Notice reference number: Notice date: 19/08/2015

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1 Notice Notice reference number: Notice date: 19/08/2015 What s this about? Effective date: 21/09/2015 ASX Trade ASX 24 Trading Clearing Settlement Operations Technology Market Data Rules Compliance Risk Other Introduction of 20 Year Treasury Bond Futures Pursuant to ASX Market notice , Participants are advised that ASX will launch the 20 Year Treasury Bond Futures contracts on Monday 21 September 2015 (Trade Date 21 September 2015). The first contract months available to trade will be the December 2015 and March 2016 expiries. The 20 Year Treasury Bond Futures contract has received regulatory clearance and will be available for offshore customers to trade. Key contract features: Notional face value of AUD50,000 Quarterly contracts listed up to 6 months ahead (i.e. two listed contracts at a time) Cash settled using live executable prices from bond market platforms and inter dealer brokers to determine the expiry settlement prices. Minimum price increments of per cent during the period 5.10pm on the 8 th of the expiry month, to 4.30pm on the day of expiry. At all other times the minimum price increment will be per cent. Expiry is at 12.00pm on the Fifteenth day of the expiry month Spread market functionality against 10 Year Treasury Bond Futures available on ASX Trade24 (14:10 ratio) Margin offsets offered against existing ASX Bond Futures. Bond Baskets December 2015 March % April % April % June % June % April % April 2037 Expiry Position Limits The Expiry Position Limits will be set to 15,000 contracts. These limits will be reviewed as trading activity and open interest increases. Further details on Expiry Position Limits is set out in ASX 24 Operating Rules Procedure Appointment of Official Market Makers ASX is finalising market maker arrangements for the provision of two way quotes. Further details regarding minimum volume and bid offer spreads will be provided in a subsequent notice ahead of the launch date. Off Market Trading Exchange for Physical (EFP) and Block Trade transactions will be available for the 20 Year Bond Futures contract. Details on the Block Trade threshold will be provided in a subsequent Notice. Page 1 of 8

2 External Testing The 20 Year Bond Futures contract will be available in the ASX 24 External Test Environment from Thursday 20 August Commodity and Data Vendor Codes The ASX Trade24 commodity code for the 20 Year Treasury Bond Futures is XX. The following data vendor codes have been provided: Bloomberg: XXWmy CMDTY Reuters: YXXmy Exchange Fees The trading (including Block Trades) and mandatory settlement fee is AUD 0.90 (plus GST) per contract. The EFP trade fee is AUD 0.70 (plus GST) per contract. Initial Margins, Intra and Inter-commodity Offsets The initial margin rate together with inter commodity concessions will be communicated to participants prior to launch. For further information regarding the contract specifications of the 20 Year Treasury Bond Futures contract please refer to Attachment A. For further information regarding the ASX 24 Operating Rule and Procedure amendments regarding the 20 Year Treasury Bond Futures contract please refer to Attachment B. What do I need to do and by when? Participants should familiarise themselves with the details of the 20 Year Bond Futures contract outlined above and in Attachment A and Attachment B of this Notice. Participants should also ensure the 20 Year Bond Futures contract is set up in all relevant systems ahead of the launch date of 21 September A further Notice on ASX Trade24 account maintenance will be provided ahead of launch. Need more information? For any product related queries please contact: Kristye van de Geer, Manager Interest Rate Markets Disclaimer Page 2 of 8

3 ATTACHMENT A CONTRACT SPECIFICATIONS Contract Unit: Commonwealth Government Treasury Bonds with a face value of A$50,000, a coupon rate of 4% per annum and a term to maturity of twenty years. Contract Months: March/June/September/December up to two quarter months ahead. Commodity Code: XX Listing Date: Q Minimum Price Movement: Multiples of per cent for the period from 5.12pm on the 8 th of the expiry month, or next business day if the 8 th is not a business day, to 4.30pm on the day of expiry. At all other times the minimum price increment will be per cent. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 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 day where the fifteenth day is not a business day). Trading ceases at noon.1 Settlement Day: The business day following the last permitted day of trading. Trading Hours: 5.12pm 7.00am and 8.32am 4.30pm1 (For period from second Sunday in March to first Sunday in November) 5.12pm 7.30am and 8.32am 4.30pm1 (For period from first Sunday in November to second Sunday in March) Settlement Method: For each bond in the bond basket ASX will take the best bid and best offer available in the market by reference to live market prices taken from bond trading venues as determined by the Exchange. The average of the best bid and best offer for each bond will be calculated at 9.45am, 10.30am and 11.15am. An indicative session price, calculated as an arithmetic mean, will be published after each session. The Expiry settlement price will be the average of the best bids and offers from all sessions rounded to the nearest tradable increment and subtracted from 100. Expiry settlement price will be published by 12pm on the Last Trading Day1 1 Trading hours: Australian Eastern Standard Time / Australian Eastern Daylight Time. Page 3 of 8

4 ATTACHMENT B ASX 24 OPERATING RULE AMENDMENTS (AMENDMENTS NOT MARKED UP) SCHEDULE 1 ASX 24 INDIVIDUAL CONTRACT SPECIFICATIONS Twenty Year Commonwealth Treasury Bond Futures Contract Item Heading Individual contract specifications 1.1 Contract Unit Commonwealth Government Treasury Bonds with: (a) a face value of $50,000 (b) a term to maturity of twenty years (c) a coupon rate for each Settlement Month as determined by the Exchange. 1.2 The coupon rate referred to in Item 1.1(d) may be determined: (a) (b) prior to the Settlement Month being listed; or after the Settlement Month has been listed, provided that no Open Positions in Twenty Year Commonwealth Treasury Bond Futures Contracts or Options Over those Futures Contracts exist in the Settlement Month at the time of the rate variation. 1.3 Type of contract Cash Settled 2 Contract Value 500 x [c (1 v 40 )/i + 100v 40 ] (expressed in Australian Dollars) where i = one half the Contract Price 100 and v = 1/(1 + i) and c = coupon rate/2 (The calculation within the brackets shall be carried out to such number of decimal places as the Exchange shall determine and shall be rounded in the manner determined by the Exchange). 3 Settlement Price For each Settlement Day the Approved Clearing Facility shall declare the Settlement Price, which shall be calculated in accordance with the procedures in Item 5. The Approved Clearing Facility will declare the Settlement Price at such time as it shall determine. 4 Settlement Value 500 x [c (1 w 40 )/j + 100w 40 ](expressed in Australian Dollars) where j = one half the Settlement Price 100 and w = 1/(1 + j) and c = coupon rate/2 (The calculation within the brackets shall be carried out to such number of decimal places as the Exchange shall determine and rounded in a manner determined by the Exchange). 5 Manner of determining the Settlement Price The Settlement Price shall be determined having regard to quotations taken from bond trading venues as determined by the Exchange. (a) For each Settlement Month the Exchange shall determine not less than 3 series of Treasury Bonds whose yields shall be used in the determination of the Settlement Price for that Settlement Month. (b) Quotations to be obtained shall be for the best executable bid (being the lowest buy yield across all bond trading venues with a minimum of 10 million parcel size) and executable offer (being the highest offer yield Page 4 of 8

5 Item Heading Individual contract specifications across all bond trading venues with a minimum of 10 million parcel size), for the relevant series of Treasury Bonds. (c) The arithmetic mean of the best executable bid and best executable offer at the quotation times will be the Settlement Price. 6 Exclusion of Liability Subject to the right of the Exchange under Rule [3100] to direct that Contracts be settled at a price other than that determined in accordance with the Individual Contract Specifications, the Exchange and the Approved Clearing Facility shall be entitled to regard the numerical value provided by any bond trading venue or its duly authorised agent as being conclusive evidence of the quotations. In the event of any bond trading venue failing to provide such quotations or providing quotations that are numerically inaccurate, no party shall make any claim whatsoever against the bond trading venue, its duly authorised agents, the Approved Clearing Facility or the Exchange, and the provisions of Rule [3100] shall apply. 7 Inability for declaration of the Settlement Price. If a situation is developing or has developed which is capable of preventing the declaration of the Settlement Price in accordance with these Individual Contract Specifications, or if a situation within the meaning of Rule [3100] is developing or has developed, then the provisions of Rule [3100] shall apply and any provision of the Rules which cannot be complied with until the price has been declared shall be complied with as soon as possible after it has been declared. ATTACHMENT B - ASX 24 OPERATING RULE PROCEDURE AMENDMENTS SCHEDULE 1 (NOT MARKED UP) Procedure Subject Coupon Rate Twenty Year Commonwealth Treasury Bond Futures Contract Determinations 4 per cent Calculation of Contract Value Treasury Bond Series Manner of quoting Futures Price Minimum fluctuations for quoting Futures Price Bond trading venues Time Settlement Price is declared The calculation within the brackets in the formula shall be carried out to eight decimal places and rounded to the nearest cent, cents being rounded up. As recorded in the Schedule to these Determinations Yield per cent per annum. For quotation purposes the futures Price shall be deducted from Multiples of per cent during the period 5:12pm on 8 th of the expiry month, or the next business day if the 8 th is not a business day, to 4:30pm on the day of expiry. All the other times the minimum price increment will be per cent. BGC ICAP Yieldbroker The Approved Clearing Facility will normally declare the Settlement Price at 3.00 pm on the Final Trading Day Page 5 of 8

6 Subject Times for obtaining quotations for the purpose of calculating the Settlement Price Determinations Quotations will be obtained on the final trading day at: 9.45 am ± 5 seconds am ± 5 seconds, and am ± 5 seconds Trading Hours Settlement Months Final Trading Day Time at which trading ceases on Final Trading Day Settlement Day Final time by which Seller s obligations must be satisfied Final time by which Buyer s obligations must be satisfied 5.12pm-7.00am & 8.32am-4.30pm (US daylight saving time) 5.12pm-7.30am & 8.32am-4.30pm (US non daylight saving time) March, June, September and December up to two Quarter Months ahead The fifteenth day of the Settlement Month, or if that day is not a Business Day, then the Business Day immediately following the fifteenth day noon. The Business Day following the Final Trading Day in a Settlement Month noon on the Settlement Day am on the Settlement Day Schedule of Treasury Bond Series referred to above The following series of Commonwealth Treasury Bonds are those determined by the Board pursuant to Item 5(a) of Rule Settlement Month September % April % June % April Settlement Month December % April % June % April 2037 Page 6 of 8

7 OTHER CONSEQUENTIAL ASX 24 PROCEDURE AMENDMENTS (MARKED UP) Procedure Futures Daily Settlement Price Procedures (a) Immediately following the Close of a Market, an Interim Daily Settlement Price for each Futures Contract month shall be displayed on the Trading Platform. Interim Daily Settlement Prices shall be calculated by the Exchange by using any one, or a combination, of the following methods: (i) where there is a final bid and a final ask that is within the tick range set out below, the mid-point between the final bid and final ask, rounded up shall be the Daily Settlement Price; Futures Contracts Specified Tick Range Australian 30 Day Interbank Australian 90 Day Bank Bills (including Packs & Bundles Strip Orders) 3 Month Overnight Swap Index Futures Australian 3 Year Treasury Bond Australian 10 Year Treasury Bond Australian 20 Year Treasury Bond Australian 3 Year Interest Rate Swap Australian 10 Year Interest Rate Swap NZ 30 Day Official Cash Rate NZ 90 Day Bank Bills NZ 3 Year Government Bond NZ 10 Year Government Bond SPI Points S&P/ASX 200 Resources Index Futures Contract 10 Points S&P/ASX 200 Financial-x-A-REIT Index Futures Contract 10 Points S&P/ASX 200 A-REIT Index Futures Contract 10 Points S&P/ASX 200 VIX Futures Contract The tick range is unlimited ASX Victorian Wholesale Gas and Strip Futures 5 cents Grain Futures 20 dollars Fine Wool / Greasy Wool 30 cents Ranges for Interest Rate Futures Products Futures Contracts NCR QCR (Lower Limit) QCR (Upper Limit) Start of ETR Australian 30 Day Inter Bank 5.0 Basis Points Basis Points Australian 90 Day Bank Bills(includes Packs and Bundles Strip Orders) 5.0 Basis Points 6.0 Basis Points 49.0 Basis Points 50.0 Basis Points Australian 3 Year Treasury Bond 5.0 Basis Points Basis Points Australian 10 Year Treasury Bond 5.0 Basis Points Basis Points Australian 20 Year Treasury Bond Australian 3 Year Interest Rate Swap Australian 10 Year Interest Rate Swap 5.0 Basis Points Basis Points 50.0 Basis Points 5.0 Basis Points Basis Points 5.0 Basis Points Basis Points NZ 30 Day Official Cash Rate 5.0 Basis Points Basis Points NZ 90 Day Bank Bills 5.0 Basis Points 6.0 Basis Points 49.0 Basis Points 50.0 Basis Points NZ 3 Year Government Bond 5.0 Basis Points 6.0 Basis Points 49.0 Basis Points 50.0 Basis Points NZ 10 Year Government Bond 5.0 Basis Points 6.0 Basis Points 49.0 Basis Points 50.0 Basis Points Page 7 of 8

8 Futures Contracts NCR QCR (Lower Limit) QCR (Upper Limit) Start of ETR 3 month Overnight Index Swap (OIS) Amended 28/11/11, 27/02/12, 31/03/13, 01/12/ Basis Points Basis Points Page 8 of 8

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