Docstoc

Initial Margin Rates and Span Parameters - Australian Securities

Document Sample
Initial Margin Rates and Span Parameters - Australian Securities Powered By Docstoc
					Initial Margin Rates and Span Parameters

Issued 24-12-09

Commodity Name

Code

Price Scan Range (per lot) $6,000 $880 $535 $955 $2,290 $1,330 $290 $835 $1,085 $670 $1,160 $2,130 $1,550 $4,550 $18,200 $450 $1,700 $400

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
1

SFE SPI200TM 1 90 Day Bank Accepted Bill 30 Day Interbank Cash Rate 3 Year Government Bond 6% Coupon 10 Year Government Bond 6% Coupon Australian/US 10 Year Bond Spread Broad Wool Fine Wool Wool Deliverable (greasy) Young Cattle 3 Year Interest Rate Swap Futures 6.5% Coupon 10 Year Interest Rate Swap Futures 6.5% Coupon ASX Thermal Coal (FOB Newcastle) Monthly Futures ASX Thermal Coal (FOB Newcastle) Quarterly Strip Futures ASX Thermal Coal (FOB Newcastle) Yearly Futures ASX Victorian Wholesale Gas Futures ASX Victorian Wholesale Gas Strip Futures Renewable Energy Certificate

AP IR IB YT XT UA BW FW GW CT YS XS CX CY CZ GX GY EO

Inter Month Spread Charge (per spread) $500 Tiered Tiered $140 $220 $1,330 $290 $350 Tiered $140 $1,160 $2,130 -

% Volatility Scan Range 2.5% 0.1% 0.1% 1.6% 1.2% 4.00% 4.25% 4.25% 1.65% 1.5% 11.0%

Short Option Minimum charge $13 $24 $25 $15 $40 $13 $30 $120 $92 $365 $5

Effective Date

27.11.09 27.11.09 27.11.09 27.11.09 27.11.09 20.11.09 4.09.09 31.12.09 31.12.09 31.12.09 20.11.09 20.11.09 22.06.09 22.06.09 22.06.09 22.06.09 22.06.09 24.11.09

The spot month isolation rate is $125 Initial Margin per CFD (AUD) 0.69 0.21 0.46 0.69 1.75 1.16 2.82 0.28 0.69 0.60 0.52 4.22 1.57 0.16 0.20 0.34 0.08 0.07

ASX Equity CFDs 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 AGL Energy Limited Alumina Limited Amcor Limited AMP Limited ANZ Banking Group Limited AXA Asia Pacific Holdings Limited BHP Billiton Limited Bluescope Steel Limited Boral Limited Brambles Coca-Cola Amatil Limited Commonwealth Bank of Australia CSL Limited CSR Limited Fairfax Media Limited Foster's Group Limited GPT Group Goodman Fielder Limited

Code AG AU AL AV AW AY BJ BU BZ BY CL CU CV CP JF FL GP MD

Effective Date 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 29.09.09 29.09.09 29.09.09 29.09.09

19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

Insurance Australia Group Lend Lease Corp Limited Leighton Holdings Limited Lihir Gold Limited Macquarie Bank Limited Macquarie Infrastructure Group National Australia Bank Limited Newcrest Mining Limited News Corporation Oil Search Limited Onesteel Limited Orica Limited Origin Energy Limited OZ Minerals Limited Paladin Energy Ltd Qantas QBE Insurance Group Limited Rio Tinto Limited Santos Limited Stockland Suncorp-Metway Limited Tabcorp Holdings Limited Tatts Group Limited Telecom Corporation of NZ Limited Telstra Corporation Limited Toll Holdings Limited Transurban Group Limited Wesfarmers Limited Westfield Group Westpac Banking Corporation Woodside Petroleum Woolworths Limited

IX LC LE LG MB MI NA NG NN OH OT OR OE OX PD QL QI RT SL SN SM TC TS TZ TT TO TU WS WG WC WO WL

0.31 1.03 4.08 0.44 5.74 0.13 2.80 4.09 1.08 0.52 0.30 2.04 0.95 0.15 0.66 0.24 1.81 6.47 1.03 0.44 0.97 0.36 0.17 0.14 0.23 0.75 0.72 2.34 1.09 1.68 3.93 1.40 Initial Margin per CFD (USD) 45 Initial Margin per CFD USD 4.00 EUR 2.00 NZD 3.00 JPY 370 JPY 220 USD 4.00 JPY 280 USD 3.00 Initial Margin per CFD USD 380 AUD 281

04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 29.09.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 29.09.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09 04.12.09

ASX Commodity CFDs 1 Gold

Code GG

Effective Date 24.07.09 Effective Date 24.07.09 24.04.09 24.07.09 13.11.09 13.11.09 13.11.09 13.11.09 13.11.09

ASX FX CFDs 1 2 3 4 5 6 7 8 AUD/USD AUD/EUR AUD/NZD AUD/JPY USD/JPY EUR/USD NZD/JPY NZD/USD

Code FU FE FN FJ FY FR FP FZ

ASX Index CFDs 1 2 DJIA S&P/ASX 200

Code IU IQ

Effective Date 13.11.09 04.12.09

Tiered Inter- Month Spread Details

Effective from 27.11.2009

90 Day Bank Accepted Bill 1 2 3 4 5 6 7 8 Tier 1 Tier 2 Tier 3 Tier 4 Tier 5 Tier 6 Tier 7 Tier 8

Months in Tier 1 2 3 4 5 6 7-9 10-20

Tier 1 $175 $245 $285 $250 $285 $285 $285

Tier 2

Tier 3

Tier 4

Tier 5

Tier 6

Tier 7

Tier 8

$135 $180 $165 $285 $285 $285

$100 $100 $285 $285 $285

$80 $285 $285 $285

$285 $285 $285

$285 $285

$285

$285

Effective from 27.11.2009

30 Day Interbank Cash Rate 1 2 3 4 5 Tier 1 Tier 2 Tier 3 Tier 4 Tier 5

Months in Tier 1 2 to 4 5 to 8 9 to 12 13 to 20

Tier 1 $315 $315 $315 $315

Tier 2 $160 $315 $315 $315

Tier 3

Tier 4

Tier 5

$315 $315 $315

$315 $315

$315 Effective from 31.12.2009

Wool Deliverable 1 2 3 Tier 1 Tier 2 Tier 3

Months in Tier 1 2 to 5 6 to 9

Tier 1

Tier 2

Tier 3

$290 $290

$290 $290 $290

Span Inter Commodity Concessions
Contracts 1 2 3 4 5 6 7 8 10 Year Government Bond 6% Coupon : 3 Year Government Bond 6% Coupon 30 Day Interbank Cash Rate : 90 Day Bank Bill 3 Year Government Bond 6% Coupon : 90 Day Bank Bill 10 Year Government Bond 6% Coupon : 90 Day Bank Bill 30 Day Interbank Cash Rate : 3 Year Government Bond 6% Coupon Fine Wool : Deliverable Wool 10 Year Government Bond 6% Coupon : 10 Year Interest Rate Swap Futures 6.5% Coupon ASX Thermal Coal (FOB Newcastle) Monthly Futures : ASX Thermal Coal (FOB) Newcastle Yearly Futures Delta Spread Ratio 1:1 1:1 1:1 1:1 1:2 1:1 1:1 12:1

Effective from 31.12.2009 % Credit per Leg of Spread 75% 75% 75% 55% 80% 60% 85% 100%


				
DOCUMENT INFO