Contract Specifications

Transcription

1 Contract Specifications

2 Contract Specifications... SFE SPI 200 Index Futures...5 Options on SFE SPI 200 Index Futures...6 Serial Options on SFE SPI 200 Index Futures...7 Australian Dollar Futures Day Interbank Cash Rate Futures Day Bank Accepted Bills Futures...0 Options on 90 Day Bank Accepted Bills Futures... Serial Options on 90 Day Bank Accepted Bills Futures Year Commonwealth Treasury Bond Futures...3 Options on 3 Year Commonwealth Treasury Bond Futures Year Interest Rate Swap Futures...5 Intra-Day Options on 3 Year Commonwealth Treasury Bond Futures...6 Overnight Options on 3 Year Commonwealth Treasury Bond Futures...7 Serial Options on 3 Year Commonwealth Treasury Bond Futures Year Commonwealth Treasury Bond Futures...9 Options on 0 Year Commonwealth Treasury Bond Futures Year Interest Rate Swap Futures...2 Intra-Day Options on 0 Year Commonwealth Treasury Bond Futures...22 Overnight Options on 0 Year Commonwealth Treasury Bond Futures...23 Serial Options on 0 Year Commonwealth Treasury Bond Futures...24 Fine Wool Futures (9 Micron)...25 Broad Wool Futures (23 Micron)...26 Greasy Wool Futures (2 Micron)...27 Options on Greasy Wool Futures (2 Micron)...28 MLA/SFE Cattle Futures...29 d-cypha SFE Base Load, Peak Period and Strip Electricity...30 Alumina Individual Share Futures...3 Amcor Individual Share Futures...32 Ansell Individual Share Futures...33 AMP Individual Share Futures (AM)...34 AMP Individual Share Futures (PM)...35 ANZ Bank Individual Share Futures (AN)...36 ANZ Bank Individual Share Futures (AZ)...37 AXA Asia Pacific Holdings Individual Share Futures

3 BlueScope Steel Individual Share Futures...39 Boral Individual Share Futures...40 Brambles Industries Individual Share Futures...4 BHP Billiton Individual Share Futures...42 Coca-Cola Amatil Individual Share Futures...43 Coles Myer Individual Share Futures...44 Commonwealth Bank Individual Share Futures (cash settled)...45 Commonwealth Bank Individual Share Futures...46 Fosters Group Individual Share Futures...47 Insurance Australia Group Individual Share Futures...48 John Fairfax Holdings Individual Share Futures...49 Lend Lease Corp Individual Share Futures...50 Lihir Gold Individual Share Futures...5 Mayne Group Individual Share Futures...52 National Australia Bank Individual Share Futures...53 Newcrest Mining Individual Share Futures...54 News Corporation Individual Share Futures...55 Publishing & Broadcasting Individual Share Futures...56 Qantas Airways Individual Share Futures...57 QBE Insurance Individual Share Futures...58 Rinker Group Individual Share Futures...59 Rio Tinto Individual Share Futures...60 Southcorp Individual Share Futures...6 St George Bank Individual Share Futures...62 Suncorp-Metway Individual Share Futures...63 Tabcorp Holdings Individual Share Futures...64 Telstra Corporation Individual Share Futures (cash settled)...65 Telstra Corporation Individual Share Futures...66 Wesfarmers Individual Share Futures...67 Westpac Banking Corporation Individual Share Futures...68 WMC Resources Individual Share Futures...69 Westfield Holdings Individual Share Futures...70 Woodside Petroleum Individual Share Futures...7 Woolworths Individual Share Futures...72 SFE NZ 90 Day Bank Bill Futures...73 SFE NZ Options on 90 Day Bank Bill Futures...75 SFE NZ 3 Year Government Stock Futures

4 SFE NZ Options on 3 Year Government Stock Futures...78 SFE NZ 0 Year Government Stock Futures...79 SFE NZ Options on 0 Year Government Stock Futures...8 4

5 SFE SPI 200 Index Futures Valued at A$25 per index point (e.g. A$85,000 at 3,400 index points). March/June/September/December up to six quarter months ahead. AP Listing Date: 02/05/2000 Last Trading Day: Cash Settlement Price: One index point (A$25) All trading in expiring contracts ceases at 2.00pm 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 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 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 The first business day after expiry, SFE Clearing publishes the final settlement price of the On the second business day after expiry, SFE Clearing settles cash flows as a result of the settlement price. Last Modified: /04/ SPI 200 TM is a trademark of the Sydney Futures Exchange. "S&P/ASX 200" is a trademark of Standard & Poor s. The trademark is used under licence by the Sydney Futures Exchange. US daylight saving begins first Sunday in April and ends last Sunday in October. 5

6 Options on SFE SPI 200 Index Futures Valued at A$25 per index point (e.g. A$85,000 at 3,400 index points). SFE SPI 200 index options expire in the same calendar month as the underlying SFE SPI 200 index futures Put and Call options available on existing SFE SPI 200 index futures contracts. AP Listing Date: 02/05/2000 Exercise Prices: Last Trading Day: 0.5 index points (A$2.50) Set at intervals of 25 index points. New option exercise prices created automatically as the underlying futures contract price fluctuates. The last day of trading of the underlying futures All trading in expiring contracts ceases at 2.00pm 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 Trading Hours: 5.0pm 7.00am and 9.50am 4.30pm 2 (during US daylight saving time) 3 5.0pm 8.00am and 9.50am 4.30pm 2 (during US non daylight saving time) 3 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 200 index futures contract position at the option strike price. Last Modified: 0/07/ SPI 200 TM is a trademark of the Sydney Futures Exchange US daylight saving begins first Sunday in April and ends last Sunday in October. 6

7 Serial Options on SFE SPI 200 Index Futures Valued at A$25 per index point (e.g. A$85,000 at 3,400 index points). SFE SPI 200 index serial options are those options that do not expire in the same calendar month as the underlying SFE SPI 200 index futures 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 the SFE SPI 200 index futures contract that expires in the financial quarter month immediately following the respective serial month. AP Listing Date: 02/05/2000 Exercise Prices: Last Trading Day: Cash Settlement Price 0.5 index points (A$2.50) Set at intervals of 25 index points. New option exercise prices created automatically as the underlying futures contract price fluctuates. SFE SPI 200 serial options cease trading at 2.30pm on the last business day of the serial option month. 2 The Cash Settlement Price is taken from the underlying futures contract at 2.30pm. 2 Trading Hours: 5.0pm 7.00am and 9.50am 4.30pm 2 (during US daylight saving time) 3 5.0pm 8.00am and 9.50am 4.30pm 2 (during US non daylight saving time) 3 Options may be exercised on any business day up to and including the day of expiry. Only in-the-money options are automatically exercised at expiry, unless abandoned. Upon exercise, the holder will receive an underlying SFE SPI 200 index futures contract position at the option strike price. Last Modified: 0/07/ SPI 200 TM is a trademark of the Sydney Futures Exchange US daylight saving begins first Sunday in April and ends last Sunday in October. 7

8 Australian Dollar Futures One hundred thousand Australian dollars (AUD 00,000) March/June/September/December AF Listing Date: 06/02/200 Last Trading Day: Settlement Price: Trading Hours: Prices are quoted in terms of US dollars per Australian dollar with the minimum tick fluctuation of USD (one point) = USD 0.00 One business day prior to the third Wednesday of the delivery month. On this day, trading terminates at.00am or such other time as determined by the Board of SFE. The arithmetic mean of price quotations taken between 3 selected periods, 0.00am to 0.05am, 0.5am to 0.20am and 0.30am to 0.35am on the last day of trading from at least five Australian Dollar foreign exchange dealers, which will be used to determine ISPs and ESP. Delivery will be made on the 3rd Wednesday of the contract month. during US daylight saving time 2 Mon: Tues to Fri: Fri to Sat: 6.00am 2.30pm and 3.00pm 2.30pm 3.00pm 2.30pm 3.00pm 7.00am during US non daylight saving time 2 Mon: Tues to Fri: Fri to Sat: 6.00am 2.30pm and 3.00pm 2.30pm 3.00pm 2.30pm 3.00pm 7.30am Settlement Method: Holders of bought positions shall on the settlement day receive Australian Dollars and give United States Dollars. Holders of sold positions shall on the settlement day give Australian Dollars and receive United States Dollars. Last Modified: 4/2/03 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 8

9 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 2 months ahead IB Listing Date: /08/2003 Last Trading 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 $24.66 Trading shall cease at 2.00pm on the last business day of the expiry month The second business day after the Last Trading Day Trading Hours: 5.0pm 7.30am and 8.30am 4.30pm (US non daylight saving time 2 ) 5.0pm 7.00am and 8.30am 4.30pm (US daylight saving time 2 ) 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 shall be announced to the market by 2.00pm 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: 24/07/03 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 9

10 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 $24 per contract, varying with the level of interest rates). Last Trading Day: 2.00 noon on the business day immediately prior to settlement day. 2 The second Friday of the delivery month. Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm 2 (during US daylight saving time) 3 5.0pm 7.30am and 8.30am 4.30pm 2 (during US non daylight saving time) 3 Settlement Method: Ten bank accepted bills or EBAs or ten bank negotiable certificates of deposit (NCDs) or ECDs each of face value A$00,000, or two bank accepted bills or EBAs or bank negotiable certificates of deposit or ECDs each of face value A$500,000 or one bank accepted bill or EBA or bank negotiable certificate of deposit or ECD of face value A$,000,000 maturing days from settlement day. Last Modified: /04/02 EBAs and ECDs are electronically recorded debt obligations as defined within the definition of Dematerialised Security in the Operating Manual 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 uplifted from the Austraclear Limited system in accordance with the Regulations and Operating Manual of Austraclear Limited AND the uplifted EBA satisfies the requirements of a bill of exchange under the Bills of Exchange Act. It is expected that in most cases the subject of delivery under the contract will be an EBA, however where a Seller intends to deliver an EBA and a Buyer requires the delivery of a bill of exchange in accordance with the Bills of Exchange Act, the Seller shall be required to uplift the EBA and re-lodge a bill of exchange in accordance with the Bills of Exchange Act as required by the Market By-Laws. 2 3 US daylight saving begins first Sunday in April and ends last Sunday in October. 0

11 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 eight 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 0.25 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At 2.30pm on the Friday one week prior to the settlement day for the underlying futures Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 2 5.0pm 7.30am and 8.30am 4:30pm (during US non daylight saving time) 2 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. Last Modified: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October.

12 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: 4/08/2003 Exercise Prices: Contract Expiry: Quoted in yield per cent per annum in multiples of per cent. Set at intervals of 0.25 per cent per annum yield. New option exercise prices created automatically as the underlying futures contract price moves. At 2.30pm on the first Friday of the Serial Option month. Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (US daylight saving time) 2 5.0pm 7.30am and 8.30am 4.30pm (US non daylight saving time) 2 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 2.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 24/06/03 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 2

13 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: 6/03/200 Last Trading Day: Prices are quoted in yield per cent per annum in multiples of 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 $28 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 2.00 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) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 Settlement Method: 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 3

14 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: 6/03/200 Exercise Prices: 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. Contract Expiry: At 2.00 noon on the last day of trading in the underlying futures Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 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. Last Modified: 6/2/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 4

15 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 0.0%. For quotation purposes the yield is deducted from an index of 00. The minimum fluctuation of 0.0% equals approximately $28 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 2:00 noon. Trading Hours: 5.0pm am and 8.30am pm (during US daylight saving time) 2 5.0pm am and 8.30am pm (during US non daylight saving time) 2 Settlement Method: The business day following the last permitted day of trading. The arithmetic mean of quotes, taken at 9.45 am, 0.30 am and.5 am on the last day of trading, provided by eight dealers randomly selected for each time, at which they would receive and pay a swap that exchanges quarterly fixed rate payments against quarterly floating rate payments for a term of 3 years for that contract month. The highest and lowest receiving quotations and the highest and lowest paying quotations for each swap contract are excluded. Quotes are to be provided as an outright swap yield. 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: 04/06/03 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 5

16 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 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 Settlement Method: 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 4.25pm. Calculation of the settlement price is to three decimal places and rounded to two decimal places. When the third decimal place is five or above, the weighted average of trade prices is rounded up to the next highest decimal place. Last Modified: 9/04/02 6

17 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: 8/06/200 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. 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. Trading Hours: 5.0pm 7.00am (during US daylight saving time) 2 5.0pm 7.30am (during US non daylight saving time) 2 Settlement Method: 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. Calculation of the settlement price is to 3 decimal places and rounded to 2 decimal places. When the third decimal place is five or above, the arithmetic mean is rounded up to the next highest decimal place. Last Modified: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 7

18 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: 8/04/200 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 2.30pm 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) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 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 of in-the-money or out-of-the-money options may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing by no later than.00pm on the final day of trading. Settlement price is taken from the underlying futures market at 2.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 6/2/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 8

19 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: 6/03/200 Last Trading 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 2.00 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) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 Settlement Method: 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: 04/06/03 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 9

20 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: 6/03/200 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 2.00 noon on the last day of trading in the underlying futures contract (the fifteenth day of the month or the next succeeding business day). Trading Hours: 5.0pm 7.00am and 8.30am 4.30pm (during US daylight saving time) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 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. Last Modified: 6/2/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 20

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 2:00 noon. Trading Hours: 5.0pm am and 8.30am pm (during US daylight saving time) 2 5.0pm am and 8.30am pm (during US non daylight saving time) 2 Settlement Method: The business day following the last permitted day of trading. The arithmetic mean of quotes, taken at 9.45 am, 0.30 am and.5 am on the last day of trading, provided by eight dealers randomly selected for each time, at which they would receive and pay a swap that exchanges semi-annual fixed rate payments against semi-annual floating rate payments for a term of 0 years for that contract month. The highest and lowest receiving quotations and the highest and lowest paying quotations for each swap contract are excluded. Quotes are to be provided as an outright swap yield. 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: 23/0/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 2

22 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: 8.30am 4.0pm Settlement Method: 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 4.25pm. 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: 9/04/02 22

23 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: 8/06/200 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. 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. Trading Hours: 5.0pm 7.00am (during US daylight saving time) 2 5.0pm 7.30am (during US non daylight saving time) 2 Settlement Method: 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. 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 23

24 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: 8/04/200 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 2.30pm 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) 2 5.0pm 7.30am and 8.30am 4.30pm (during US non daylight saving time) 2 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 of in-the-money or out-of-the-money options may exercise or abandon positions held by lodging a notice of manual exercise or abandonment with SFE Clearing by no later than.00pm on the final day of trading. Settlement price is taken from the underlying futures market at 2.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up. Last Modified: 6/2/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 24

25 Fine Wool Futures (9 Micron) The equivalent of 2,500 kilograms clean weight of merino combing fleece (approximately 20 farm bales). February/April/June/August/October/December up to 8 months ahead. FW Listing Date: 9/0/998 Last Trading Day: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of cent per kilogram is equal to A$25 per contract). The last business day of trading will be publicised by SFE. Trading ceases at 2.00 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) 2 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) 2 Settlement Method: 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 2,500. 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 25

26 Broad Wool Futures (23 Micron) The equivalent of 2,500 kilograms clean weight of merino combing fleece (approximately 20 farm bales). February/April/June/August/October/December up to 8 months ahead. BW Listing Date: 9/0/998 Last Trading Day: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of cent per kilogram is equal to A$25 per contract). The last business day of trading will be publicised by SFE. Trading ceases at 2.00 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) 2 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) 2 Settlement Method: The cash settlement price shall be the SFE 23 micron clean indicator price published by the Australian Wool Exchange (AWEX). The cash settlement value is the cash settlement price multiplied by 2,500. 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 26

27 Greasy Wool Futures (2 Micron) The greasy equivalent of 2,500 kilograms clean weight of merino combing fleece (approximately 20 farm bales). February/April/June/August/October/December up to 8 months ahead. GW Listing Date: 3/03/995 Last Trading Day: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of cent per kilogram is equal to A$25.00 per contract). The last day of trading shall be the third Thursday of the contract month. Trading ceases at 2.00 noon. Trading Hours: 5.0pm 7.00am and 0.30am 4.00pm (during US daylight saving time) 2 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) 2 Settlement Method: The delivery period 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 2.0 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: 2,250 to 2,750 clean weight kilograms of merino fleece wool, of good topmaking style or better, good colour, with average micron between 9.6 and 22.5 micron, measured staple length between 80mm and 00mm, measured staple strength greater than 30 n/ktx, less than 2.0% vegetable matter. 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 27

28 Options on Greasy Wool Futures (2 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: 9/02/996 Exercise Prices: Contract Expiry: Quoted in cents per kilogram clean weight in multiples of one tenth of a cent. Intervals of 25 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) 2 5.0pm 7.30am and 0.30am 4.00pm (during US non daylight saving time) 2 Settlement Method: Good topmaking merino fleece with average fibre diameter of 2.0 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: /04/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 28

29 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 dollars per kilogram of dressed weight. January, March, May, July, September, November up to 8 months ahead. CT Listing Date: Tuesday 3 August 2002 Last Trading Day: The minimum fluctuation of ¼ cent per kilogram is equal to A$2.50 per The last day of trading shall be the Business Day following the third Tuesday of the Contract Month. Trading ceases at 4:00pm. Trading Hours: 5.0pm 7.00am and 0.00am 4.00pm (during US daylight saving time) 2 5.0pm 7.30am and 0.00am 4.00pm (during US non daylight saving time) 2 Cash Settlement Price: Cash 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 2.00pm 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 $2.50 (excl. GST) per contract side Last Modified: 3/08/02 2 US daylight saving begins first Sunday in April and ends last Sunday in October. 29

30 d-cypha SFE Base Load, Peak Period and Strip Electricity Please refer to dcyphatrade website for futures contract specifications. Please refer to dcyphatrade website for options contract specifications. 30

31 Alumina Individual Share Futures,000 Alumina Shares March/June/September /December, four quarter months ahead. WM cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: /04/03 3

32 Amcor Individual Share Futures,000 Amcor Shares February/May/August/November, four quarter months ahead. AR cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 0/05/03 Notes: 32

33 Ansell Individual Share Futures 200 Ansell Shares February/May/August/November, four quarter months ahead. PC cent, corresponding to A$2.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of 200 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: /04/03 33

34 AMP Individual Share Futures (AM),92 AMP Shares March/June/September/December, four quarter months ahead. AM cent, corresponding to A$.92 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,92 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 22/2/03 Notes: 34

35 AMP Individual Share Futures (PM),000 AMP Shares March/June/September/December, four quarter months ahead. PM cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 8/2/03 Notes: 35

36 ANZ Bank Individual Share Futures (AN),042 ANZ Bank Shares January/April/July/October, four quarter months ahead. AN cent, corresponding to A$0.42 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,042 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 30/0/03 36

37 ANZ Bank Individual Share Futures (AZ),000 ANZ Bank Shares January/April/July/October, four quarter months ahead. AZ cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 30/0/03 37

38 AXA Asia Pacific Holdings Individual Share Futures,000 AXA Asia Pacific Holdings Shares January/April/July/October four quarter months ahead. AX cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 0/05/03 Notes: 38

39 BlueScope Steel Individual Share Futures,000 BlueScope Steel Shares March/June/September/December, four quarter months ahead. BP cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 9//03 Notes: 39

40 Boral Individual Share Futures,000 Boral Shares February/May/August/November, four quarter months ahead. BO cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 0/05/03 Notes: 40

41 Brambles Industries Individual Share Futures,000 Brambles Industries Shares March/June/September/December, four quarter months ahead. BM cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: 08//02 Notes: 4

42 BHP Billiton Individual Share Futures,000 BHP Billiton Shares March/June/September/December, four quarter months ahead. BL cent, corresponding to A$0.00 per contract, i.e. Contract Unit x cent Last Trading Day: Trading ceases at 4.00pm on the last Thursday of the settlement month. Trading Hours: 9.50am 4.00pm Final Settlement: Adjustment Methodology: Physical delivery of,000 Shares. Delivery may only occur at the expiry of a No contract adjustments will be made for scheduled dividends. Adjustments will occur for all other capital reconstructions that are pro-rata events e.g. (share splits, bonus & rights issues etc.) Last Modified: /04/03 42