ASX LIMITED — Interim / Quarterly Report 2012

Dec 5, 2011

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MARKET ANNOUNCEMENT

6 December 2011

A SX Group Monthly A ctivity Report – No v ember 2011

The value o f ASX-listed s tocks, as m e asured by t h e All Ordina r ies Index, fell 4.0% in No v ember 2011. This follow s declines in o ther major markets including: Hong Ko n g down 9.4 % , Singapore down 5.4%, Japan down 6 .2%, the U K down 0.7%, a nd the US d o wn 0.5%.

Global factors, especiall y the Europe a n debt crisi s , continue t o drive down equity mar k et valuations, including i n Australia. W h ile ASX equ i ty volumes r o se in Nove m ber 2011, to t al value trad e d declined c o mpared to N ovember las t year, albeit o nly slightly d o wn compare d to last mont h .

These same global factor s are also im p acting on d e rivative volu m es, particula r ly single sto c k options an d interest rat e futures.

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Australian Equity Market Volatility M e asures of v olatility in t h e Australia n equity market
Monthly average re m ained abov e long-term a v erages durin g November:
60 3.0%
 Current vo l atility (as m e asured by the average d a ily
2.5%
50 movement in the All O r dinaries Ind e x) was 1.0% in
2.0% November, down on the previous month (1.3%).
40
1.5%  Expected future volatility (as me a sured by t he
30 S&P/ASX 2 00 VIX) fell on average in November to
1.0% 26.9 (compared to 31.8 i n October).
20
0.5% V o latility in US markets (S&markets (S& P 500 Index) r emained hig h in
10 0.0% N o vember, wit h average daily movemently movement s of 1.5% (1. 6 %
May-08 Nov-08 May-09 Nov-09 May-10 Nov-10 May-11 Nov-11 in October). ExOctober). Ex p ectations of f uture volatilit y in the US also lso
S&P/ASX 200 VIX (LHS) All Ordinaries Index - Daily change (RHS)
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V o latility in US markets (S&markets (S& P 500 Index) r emained hig h in N o vember, wit h average daily movemently movement s of 1.5% (1. 6 % in October). ExOctober). Ex p ectations of f uture volatilit y in the US also lso re m ained high d uring Novem b er.

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ASX Cash Equity and Interest Rate Futures
Average daily trading
11.0$bn '000550
10.0 500
9.0 450
8.0 400
7.0 350
6.0 300
5.0 250
4.0 200
3.0 150
2.0 100
1.0 50
0.0 0
Nov-06 May-07 Nov-07 May-08 Nov-08 May-09 Nov-09 May-10 Nov-10 May-11 Nov-11
Cash Equity Value Traded (LHS) Interest Rate Futures Contracts Traded (RHS)
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T h e value of daily cash m arket tradin g in Novem b er d e clined comp a red to Octo b er, with an average tra d ed v a lue of $4.5 billion a day ($ 4 .7 billion in O c tober).

A c tivity in inter e st rate futur e s contracts r e mained heal t hy b u t lower th a n recent m onths, with trading during N o vember in the four mai n contracts (3 and 10 y e ar b o nds, 90 day bank bills, and the 30 d a y cash rate) of 2 4 2,739 contra c ts traded on a verage each day.

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AUSTRALIAN SECURITIES EXCHANGE

Listings and capital raisings

• In November 2011 there were 8 new listings, down 20% on the 10 in the previous corresponding period (pcp).

• Total listed entities at the end of November 2011 were 2,227, up 1% on the 2,197 of a year ago.

• There was $939 million of initial capital raised in November 2011, compared to $6,566 million in the pcp, (including $6.2 billion for QR National).

• Secondary capital raised in November 2011 totalled $2.6 billion, marginally higher than the pcp. There was also $1.6 billion of other capital raised, including scrip-for-scrip, in November 2011.

• Total capital raised in November 2011 amounted to $3.6 billion, down 61% on the $9.1 billion raised in the pcp.

Listings and Capital Raisings	Nov 2011	Nov 2010	Nov 2011	Nov 2010
	Month	Month	Financial	Financial
			YTD	YTD
New listed entities admitted	8	10	45	49
Change on pcp	-20%		-8%
Total listed entities (at end of month)	2,227	2,197
Change on pcp	1%
Initial capital raised ($million)	939	6,566	3,035	10,026
Secondary capital raised ($million)	2,642	2,576	12,390	12,579
Total capital raised ($million)	3,581	9,142	15,425	22,605
Change on pcp	-61%		-32%
Other capital raised including scrip-for- scrip ($million)	1,590	594	3,649	11,520

Trading – Cash markets (including equities, interest rates and warrants trades)

The All Ordinaries Index closed at 4,184.7 points at the end of November, a fall of 4.0% over the course of the month. The index has fallen 13.7% in the calendar year and is 10.5% lower than a year ago.

• Total cash market trades for November 2011 were 13.8 million, up 10% on the pcp. Average daily trades for November 2011 of 627,234 were also 10% higher than the pcp.

• Total cash market traded value was $97.9 billion in November 2011, down 23% on the pcp. The average daily value traded of $4.5 billion in November 2011 was also down 23% on the pcp.

• In November 2011 the average value per trade was $7,094, down 30% on the pcp of $10,160. The percentage of traded value crossed was 24% (30% pcp).

• PureMatch, ASX’s new tailored, high speed/low latency order book, commenced on 28 November 2011 with trading initially available in the top 10 ASX-listed securities.

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Cash Markets	Nov 2011	Nov 2010	Nov 2011	Nov 2010
	Month	Month	Financial	Financial
			YTD	YTD
Total trading days	22	22	109	109
Cash market volume
Total trades	13,799,147	12,590,323	75,321,755	59,196,920
Change on pcp	10%		27%
Average daily trades	627,234	572,287	691,025	543,091
Change on pcp	10%		27%
Cash market value (including value of
crossed trades)
Total value ($billion)	97.893	127.913	565.488	582.492
Change on pcp	-23%		-3%
Average daily value ($billion)	4.450	5.814	5.188	5.344
Change on pcp	-23%		-3%
Cash market behaviour statistics
Turnover crossed (%)	24%	30%	24%	29%
Off-market turnover crossed (%)	11%	17%	11%	16%
On-market turnover crossed (%)	13%	13%	13%	13%
Total value crossed ($billion)	23.963	38.727	136.357	167.748
Non billable value (above cap) ($billion)	2.851	6.960	12.938	18.626
Total billable value ($billion)	95.042	120.953	552.550	563.866
Billable value – off-market crossings (%)	11%	13%	11%	14%
Billable value – on-market crossings (%)	12%	13%	12%	13%
Cash market includes equity, warrant and interest rate
market transactions

Trading – Financial derivatives markets

• Trading activity declined from the levels experienced in October, with continuing uncertainty driving a tightening in global credit market conditions.

• The RBA cut the official cash rate by 25 basis points to 4.5 per cent at its 1 November meeting, the first change in a year. The 30 day cash rate futures contract continues to price in a further rate cut in December and further monetary policy easing during 2012.

• On the ASX market, equity derivatives volume (excluding the ASX SPI 200) for November 2011 was 12.4 million contracts. Measuring volumes on the prior contract size, in order to allow for a meaningful comparison, translates to equity derivatives volume (excluding the ASX SPI 200) for November 2011 of 2.1 million contracts. This represents a 10% increase in total volumes compared to the pcp, with a daily average of 96,843 contracts, also up 10% on the pcp.

• For the first four months of FY12, compared to the same period last year, there has been a significant shift in the ASX derivatives product mix, evidenced by an 82% increase in index options volume alongside a 15% decrease in single stock exchange-traded option (ETO) volume.

• As a result of the interim market maker enhancements project introduced in May, there has been a substantial increase in trading by ETO market makers, notwithstanding the decrease in overall activity levels, as these liquidity providers take advantage of trading fee incentives.

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• On the ASX 24 market, total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for November 2011 was 6.5 million, down 9% on the pcp, with a notional value of $3.2 trillion. Average daily contracts volume during November 2011 of 296,057 was also down 9% on the pcp.

• A total of 6,809 ASX CFD trades were transacted in November 2011, comprising a volume of 10.0 million contracts. The total notional value of all CFD trades for November was $226.9 million, a decrease of 17% on the pcp, while the value of CFD open interest at the end of November was $88.5 million, a decrease of 40% on the pcp.

Derivatives Markets		Nov 2011	Nov 2010	Nov 2011	Nov 2010
		Month	Month	Financial YTD	Financial YTD
Derivatives total trading days		22	22	109	109
(Derivatives includes exchange-traded	options,
commodities, and index options and futures)
Derivatives volume
Total contracts		12,360,763	1,938,391	75,389,474	9,121,092
Total contracts – converted to previous
contract size		2,130,553	1,938,391	12,791,114	9,121,092
Change on pcp		10%		40%
Average daily contracts		561,853	88,109	691,647	83,680
Average daily contracts – converted to
previous contract size		96,843	88,109	117,350	83,680
Change on pcp		10%		40%
Futures and options total trading days		22	22	109	109
(Futures and options includes interest rate, ASX SPI
200 and energy contracts)
Futures volume		6,380,283	6,809,297	42,822,673	35,294,376
Change on pcp		-6%		21%
Average daily contracts		290,013	309,514	392,869	323,802
Change on pcp		-6%		21%
Options on futures volume
Total contracts		132,974	362,863	1,063,687	1,798,806
Change on pcp		-63%		-41%
Average daily contracts		6,044	16,494	9,759	16,503
Change on pcp		-63%		-41%
Total futures and options on futures volume
Total contracts		6,513,257	7,172,160	43,886,360	37,093,182
Change on pcp		-9%		18%
Average daily contracts		296,057	326,007	402,627	340,304
Change on pcp		-9%		18%
Contracts for difference market
Total trades		6,809	7,682	39,970	46,365
Total contracts traded		10,048,121	16,851,034	71,226,946	74,737,386
Notional value traded ($million)		226.9	272.3	1,397.6	1,620.9
Total open interest value (at end of
month) ($million)		88.5	146.5

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Trading – Energy and agricultural derivatives markets

• A total of 50,051 Australian electricity futures and options contracts were traded in November 2011, up 55% on the pcp. Total open interest was 37,390 contracts at the end of November 2011 compared to 40,376 at the end of October 2011.

• The ASX grain futures and options market traded 61,354 contracts (greater than 1.2 million tonnes) during the month, up 33% on the pcp. The increased market activity was, in part, due to positions being re-established following the suspension of MF Global as a participant, as well as a continuation of the La Nina weather pattern that is disrupting the winter crop harvest along Australia’s eastern seaboard. Open interest at the end of November 2011 of 59,203 futures contracts represents 1.18 million tonnes of Australian grain and oilseed.

ASX CLEARING CORPORATION

Clearing

All on-market trades (equities and derivatives markets) are novated by ASX’s two central counterparty clearing subsidiaries, ASX Clear and ASX Clear (Futures), which act as counterparties to those trades and replace bilateral counterparty exposures.

• Total margins (including additional margins held against stress testing exposures and concentrated large positions) averaged $3.5 billion during November 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.9 billion.

• There were nine intra-day margin calls made on six separate days in November 2011 totalling $14.8 million, compared to $48 million of intra-day margin calls in October 2011.

• On 1 November 2011 ASX Clear and ASX Clear (Futures) suspended the MF Global entities as participants following the appointment of Administrators in the UK and Australia. On 11 November ASX Clear and ASX Clear (Futures) completed an orderly close-out of net positions in all contracts held with the ASX clearing houses by MF Global entities. ASX is ready to return $34 million of client-related funds once joint payment instructions are received from the Administrators.

ASX Clearing Corporation	Nov 2011	Nov 2010	Nov 2011	Nov 2010
	Month	Month	Financial	Financial
Collateral Balances – At End of Month			YTD	YTD
Cash margins held on-balance sheet:
- ASX Clear ($billion)	0.3	0.4
- ASX Clear (Futures) ($billion)	2.6	2.1
Cash equivalents held on-balance sheet – ASX Clear (Futures) ($billion)	0.0	0.0
Collateral cash cover held off-balance sheet
(equities and guarantees) – ASX Clear ($billion)	4.0	4.1
Total billable value cleared ($billion)	79.948	88.280	463.471	447.950

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ASX SETTLEMENT CORPORATION

ASX Settlement

• There were no disruptions to the completion of batch settlement in the equities market during November 2011.

• Total equity settlement delivery fail rate averaged 0.48% per day during November 2011, compared with October’s rate of 0.35%.

ASX Settlement Corporation	Nov 2011	Nov 2010	Nov 2011	Nov 2010
	Month	Month	Financial	Financial
ASX Settlement			YTD	YTD
Gross value of novated settlements ($billion)	75.2	92.5	426.6	413.8
Net value of novated settlements ($billion)	28.8	36.9	157.6	165.3
Gross value of non-novated settlements ($billion)	123.0	163.8	696.9	672.5
Total value of settlements post netting ($billion)	151.8	200.7	854.5	837.8
Value of Chess holdings – period end ($billion)	1,112.7	1,178.6

Austraclear Settlement

• No disruptions to the Austraclear settlement sessions occurred during November 2011.

• The levels of total debt holdings in Austraclear increased 7% over the course of November by $2.0 billion to $1.285 trillion. During November, treasury bonds increased by $6.3 billion, floating rate notes decreased by $1.5 billion, treasury notes decreased by $2.3 billion and all other holdings decreased by $0.5 billion.

Austraclear Settlement and Depository	Nov 2011	Nov 2010
	Month	Month
Austraclear securities holdings – period end ($billion)	1,284.5	1,195.3

A separate ASX Compliance activity report for November 2011 has also been released today.

For further information:

Media Investor Relations Leeanne Bland Stephen Hammon Media and Communications Executive General Manager, Finance (BH) +61 2 9227 0410 (BH) +61 2 9227 0260 (M) 0467 642 066 (M) 0488 212755 leeanne.bland@asx.com.au stephen.hammon@asx.com.au www.asxgroup.com.au/media-releases.htm www.asxgroup.com.au/investor-relations.htm

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