trade prices executed in the underlying contract between 8.3am and 8.4am on the business day immediately following the SYCOM session excluding any Exchange for Physical, Custom Market, intra- and inter-commodity spread trades and any trades that occur during the Levelling Phase. Calculation of the settlement price is to 4 decimal places. When rounding, if the third and fourth decimal places are two and five or seven and five respectively, the arithmetic mean is rounded to the next highest multiple of per cent. Last Modified: 5/06/06 8

19 Serial Options on 0 Year Commonwealth Treasury Bond Futures One A$00,000 face value, 6% coupon, 0 Year Treasury Bond Futures contract for a specified contract month on the Sydney Futures Exchange. Serial Options are listed in non-financial quarter months with two serial option months listed at all times. Put and call options are available based on a futures contract which expires in the financial quarter month immediately following the respective serial month. XT Listing Date: 8/04/00 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.0 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At.30pm on the fifteenth day of the Serial Option month or should the fifteenth not be a business day, the next succeeding business day. Trading Hours: 5.pm 7.00am and 8.3am 4.30pm (during US daylight saving time) 5.pm 7.30am and 8.3am 4.30pm (during US non daylight saving time) 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 unless abandoned. Upon exercise, the holder will receive a futures position at the option strike price. Buyers may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing prior to contract expiry. Settlement price is taken from the underlying futures market at.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 4//05 9

20 3 Year Interest Rate Swap Futures Minimum Price Move: AUD00,000 swap based on a 6.5% coupon and a term to maturity of three years. March/ June/September/December up to two quarter months ahead YS Prices are quoted in yield per cent per annum in multiples of 0.005%. For quotation purposes the yield is deducted from an index of 00. The minimum fluctuation of 0.005% equals approximately $4 per contract, varying with the level of interest rates. Last Day of Trading: The Business Day preceding the second Friday of an expiry month. Trading ceases at :00 noon. Trading Hours: 5.4pm am and 8.34am pm (during US daylight saving time) 5.4pm am and 8.34am pm (during US non daylight saving time) Settlement Day: The business day following the last permitted day of trading. The Settlement Price shall be 00 minus the 3 year AFMA 0.00am swaps reference 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 the contract month shall be settled by the SFE Clearing Corporation at the cash settlement price. Last Modified: 8/06/08 0

21 0 Year Interest Rate Swap Futures Minimum Price Move: Last Day of Trading: AUD00,000 swap based on a 6.5% coupon and a term to maturity of ten years. March/ June/September/December up to two quarter months ahead XS Prices are quoted in yield per cent per annum in multiples of 0.005%. For quotation purposes the yield is deducted from an index of 00. The minimum fluctuation of 0.005% equals approximately $36 per contract, varying with the level of interest rates. The Business Day preceding the second Friday of an expiry month. Trading ceases at :00 noon. Trading Hours: 5.4pm am and 8.34am pm (during US daylight saving time) 5.4pm am and 8.34am pm (during US non daylight saving time) Settlement Day: The business day following the last permitted day of trading. The Settlement Price shall be 00 minus the 0 year AFMA 0.00am swaps reference 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 the contract month shall be settled by the SFE Clearing Corporation at the cash settlement price. Last Modified: 8/06/08

22 Australia / US 0 Year Bond Spread Futures Contract Price Quotation: Differential between the yield on the spot SFE 0 Year Treasury Bond Futures contract and the yield on the pre-determined physical 0 Year US Treasury Note. Valued at AUD50 per spread point. Prices are quoted as 000 plus a yield differential between the Australian spot 0 Year Bond Future and a US Physical Government Bond, as determined at the time of contract listing. Monthly with two settlement months listed at a time. UA Listing Date: 6/07/004 Minimum Price Move: Last Day of Trading: The minimum fluctuation of 0.5 points equates to AUD5. 4:30pm on the eleventh day of the settlement month or subsequent business day that is not a public holiday in Sydney, New York, London and Tokyo. Trading Hours: 5.4pm am and 8.34am pm (during US daylight saving time) 5.4pm am and 8.34am pm (during US non daylight saving time) Settlement Day: The business day following the last permitted day of trading. The cash settlement price will be determined as [00 x (a - b)]. Where: a = 00 the weighted average of trade prices executed in the SFE 0 Year Treasury Bond Futures contract traded on SYCOM between 3.30pm and 4.30pm. The weighted average will be calculated to eight decimal places, and b = the weighted average of trade, bid and offer prices occurring in the predetermined US 0 Year Treasury Note between 3.30pm and 4.30pm, as provided by espeed Inc. The weighted average will be calculated to eight decimal places and converted into yield. The cash settlement price shall be calculated to decimal places and rounded to the nearest 0.5, 0.5 and 0.75 being rounded up. The cash settlement price will be published by 5.00pm. Last Modified: 4//05

23 d-cypha SFE Base Load, Peak Period and Strip Electricity Please refer to dcyphatrade website for Base Load Electricity Futures, Peak Period Electricity Futures and Strip Futures contract specifications. Please refer to dcyphatrade website for st Quarter Peak Option Contracts, Cal Year Base Strip Option Contracts and Quarterly Base $300 Cap Products contract specifications. 3

24 Fine Wool Futures (9 Micron) The equivalent of,500 kilograms clean weight of merino combing fleece (approximately 0 farm bales). February/April/June/August/October/December up to 8 months ahead. FW Listing Date: 9/0/998 Last Trading Day: Settlement Day: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of cent per kilogram is equal to A$5 per contract). The last business day of trading will be publicised by SFE. Trading ceases at.00 noon. The cash settlement day of the contract will be the first business day after the final trading day. Trading Hours: 5.0pm 7.00am and 0.30am 4.00pm (during US daylight saving time) 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) The cash settlement price shall be the SFE 9 micron clean indicator price published by the Australian Wool Exchange (AWEX). The cash settlement value is the cash settlement price multiplied by,500. All bought and sold contracts in existence as at the close of trading in the contract month, shall be settled by the Clearing House at the cash settlement value. Last Modified: /04/0 4

25 Greasy Wool Futures ( Micron) The greasy equivalent of,500 kilograms clean weight of merino combing fleece (approximately 0 farm bales). February/April/June/August/October/December up to 8 months ahead. GW Listing Date: 3/03/995 Prices are quoted in cents per kilogram clean weight. The minimum fluctuation of cent per kilogram is equal to A$5.00 per contract. Last Trading Day: The last day of trading shall be the third Thursday of the contract month. Trading ceases at.00 noon. Trading Hours: 5.0pm 7.00am and 0.30am 4.00pm (during US daylight saving time) 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) Delivery Period: Deliverable contracts. Commences on the Friday prior to the third Thursday of the delivery month, unless that Friday is not a business day, in which case the delivery period commences on the business day immediately preceding, and in any event ends at the close of trade on the final day of trading. Standard Delivery: Good topmaking merino fleece with average fibre diameter of.0 microns, with measured mean staple strength of 35 n/ktx, mean staple length of 90mm, of good colour with less than.0% vegetable matter. Deliverable Tolerances:,50 to,750 clean weight kilograms of merino fleece wool, of good topmaking style or better, good colour, Each wool lot shall have a mean fibre diameter greater than or equal to 9.6 microns and less than or equal to.5 microns. Deliverable wool shall have a maximum variation of.0 microns of mean fibre diameter between wool lots. Each wool lot shall have an IWTO Schlumberger Dry Top and Noil Yield of greater than or equal to 6. per cent. Each wool lot shall have mean staple strength greater than or equal to 3 newtons per kilotex. Each wool lot which has a mean staple strength less than or equal to 35 newtons per kilotex shall have greater than or equal to 40 per cent of the position of break ("POB") at the tip and the base combined and less than or equal to 60 per cent POB at the middle. Each wool lot shall have a mean staple length greater than or equal to 80mm and less than or equal to 00mm. Each wool lot shall have less than or equal to.0% seed and shive and less than or equal to.0% of total vegetable matter. Premium & Discounts: Fixed on the Friday prior to the last trading day for all deliverable wools above and below the standard, quoted in cents per kilogram clean. Last Modified: 3/05/08 5

26 Options on Greasy Wool Futures ( Micron) One SFE Wool futures contract for a specified contract month on Sydney Futures Exchange. Put and call options available on futures contracts for February, April, June, August, October and December up to 0 calendar months ahead. GW Listing Date: 9/0/996 Exercise Prices: Contract Expiry: Quoted in cents per kilogram clean weight in multiples of one tenth of a cent. Intervals of 5 cents per kilogram. The Friday preceding commencement of the delivery period for the corresponding futures expiry month (or the prior business day where the Friday is not a business day). Trading Hours: 5.0pm 7.00am and 0.30am 4.00pm (during US daylight saving time) 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) Good topmaking merino fleece with average fibre diameter of.0 microns, with measured mean staple strength of 35 n/ktx, mean staple length of 90mm, of good colour with less than.0% vegetable matter. 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 unless abandoned. Last Modified: /04/0 6

27 Broad Wool Futures (3 Micron) The equivalent of,500 kilograms clean weight of merino combing fleece (approximately 0 farm bales). February/April/June/August/October/December up to 8 months ahead. BW Listing Date: 9/0/998 Last Trading Day: Settlement Day: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of cent per kilogram is equal to A$5 per contract). The last business day of trading will be publicised by SFE. Trading ceases at.00 noon. The cash settlement day of the contract will be the first business day after the final trading day. Trading Hours: 5.0pm 7.00am and 0.30am 4.00pm (during US daylight saving time) 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) The cash settlement price shall be the SFE 3 micron clean indicator price published by the Australian Wool Exchange (AWEX). The cash settlement value is the cash settlement price multiplied by,500. All bought and sold contracts in existence as at the close of trading in the contract month, shall be settled by the Clearing House at the cash settlement value. Last Modified: /04/0 7

28 MLA/SFE Cattle Futures Price Quotation: 5,000 kilograms dressed weight equivalent of young cattle as represented by the Eastern Young Cattle Indicator. Prices quoted in Australian cents per kilogram of dressed weight. January, March, May, July, September, November up to 8 months ahead. CT Listing Date: Tuesday 3 August 00 Last Trading Day: The minimum fluctuation of ¼ cent per kilogram is equal to A$.50 per contract. The last day of trading shall be the third Tuesday of the Contract Month or the preceding business day if this is not a business day. Trading ceases at 4:00pm. Trading Hours: 5.0pm 7.00am and 0.00am 4.00pm (during US daylight saving time) 5.0pm 7.30am and 0.00am 4.00pm (during US non daylight saving time) Cash Settlement Price: Cash Settlement Day: Cash Settlement Process: The Cash Settlement Price will be the Eastern Young Cattle Indicator for the third Tuesday of the Contract Month. Two Business Days following the third Tuesday of the Contract Month. On the first Business Day following the third Tuesday of the Contract Month Sydney Futures Exchange Ltd shall publish by.00pm the Cash Settlement Price rounded to the nearest ¼ cent per kilogram, as adjusted and provided in writing by the National Livestock Reporting Service (NLRS). All bought and sold contracts in existence as at the close of trading in the Contract Month shall be settled by the SFE Clearing at the Cash Settlement Price on the second Business Day following the third Tuesday of the Contract Month. Cash Settlement Value: The Cash Settlement Value is the Cash Settlement Price multiplied by 5,000. Transaction Fee: The Exchange Fee for each contract month will be $.50 (excl. GST) per contract side Last Modified: 7/03/05 8

29 NZ 30 Day Official Cash Rate Futures Average monthly RBNZ Official Cash Rate payable on a notional sum of NZD 3,000,000 Monthly up to months ahead ZO Listing Date: 6/09/006 Last Trading Day: Settlement Day: Quoted in yield percent per annum in multiples of 0.005%, for quotation purposes yield is deducted from 00. A one basis point move of 0.0% is equal to NZD4.66 Trading shall cease at 4.30pm on the last business day of the expiry month The second business day after the Last Trading Day Trading Hours: 5.40pm am and 8.30am pm Settlement Price: Settlement Method Position Limits Daily Price Limit The Cash Settlement Price is equal to 00 minus the cash settlement rate, where the cash settlement rate is the monthly average of the Official Cash Rate for that contract month calculated by taking the sum of the daily Official Cash Rate, as published by the Reserve Bank of New Zealand, divided by the number of days for that month. On weekends and public holidays, when no Official Cash Rate is published the Cash Rate published on the previous business day will be used for settlement price calculation. The cash settlement price is rounded to the nearest multiple of The Cash Settlement price shall be announced to the market by.00pm on the first Business Day after Last Trading Day. 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. None None Last Modified: 8/08/06 9

30 SFE NZ 90 Day Bank Bill Futures NZ$,000,000 face value 90 day bank accepted bill of exchange complying with the Bills of Exchange Act 908, or a transferable or negotiable security issued by a bank with a term to maturity of 90 days March/June/September/December up to quarter months or 3 years ahead. BB Listing Date: //986 Final Trading Day: Settlement Day: One hundred minus annual percentage yield quoted to two decimal places. The minimum fluctuation of 0.0 equals approximately $4 per contract, varying with the level of interest rates. The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at noon on the Final Trading Day. The business day following the Final Trading Day. Trading Hours: 5.40pm 7.00am and 8.30am 4.30pm Cash settlement with the parties making payment to or receiving from the Clearing House (whichever is applicable) the amount of the difference between the Contract Value and the Mandatory Settlement Value by no later than pm on the Mandatory Settlement Day. The Mandatory Settlement Price is determined as 00 minus the 3 month FRA settlement rate as published at approximately 045 hours on the Final Trading Day by Reuters New Zealand Limited on page BKBM of the Reuters Monitor Screen (or its successor page). The FRA settlement rate will be rounded to decimal places. Where the third decimal place is 5 the average will be rounded to the next highest second decimal place. If the Mandatory Settlement Price is not able to be declared in accordance with the above procedures, Approved Settlement List Procedures as set out in the SFE Operating Rules will apply. Last Modified: 3/0/06 Unless otherwise indicated, all times are New Zealand times. 30

31 SFE NZ Options on 90 Day Bank Bill Futures Reference Code: Ticker Code: Underlying Security: Unit Size: BB BB a 90 Day Bank Bill Futures Contract as specified in BB unit of the Underlying Security Premium Quotes: yield percent per annum multiplied by 00 Minimum Fluctuations: Premium Value: Expiration Date: Mandatory Settlement Day: Exercise of Options: Assignment 0.0 percent per annum,000,000 x ,000,000 x 365 ( ) 90 P e e where: e = 00 - Exercise Price P = premium expressed as a yield percent per annum multiplied by 00. The calculation within the square brackets will be carried out to decimal places. All other calculations will be carried out to 8 decimal places. The premium value will be rounded to the nearest cent. 0.5 of cent will be rounded up. The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at the noon on the Expiration Date. The business day following the Expiration Date. Notice may be given to the Clearing House on any business day on which the Contract is traded. Notice must be received by the Clearing House prior to 5.30pm For options exercised prior to expiry, the seller will be notified by the Clearing House no later than 45 minutes prior to commencement of the next business day s 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. Last Modified: 6/07/0 Unless otherwise indicated, all times are New Zealand times. 3

32 SFE NZ 3 Year Government Stock Futures Reference Code: TY Ticker Code: Underlying Security: TY Unit Size: face value of $00,000 Price Quotes: Minimum Fluctuations: Contract Value and Mandatory Settlement Value Calculations: New Zealand Government Stock with a coupon rate of 8 percent and a 3 year term to maturity yield percent per annum quoted as 00 percent minus price 0.0 percent per annum ( + i) Value = , ( + i) i 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 cent will be rounded up. 6 Contract Value: in the above formula: i Price = 00 expressed as a yield percent per annum Mandatory Settlement Value: Final Trading Day: in the above formula: Mandatory Settlement Price i = 00 expressed as a yield percent per annum The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at noon on the Final Trading Day Settlement: Mandatory Settlement Day: Mandatory Settlement Price: Approved Settlement List Procedures Cash settlement with the parties making payment to or receiving from the Clearing House (whichever is applicable) the amount of the difference between the Contract Value and the Mandatory Settlement Value by no later than 400 hours on the Mandatory Settlement Day. the business day following the Final Trading Day the Mandatory Settlement Price will be determined in accordance with Approved Settlement List Procedures - time of announcement: the Mandatory Settlement Price will be announced by the Company by no later than 500 hours on the Final Trading Day - minimum no. of parties: 6 - underlying securities for which yields shall be quoted: New Zealand Government Stock with maturities as determined by the Company prior to the listing of the cash settlement month - quotation time and the yields expressed to two decimal places at which the party would buy and sell 3

33 requirements: - time for obtaining quotes: each underlying security as at 9.00 am, 9.30 am and 0.00 am (the quotation times) on the Final Trading Day - calculation procedures: (a) for each quotation time: quotes will be obtained within 5 minutes of the quotation time: The Company will randomly select 6 quotes. Quotes with a spread of greater than 0.05 percent per annum will be discarded. Midrates will be calculated from all remaining quotes and the highest and lowest midrates will be discarded for each stock. the average of the remaining midrates for each stock will be calculated a yield will be calculated from the averages so calculated by straight line interpolation or straight line extrapolation as the case may require using the following formula: n yield = i + ( i i ) n where: i = the average midrate of shorter dated stock i = the average midrate of longer dated stock n = the number of days between the maturity of the shorter dated stock and the theoretical futures maturity n = 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 will be rounded up (b) the average of the 3 yields determined in accordance with (a) above will be calculated to the nearest second decimal place will be rounded up the average yield so calculated and deducted from 00 will be the mandatory settlement price Last Modified: 30/04/03 Unless otherwise indicated, all times are New Zealand times. 33

34 SFE NZ Options on 3 Year Government Stock Futures Reference Code: Ticker Code: Underlying Security: Unit Size: TY TY a Three Year Government Stock Futures Contract as specified in TY unit of the Underlying Security Premium Quotes: yield percent per annum multiplied by 00 Minimum Fluctuations: Premium Value: 0.0 percent per annum 6 00 ( + i) 00, 000p ( + i) i ( + j) ( + j) j 6 where: p = premium in yield percent per annum x ExercisePrice i = 00 00i j = 00 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 cent will be rounded up. Expiration Date: Mandatory Settlement Day: Exercise or Abandonment: Assignment: The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at noon on the Expiration Date. the business day following the Expiration Date Notice may be given to the Clearing House on any business day on which the Contract is traded. Notice must be received by the Clearing House prior to 730 hours. For options exercised prior to expiry, the seller will be notified by the Clearing House no later than 45 minutes prior to commencement of the next business day s trading. For options exercised at expiry, the seller will be notified by the Clearing House no later than 0900 hours on the business day following the Expiration Date. Last Modified: 07/05/0 Unless otherwise indicated, all times are New Zealand times. 34