Contract Specifications

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Contract Specifications

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Contract Specifications

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SFE SPI 200®1 Index Futures...3

Options on SFE SPI 200®1 Index Futures ...4

30 Day Interbank Cash Rate Futures ...5

Options on 30 Day Interbank Cash Rate Futures...6

90 Day Bank Accepted Bills Futures ...7

Options on 90 Day Bank Accepted Bills Futures ...8

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

3 Year Commonwealth Treasury Bond Futures ...10

Options on 3 Year Commonwealth Treasury Bond Futures ...11

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

Overnight Options on 3 Year Commonwealth Treasury Bond Futures...13

Serial Options on 3 Year Commonwealth Treasury Bond Futures ...14

10 Year Commonwealth Treasury Bond Futures ...15

Options on 10 Year Commonwealth Treasury Bond Futures ...16

Intra-Day Options on 10 Year Commonwealth Treasury Bond Futures ...17

Overnight Options on 10 Year Commonwealth Treasury Bond Futures...18

Serial Options on 10 Year Commonwealth Treasury Bond Futures ...19

3 Year Interest Rate Swap Futures ...20

10 Year Interest Rate Swap Futures ...21

Australia / US 10 Year Bond Spread Futures Contract ...22

d-cypha SFE Base Load, Peak Period and Strip Electricity ...23

Fine Wool Futures (19 Micron) ...24

Greasy Wool Futures (21 Micron)...25

Options on Greasy Wool Futures (21 Micron) ...26

Broad Wool Futures (23 Micron) ...27

MLA/SFE Cattle Futures ...28

NZ 30 Day Official Cash Rate Futures ...29

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SFE SPI 200 Index Futures

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

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

Commodity Code: AP

Listing Date: 02/05/2000

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

Last Trading Day: All trading in expiring contracts ceases at 12.00pm on the Third Thursday of the settlement month. Non-expiring contracts will continue to trade as per the stated trading hours.3

Cash Settlement Price: The Special Opening Quotation of the underlying S&P/ASX 2002 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 200 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.

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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: 5.10pm – 7.00am and 9.50am – 4.30pm3 (during US daylight saving time)4

5.10pm – 8.00am and 9.50am – 4.30pm3 (during US non daylight saving time)4 Settlement Day: 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.

Position Limit: None

Daily Price Limit: None

CFTC Approved: Yes

Last Modified: 8/01/08

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SFE SPI 200® is a trademark of the Sydney Futures Exchange.

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"S&P/ASX 200" is a trademark of Standard & Poor’s. The trademark is used under licence by the Sydney Futures Exchange.

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Unless otherwise indicated, all times are Sydney times.

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Options on SFE SPI 200®1 Index Futures

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

Contract Months: SFE SPI 200®1 index options expire in the same calendar month as the

underlying SFE SPI 200®1 index futures contract. Put and Call options available on existing SFE SPI 200®1 index futures contracts.

SFE SPI 200®1 Index Options available four quarter months ahead.

Commodity Code: AP

Listing Date: 02/05/2000

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

Exercise Prices: Set at intervals of 25 index points. New option exercise prices created automatically as the underlying futures contract price fluctuates. Last Trading Day: The last day of trading of the underlying futures contract.

All trading in expiring contracts ceases at 12.00pm on the Last Trading Day. Non-expiring contracts will continue to trade as per the stated trading hours.2 Cash Settlement Price: The Cash Settlement Price of the underlying futures contract.

5.10pm – 8.00am and 9.50am – 4.30pm2 (during US non daylight saving time)3

Settlement Day: 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®1 index futures contract position at the option strike price.

Position Limit: None

Daily Price Limit: None

CFTC Approved: Yes

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SFE SPI 200® is a trademark of the Sydney Futures Exchange

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US daylight saving begins second Sunday in March and ends first Sunday in November.

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30 Day Interbank Cash Rate Futures

Contract Unit: Average monthly Interbank Overnight Cash Rate payable on a notional sum of

AUD 3,000,000

Contract Months: Monthly up to 18 months ahead

Commodity Code: IB

Listing Date: 11/08/2003

Minimum Price Movement: Quoted in yield percent per annum in multiples of 0.005%, for quotation

purposes yield is deducted from 100. A one basis point move of 0.01% is equal to $24.66

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

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

Trading Hours: 5.14pm – 7.30am and 8.34am – 4.30pm1 (US non daylight saving time2)

5.14pm – 7.00am and 8.34am – 4.30pm1 (US daylight saving time2)

Settlement Price: The Cash Settlement Price is equal to 100 minus the cash settlement rate, where the cash settlement rate is the monthly average of the 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 0.001. The Cash Settlement price shall be announced to the market by 12.00pm 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 price1.

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Options on 30 Day Interbank Cash Rate Futures

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

for a specified contract month

Option Type American

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

Commodity Code: IB

Listing Date: 14/10/2008

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

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

Contract Expiry: At 12.30pm on the Business Day prior to the Last Trading Day in the

underlying futures contract.1

5.14pm – 7.30am and 8.34am – 4:30pm1 (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. Settlement price is determined as the mid point of the bid and offer prices in the underlying futures at 12.30pm, rounded up to the nearest 0.005 per cent.

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90 Day Bank Accepted Bills Futures

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

Contract Months: March/June/September/December up to twenty quarter months or five years

ahead.

Commodity Code: IR

Listing Date: 17/10/1979

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

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

Settlement Day: The second Friday of the delivery month.

5.08pm – 7.30am and 8.28am – 4.30pm2 (during US non daylight saving time)3 Settlement Method: One bank accepted bill or EBA or bank negotiable certificate of deposit or ECD issued by an approved bank of face value A$1,000,000 maturing 85-95 days from settlement day, and classified as ‘early’ month papers. ‘Early’ month paper matures on business days between the 1st and 15th of the month.

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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.

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Options on 90 Day Bank Accepted Bills Futures

Contract Unit: One A$1,000,000 face value 90-Day Bank Accepted Bills futures contract for a

specified contract month on the Sydney Futures Exchange.

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

Listing Date: 10/05/1985

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

Contract Expiry: At 12.30pm on the Friday one week prior to the settlement day for the underlying futures contract.1

5.08pm – 7.30am and 8.28am – 4:30pm1 (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.

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Serial Options on 90 Day Bank Accepted Bills Futures

Contract Unit: One A$1,000,000 face value 90-Day Bank Accepted Bills futures contract for a

specified contract month on the Sydney Futures Exchange.

Contract Months: 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.

Listing Date: 4/08/2003

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

Trading Hours: 5.08pm – 7.00am and 8.28am – 4.30pm1 (US daylight saving time)2

5.08pm – 7.30am and 8.28am – 4.30pm1 (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

12.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up.

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3 Year Commonwealth Treasury Bond Futures

Contract Unit: Commonwealth Government Treasury Bonds with a face value of A$100,000,

a coupon rate of 6% per annum and a term to maturity of three years, no tax rebate allowed.

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

Commodity Code: YT

Listing Date: 16/03/2001

Minimum Price Movement: Multiples of 0.005 per cent during the period 5.10pm on8th of the expiry month, or the next business day if the 8th is not a business day, to 4.30pm on the day of expiry. At all other times the minimum price increment will be 0.01 per cent. For quotation purposes the yield is deducted from an index of 100. The

minimum fluctuation of 0.01 per cent equals approximately $28 per contract, varying with the level of interest rates.

Last Trading Day: The fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day). Trading ceases at 12.00 noon.1

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

5.10pm – 7.30am and 8.30am – 4.30pm1 (during US non daylight saving time)2 Settlement Method: The arithmetic mean, taken at 9.45 am, 10.30 am and 11.15 am on the last day

of trading by 10 dealers, randomly selected for each time, at which they 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.1

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Options on 3 Year Commonwealth Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 3 Year Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange. Contract Months: Put and call options available on futures contracts up to two quarter months

ahead.

Listing Date: 16/03/2001

Contract Expiry:3 At 12.30pm on the business day prior to the last day of trading in the underlying futures contract.1

5.10pm – 7.30am and 8.30am – 4.30pm1 (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 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 12.30pm. Obtained by taking the midpoint between the futures bid and ask quotations rounded up.

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

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Intra-Day Options on 3 Year Commonwealth Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange Limited.

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

Commodity Code: YD

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

Exercise Prices: Set at intervals of 0.01 per cent per annum yield. Nine option exercise prices are available for trading with additional strike prices listed at the discretion of the Trading Manager or the Chief Executive of SFE.

Contract Expiry: At 4.10pm in the SYCOM® session in which the contract was listed for

trading.1

Last Day of 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 – 4.10pm1

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 4.15pm and 4.25pm excluding any Exchange for Physical, Custom Market, and intra- and inter-commodity spread trades. 1

Where the underlying futures contract minimum price increment is set to 0.005 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 3rd and 4th decimal places are 2 and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of 0.005.

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

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Overnight Options on 3 Year Commonwealth Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 3-Year Treasury Bond futures contract

for a specified contract month on the Sydney Futures Exchange.

Commodity Code: YO

Listing Date: 18/06/2001

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

Contract Expiry: At the cessation of each SYCOM® session.

Last Trading Day: 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: 5.10pm – 7.00am1 (during US daylight saving time)2

5.10pm – 7.30am1 (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 excluding any Exchange for Physical, Custom Market, intra- and inter- commodity spread trades and any trades that occur during the Levelling Phase.1

Where the underlying futures contract minimum price increment is set to 0.005 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 3rd and 4th decimal places are 2 and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of 0.005.

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

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Serial Options on 3 Year Commonwealth Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange. Contract Months: 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.

Listing Date: 18/04/2001

Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise prices created automatically as the underlying futures contract price moves. Contract Expiry: At 12.30pm on the fifteenth day of the Serial Option month or should the

fifteenth not be a business day, the next succeeding business day.1

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10 Year Commonwealth Treasury Bond Futures

Contract Unit: Commonwealth Government Treasury Bonds with a face value of A$100,000,

a coupon rate of 6% per annum and a term to maturity of ten years, no tax rebate allowed

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

Commodity Code: XT

Listing Date: 16/03/2001

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

Last Trading Day: The fifteenth day of the contract month (or the next succeeding business day where the fifteenth day is not a business day). Trading ceases at 12.00 noon.1

5.12pm – 7.30am and 8.32am – 4.30pm1 (during US non daylight saving time)2 Settlement Method: The arithmetic mean, taken at 9.45 am, 10.30 am and 11.15 am on the last day

of trading by 10 dealers, randomly selected for each time, at which they 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.1

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Options on 10 Year Commonwealth Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange. Contract Months: Put and call options available on futures contracts up to two quarter months

ahead.

Listing Date: 16/03/2001

Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise prices created automatically as the underlying futures contract price moves. Contract Expiry: 3 At 12.30pm on the business day prior to the last day of trading in the

underlying futures contract.1

5.12pm – 7.30am and 8.32am – 4.30pm1 (during US non daylight saving time)2 Settlement method: Options may be exercised on any business day up to and including the day of

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

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Intra-Day Options on 10 Year Commonwealth Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange Limited.

Commodity Code: XD

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

Contract Expiry: At 4.10pm in the SYCOM® session in which the contract was listed for

trading.1

Last Day of 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: 8.32am – 4.10pm1

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 4.15pm and 4.25pm 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 0.005 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 0.005 per cent.1

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Overnight Options on 10 Year Commonwealth Treasury Bond Futures

Contract Unit: One A$100,000 face value, 6% coupon, 10-Year Treasury Bond futures

contract for a specified contract month on the Sydney Futures Exchange. Contract Months: Put and call options available on futures contracts for the nearest quarter

month ahead.

Commodity Code: XO

Listing Date: 18/06/2001

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

Contract Expiry: At the cessation of each SYCOM® session.

Last Trading Day: 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: 5.12pm – 7.00am1 (during US daylight saving time)2

5.12pm – 7.30am1 (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 8.32am and 8.42am 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 0.005 per cent.1

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Serial Options on 10 Year Commonwealth Treasury Bond Futures

contract for a specified contract month on the Sydney Futures Exchange. Contract Months: 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.

Listing Date: 18/04/2001

Exercise Prices: Set at intervals of 0.10 per cent per annum yield.New option exercise prices created automatically as the underlying futures contract price moves. Contract Expiry: At 12.30pm on the fifteenth day of the Serial Option month or should the

fifteenth not be a business day, the next succeeding business day.1

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3 Year Interest Rate Swap Futures

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

years.

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

Commodity Code: YS

Minimum Price Move: Prices are quoted in yield per cent per annum in multiples of 0.005%. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 0.005% equals approximately $14 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 12:00 noon1.

Trading Hours: 5.14pm - 7.00am and 8.34am - 4.30pm1 (during US daylight saving time)2

5.14pm - 7.30am and 8.34am - 4.30pm1 (during US non daylight saving time)2

Settlement Method: The Settlement Price shall be 100 minus the 3 year AFMA 10.00am 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.1

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10 Year Interest Rate Swap Futures

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

years.

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

Commodity Code: XS

Minimum Price Move: Prices are quoted in yield per cent per annum in multiples of 0.005%. For quotation purposes the yield is deducted from an index of 100. The minimum fluctuation of 0.005% equals approximately $36 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 12:00 noon1.

Trading Hours: 5.14pm - 7.00am and 8.34am - 4.30pm1 (during US daylight saving time)2

5.14pm - 7.30am and 8.34am - 4.30pm1 (during US non daylight saving time)2

Settlement Method: The Settlement Price shall be 100 minus the 10 year AFMA 10.00am 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. 1

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Australia / US 10 Year Bond Spread Futures Contract

Contract Unit: Differential between the yield on the spot SFE 10 Year Treasury Bond Futures

contract and the yield on the pre-determined physical 10 Year US Treasury Note. Valued at AUD50 per spread point.

Price Quotation: Prices are quoted as 1000 plus a yield differential between the Australian spot 10 Year Bond Future and a US Physical Government Bond, as determined at the time of contract listing.

Contract Months: Monthly with two settlement months listed at a time.

Commodity Code: UA

Minimum Price Move: The minimum fluctuation of 0.5 points equates to AUD25.

Last Day of Trading: 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: 5.14pm - 7.00am and 8.34am - 4.30pm1(during US daylight saving time)2

5.14pm - 7.30am and 8.34am - 4.30pm1(during US non daylight saving time)2

Settlement Method: The cash settlement price will be determined as 1000 + [100 x (a - b)]. Where:

a = 100 – the weighted average of trade prices executed in the SFE 10 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 pre- determined US 10 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 2 decimal places and rounded to the nearest 0.5, 0.25 and 0.75 being rounded up.

The cash settlement price will be published by 5.00pm.

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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 1st Quarter Peak Option Contracts, Cal Year Base Strip Option Contracts and Quarterly Base $300 Cap Products contract specifications.

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Fine Wool Futures (19 Micron)

Contract Unit: The equivalent of 2,500 kilograms clean weight of merino combing fleece

(approximately 20 farm bales).

Contract Months: February/April/June/August/October/December up to 18 months ahead.

Commodity Code: FW

Listing Date: 19/01/1998

Minimum Price Movement: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of 1 cent per kilogram is equal to A$25 per contract).

Last Trading Day: The last business day of trading will be publicised by SFE. Trading ceases at 12.00 noon.1

Settlement Day: The cash settlement day of the contract will be the first business day after the final trading day.

5.10pm – 7.30am and 10.30am– 4.00pm1 (during US non daylight saving time)2 Settlement Method: The cash settlement price shall be the SFE 19 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.

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Greasy Wool Futures (21 Micron)

Contract Unit: The greasy equivalent of 2,500 kilograms clean weight of merino combing

fleece (approximately 20 farm bales).

Commodity Code: GW

Listing Date: 13/03/1995

Minimum Price Movement: Prices are quoted in cents per kilogram clean weight.

The minimum fluctuation of 1 cent per kilogram is equal to A$25.00 per contract. Last Trading Day: The last day of trading shall be the third Thursday of the contract month.

Trading ceases at 12.00 noon.1

5.10pm – 7.30am and 10.30am – 4.00pm1 (during US non daylight saving time)2

Settlement Method: Deliverable contracts.

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 21.0 microns, with measured mean staple strength of 35 n/ktx, mean staple length of 90mm, of good colour with less than 1.0% vegetable matter.

Deliverable Tolerances: • 2,250 to 2,750 clean weight kilograms of merino fleece wool, • of good topmaking style or better,

• good colour,

• Each wool lot shall have a mean fibre diameter greater than or equal to 19.6 microns and less than or equal to 22.5 microns.

• Deliverable wool shall have a maximum variation of 1.0 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 62.1 per cent.

• Each wool lot shall have mean staple strength greater than or equal to 31 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 100mm.

• Each wool lot shall have less than or equal to 1.0% seed and shive and less than or equal to 2.0% 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.

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(26)

Options on Greasy Wool Futures (21 Micron)

Contract Unit: One SFE Wool futures contract for a specified contract month on Sydney

Futures Exchange.

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

Commodity Code: GW

Listing Date: 19/02/1996

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

Exercise Prices: Intervals of 25 cents per kilogram.

Contract Expiry: The Friday preceding commencement of the delivery period for the

corresponding futures expiry month (or the prior business day where the Friday is not a business day).

5.10pm – 7.30am and 10.30am – 4.00pm1 (during US non daylight saving time)2 Settlement Method: Good topmaking merino fleece with average fibre diameter of 21.0 microns, with

measured mean staple strength of 35 n/ktx, mean staple length of 90mm, of good colour with less than 1.0% 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.

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(27)

Broad Wool Futures (23 Micron)

Contract Unit: The equivalent of 2,500 kilograms clean weight of merino combing fleece

(approximately 20 farm bales).

Commodity Code: BW

Listing Date: 19/01/1998

Minimum Price Movement: Prices are quoted in cents per kilogram clean weight. (The minimum fluctuation of 1 cent per kilogram is equal to A$25 per contract).

Last Trading Day: The last business day of trading will be publicised by SFE. Trading ceases at 12.00 noon.1

Settlement Day: The cash settlement day of the contract will be the first business day after the final trading day.

5.10pm – 7.30am and 10.30am – 4.00pm1 (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.

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(28)

MLA/SFE Cattle Futures

Contract Unit: 5,000 kilograms dressed weight equivalent of young cattle as represented by

the Eastern Young Cattle Indicator.

Price Quotation: Prices quoted in Australian cents per kilogram of dressed weight.

Contract Months: January, March, May, July, September, November up to 18 months ahead.

Commodity Code: CT

Listing Date: Tuesday 13 August 2002

Minimum Price Movement: The minimum fluctuation of ¼ cent per kilogram is equal to A$12.50 per contract.

Last Trading Day: 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.1

5.10pm – 7.30am and 10.00am – 4.00pm1 (during US non daylight saving time)2 Cash Settlement Price: The Cash Settlement Price will be the Eastern Young Cattle Indicator for the

third Tuesday of the Contract Month.

Cash Settlement Day: Two Business Days following the third Tuesday of the Contract Month. Cash Settlement Process: 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 $12.50 (excl. GST) per

contract side

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(29)

NZ 30 Day Official Cash Rate Futures

Contract Unit: Average monthly RBNZ Official Cash Rate payable on a notional sum of NZD

3,000,000

Contract Months: Monthly up to 12 months ahead

Commodity Code: ZO

Listing Date: 26/09/2006

Minimum Price Movement: Quoted in yield percent per annum in multiples of 0.005%, for quotation

purposes yield is deducted from 100. A one basis point move of 0.01% is equal to NZD24.66

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

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

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

Settlement Price: _{The Cash Settlement Price is equal to 100 minus the cash settlement rate,} where the cash settlement rate is the monthly average of the Official Cash 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 0.001. The Cash Settlement price shall be announced to the market by 12.00pm on the first Business Day after Last Trading Day.1

Settlement Method All bought and sold contracts in existence as at the close of trading in the contract month shall be settled by SFE Clearing at the cash settlement price.

Position Limits None

Daily Price Limit None

(30)

SFE NZ 90 Day Bank Bill Futures

Contract Unit: NZ$1,000,000 face value 90 day bank accepted bill of exchange complying with

the Bills of Exchange Act 1908, or a transferable or negotiable security issued by a bank with a term to maturity of 90 days

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

Commodity Code: BB

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

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

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

Trading Hours: _{5.40pm – 7.00am and 8.30am – 4.30pm}1

Settlement Method: 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 2pm on the Mandatory Settlement Day.

The Mandatory Settlement Price is determined as 100 minus the 3 month FRA settlement rate as published at approximately 1045 hours on the Final 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 2 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.

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(31)

SFE NZ Options on 90 Day Bank Bill Futures

Reference Code: BB

Ticker Code: BB

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

Unit Size: 1 unit of the Underlying Security

Premium Quotes: yield percent per annum multiplied by 100

Minimum Fluctuations: 0.01 percent per annum

Premium Value:

(

)

1,000,000 x 365

365

90

100

365 0 01

90

100 .

+

×

⎡

⎣

⎢

⎤

⎦

⎥

−

₊

⎛

+

×

⎝

⎜

⎞

⎠

⎡

⎣

⎢

⎤

⎦

⎥

⎡

⎣

⎢

⎤

⎦

⎥

×

e

_e

P

1,000,000 x 365 where: e = 100 - Exercise Price

P = premium expressed as a yield percent per annum multiplied by 100. The calculation within the square brackets will be carried out to 2 decimal places. All other calculations will be carried out to 8 decimal places. The premium value will be rounded to the nearest cent. 0.5 of 1 cent will be rounded up.

Expiration Date: The first Wednesday after the ninth day of the relevant Settlement Month. Trading will cease at the 12 noon on the Expiration Date.1

Mandatory Settlement Day:

The business day following the Expiration Date.

Exercise of Options: 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 5.30pm1

Assignment 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.1

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(32)

SFE NZ 3 Year Government Stock Futures

Reference Code: TY

Ticker Code: _TY

Underlying Security: New Zealand Government Stock with a coupon rate of 8 percent and a 3 year term

to maturity

Unit Size: face value of $100,000

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

Contract Value and Mandatory Settlement Value Calculations:

(

)

(

)

Value

i

=

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

1 000

100

1 4 0

1

6 6

,

.

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

Contract Value: in the above formula:

i

=

Price

200

expressed as a yield percent per annum

Mandatory Settlement Value:

in the above formula:

i

=

Mandatory Settlement Price

200

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

Settlement: 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 1400 hours on the Mandatory Settlement Day.

the business day following the Final Trading Day

Mandatory Settlement Price:

the Mandatory Settlement Price will be determined in accordance with Approved Settlement List Procedures

(33)

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

- time for obtaining quotes:

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

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

The Company will randomly select 6 quotes. Quotes with a spread of 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 2 averages so calculated by straight line interpolation or straight line extrapolation as the case may require using the following formula:

(

)

yield

i

n

= +

1 2

−

1

×

1 2 where:

i1 = the average midrate of shorter dated stock i2 = the average midrate of longer dated stock

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

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

the yield will be expressed to the nearest second decimal place 0.005 will be rounded up

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

0.005 will be rounded up

the average yield so calculated and deducted from 100 will be the mandatory settlement price

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(34)

SFE NZ Options on 3 Year Government Stock Futures

Reference Code: TY

Ticker Code: TY

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

Premium Value:

(

)

(

)

(

)

(

)

1 000

100

1 4 0

1

100

1 4 0

1

6 6 6 6

,

p

.

i

_j

j

×

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

−

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

⎡

⎣

⎢

⎤

⎦

⎥

where:

p = premium in yield percent per annum x 100

i

=

⎛

−

ExercisePrice

⎝

⎜

⎞

⎠

100

200 j

=

⎛

i

+

⎝

⎜

⎞

⎠

200 0 01

200 .

The calculation within the brackets will be carried out to 8 decimal places. The values will be rounded to the nearest cent. 0.5 of 1 cent will be rounded up. Expiration Date: The first Wednesday after the ninth day of the relevant Settlement Month.

Trading will cease at 12 noon on the Expiration Date. Mandatory Settlement Day: the business day following the Expiration Date

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

Assignment: 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.

(35)

SFE NZ 10 Year Government Stock Futures

Reference Code: TN

Ticker Code: TN

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

to maturity.

Unit Size: face value of $100,000

Price Quotes: _{yield percent per annum quoted as 100 percent minus price}

Contract Value and Mandatory Settlement Value Calculations:

(

)

(

)

Value

i

=

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

1 000

100

1 4 0

1

20 20

,

.

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

Contract Value: in the above formula:

i

=

Price

200

Mandatory Settlement Value:

in the above formula

i

=

Mandatory Settlement Price

200

Final Trading Day: _{the first Wednesday after the ninth day of the relevant Settlement Month. Trading}

will cease at 12 noon on the Final Trading Day.

Settlement: 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 1400 hours on the Mandatory Settlement Day

the business day following the Final Trading Day

Mandatory Settlement Price:

the Mandatory Settlement Price will be determined in accordance with Approved Settlement List Procedures

Approved Settlement List Procedures:

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

(36)

which yields shall be quoted:

prior to the listing of the cash settlement month

- quotation time and requirements:

the yields expressed to two decimal places at which the party would buy and sell each underlying security as at 9.00 am, 9.30 am and 10.00 am (the quotation times) on the Final Trading Day

- time for obtaining quotes:

quotes will be obtained within 15 minutes of the quotation time

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

the Company will randomly select 6 quotes

quotes with a spread of 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 2 averages so calculated by straight line interpolation or straight line extrapolation as the case may require using the

following formula:

yield

i

(

i

)

n

= +

1 2

−

1

×

1 2 where:

i1 = the average midrate of shorter dated stock i2 = the average midrate of longer dated stock

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

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

the yield will be expressed to the nearest second decimal place 0.005 will be rounded up

(b) the average of the 3 yields determined in accordance with (a) above will be calculated to the nearest second deminal place

0.005 will be rounded up

the average yield so calculated and deducted from 100 will be the mandatory settlement price

1

(37)

SFE NZ Options on 10 Year Government Stock Futures

Reference Code: TN

Ticker Code: TN

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

Premium Value:

(

)

(

)

(

)

(

)

1 000

100

1 4 0

1

100

1 4 0

1

20 20 20 20

,

p

.

i

_j

j

×

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

−

+

−

+

⎡

⎣

⎢

⎤

⎦

⎥

⎡

⎣

⎢

⎤

⎦

⎥

where:

p = premium in yield percent per annum x 100

(

)

i

=

100 −

ExercisePrice

200 (

)

j

=

200 i

+

0 01

200 .

the calculation within the brackets will be carried out to 8 decimal places the values will be rounded to the nearest cent

0.5 of 1 cent will be rounded up

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

Mandatory Settlement Day: the business day following the Expiration Date

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

Assignment: 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.

1

Unless otherwise indicated, all times are New Zealand times.