1 Contract Specifications Quanto Futures

Transcription

1 1 Specifications Quanto Futures FUTURES Trading system code Trading hours QSUG QHEA QGAS QCTN QNAT QPLD QCOC QCFF QCRN 08:30 to 17:00 time. Admin period from 17h00 to 17h15 (Monday to Friday except National Holidays) Underlying instrument A sugar futures foreign d sugar #11 on NYMEX YO), a subsidiary of the Group A heating oil but foreign d heating oil as traded on NYMEX HO), a subsidiary of the Group A RBOB gasoline but foreign d gasoline as traded on NYMEX RB), a subsidiary of the Group A cotton futures foreign d cotton on NYMEX TT), a subsidiary of the Group A Henry Hub Natural Gas but foreign d natural gas as traded NYMEX NG), a subsidiary of the Group change in the latter will be matched by the former in ZAR. A palladium but foreign d palladium as traded NYMEX PA), a subsidiary of the Group A cocoa futures foreign d cocoa on NYMEX CJ), a subsidiary of the Group A coffee futures foreign d coffee on NYMEX KT), a subsidiary of the Group A corn futures foreign d corn as traded on CBOT (product symbol ZC), a subsidiary of the Group 10 April

2 ... months ruary,, ust, ember. size 1 contract = 1120 price per pound 1 contract = 42,000 multiplier of the price per gallon 1 contract 42,000= price per gallon 1 contract = 500 price per pound 1 contract = 10,000 multiplier of the price per million British thermal units (mmbtu) 1 contract = 100 price per troy ounce 1 contract = 10 price per metric ton 1 contract = 37,500 multiplier of the price per pounds 1 contract = 5,000 price per bushel Quotations price price price price price price price : price price Minimum price movement 0.01 ZAR per ZAR per ZAR per 0.01 ZAR per ZAR per 0.05 ZAR per 1.00 ZAR per 0.05 ZAR per ZAR per Listing programme Ensure a minimum of two expiries are available for trade with the near having committed market maker(s). Should there be demand for any other calendar month combinations, these will be introduced on a demand basis and will apply to the standard contract conditions. 10 April

3 dates & times ( see the product trading calendar on the web page /commodities for the detailed trading calendar) date will be and expiries which will a further dated month, should the day fall on a national holiday in either South Africa or US, or a weekend, the first business day prior to this will be d : date will be d: date will be d : date will be and expiries which will a further dated month, should the day fall on a national holiday in either South Africa or US, or a weekend, the first business day prior to this will be d : date will be d : date will be d : date will be expiry which will a further dated d : date will be expiry which will a further dated d : date will be expiry which will a further dated d : - Oct Oct 10 April

4 Determination of final cash value The final price for cash of will require only a Group component, denominated in ZAR. There will be no foreign rate adjustments. The Group value (MTM) as published on the expiry date of the contract will be applied as the final cash value. For details of the trading calendar please see the following link Due to the time difference the final cash value published by will only be reflected the following business day (which is the clearance date) for the final cash process for remaining position holders. This value will be released to the market by 08h30 the following morning and processed as the final value during the end of day clearing run no trading will be accommodated on this day. An example the last trading day for MAY13 QSUG is Monday , on this day will cease to trade. On Tuesday no trading activity will be accommodated. Further the final cash value ( the Group value (MTM) for ) will be released to the market by 8h30 and processed on as the final during the end of day clearing run also initial margin held by the will be returned to all position holders. Should the ZAR expiry n unannounced non trading day, the final cash will the next business days MTM. The final ZAR value will be rounded off to 2 decimals. The final ZAR value will be publish via the trading system (NUTRON) the next business day and included in the end of day prices. In the event that any markets are not available to determine the final value, the will consider all relevant facts, information and circumstances to determine the final cash value in order to ensure that it reflects a fair market value. Settlement method Initial margin requirements Denominated and cash settled in Rands (ZAR). As per the margining, for the latest initial margin requirements per contract please visit the products page on the web: Daily mark-tomarket Exchange fees (incl. As determined by the, a snapshot from trading activity in the last 5 minutes will be considered for the daily m-t-m. R4.00 per contract R11.00 per R12.00 per R4.00 per contract R4.00 per contract R7.00 per contract R4.00 per contract R4.00 per contract R4.00 per contract 10 April

5 VAT) contract contract Daily price limits Position limits Volatility scanning range Qualifying audience allowed to participate No price limits will be applicable No position limits in South Africa however the reserves the right to implement such. 3.5 Individuals and Foreigners have no limits. Corporate entities have no limits. Retirement funds and long term insurance companies subject to their 25% foreign allocation limits. Investment managers and registered collective investment schemes subject to their 35% foreign allocation limits. Trade types accommodate d All trading activity (bids and offers) must be entered onto the central order book during trading hours however the will accommodate the following report only trade types provided they meet the existing criteria: Exchange for Risk (EFR's). Net-off of positions applicable to the same legal entity. The will accept transactions specific to outside of the standard trading hours as agreed between registered counterparties. A minimum contract volume of 30 contracts will be required in order for this transaction to be processed, this is with to opening up new positions, no minimum contract volume will apply should the transaction result in the closing of positions by a registered participant. These transactions must be reported to the before 07h30 the following morning and must be market related the transactions will then be entered into the order book by the before market opens 10 April

6 2 Specifications Quanto Options OPTIONS Trading system code Trading Hours QSUG QHEA QGAS QCOT QNAT QPAL QCOC QCOF QCRN 09:00 to 17:00 time. (Monday to Friday except national holidays) Underlying Instrument A Sugar #11 A Heating Oil A RBOB Gasoline Futures A Cotton A Natural Gas Futures A Palladium A Cocoa A Coffee A Corn Options Type American style options size QSUG futures contract (1,120 QHEA futures contract (42,000 QGAS futures contract (42,000 QCOT futures contract (500 QNAT futures contract (10,000 QPAL futures contract (100 QCOC futures contract (10 QCOF futures contract (37,500 QCRN futures contract (5000 months Price Quotation ruary,, ust and ember Options will be quoted in ZAR per full nominal of each contract Strike price (flexible based on market demand) R20.00 per contract unit strike price R20.00 per contract R20.00 per contract unit strike price 10 April

7 OPTIONS Expiration of trading Exercise Criteria Daily k-tomarket Settlement Method Options will expire on the same day as the listed and the published closing price in order to determine if the option strike is in the money. Options are American style with the long position holder able to exercise the option position at any time during trading hours up to and the expiration date. All in the money options will be automatically exercised by the at expiration. The will determine the daily m-t-m in accordance with the defined processes. the right to introduce a volatility surface. Cash settled in ZAR. Exchange Fees be charged a R10.00 per contract (incl Vat), all options exercised into futures will not be charged a R11.00 per contract (incl Vat), all options exercised into futures will not be charged a be charged a be charged a R6.00 per contract be charged a options exercised into futures will not be charged a fee, if exercised early the trades post trade activity to realise this be charged a be charged a Trade types accommodated All trading activity (bids and offers) must be entered onto the central order book during trading hours however the will accommodate the following report only trade types provided they meet the existing criteria: Exchange for Risk (EFR's). Net-off of positions applicable to the same legal entity. The will accept transactions specific to outside of the standard trading hours as agreed between registered counterparties. A minimum contract volume of 30 contracts will be required in order for this transaction to be processed, this is with to opening up new positions, no minimum contract volume will apply should the transaction result in the closing of positions by a registered participant. These transactions must be reported to the before 07h30 the following morning and must be market related the transactions will then be entered into the order book by the before market opens. 10 April