ASX LIMITED — Interim / Quarterly Report 2011

Mar 3, 2011

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MARKET ANNOUNCEMENT

4 March 2011

ASX Group Monthly Activity Report – February 2011

The value of ASX-listed stocks, as measured by the All Ordinaries Index, rose 1.5% in February. A number of other global markets also rose during the month including: Japan up 3.8%, the US up 3.2%, and the UK up 2.2%. Moving against this trend were other Asian markets: Singapore fell 5.3% and Hong Kong was down 0.5%.

Australian Equity Market Volatility Monthly average

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60 3.0%
2.5%
50
2.0%
40
1.5%
30
1.0%
20
0.5%
10 0.0%
Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Feb-10 May-10 Aug-10 Nov-10 Feb-11
S&P/ASX 200 VIX (LHS) All Ordinaries Index - Daily change (RHS)
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Volatility in the Australian equity market eased slightly in February compared to January:

• Current volatility (as measured by average daily movements in the All Ordinaries Index) was 0.4% in February (0.5% in January).

• Expected future volatility (as measured by the S&P/ASX 200 VIX) was unchanged between January and February and continued to indicate that expectations of future volatility remained subdued.

Volatility in US markets (S&P 500 Index) was relatively steady in February with average daily movements of 0.6% (0.5% in January). Expectations of future volatility in the US remained low.

ASX Cash Equity and Interest Rate Futures Average daily trading

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9.0$bn '000 450
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
Feb-06 Aug-06 Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11
Cash Equity Value Traded (LHS) Interest Rate Futures Contracts Traded (RHS)
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The value of daily cash market trading in February was up on the previous month, with an average traded value of $5.4 billion a day.

Activity in interest rate futures contracts continued to trend higher, with trading in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) reaching a daily average of 272,945 contracts traded.

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AUSTRALIAN SECURITIES EXCHANGE

Listings and capital raisings

• In February 2011 there were 16 new listings, 45% higher than the 11 in the previous corresponding period (pcp).

• Total listed entities at the end of February 2011 were 2,229, up 2% on the 2,178 a year ago.

• There was $1.4 billion of initial capital raised in February 2011, compared to $191 million in the pcp. There was also $1.8 billion of other capital raised including scrip-for-scrip in February 2011.

• Secondary capital raisings in February remained robust, notwithstanding the decline in secondary raisings compared to the pcp. There was $1.1 billion in secondary capital raised in February 2011, compared to $2.8 billion in the pcp.

• Total capital raised in February 2011 amounted to $2.5 billion, down 16% on the $3.0 billion raised in the pcp which was dominated by a number of large placements and other secondary raisings, but lower levels of IPO activity.

• For the financial year-to-date, total capital raised is down 32%, with capital raised from IPOs $22.9 billion and from secondary raisings $20.3 billion.

Listings and Capital Raisings	Feb 2011	Feb 2010	Feb 2011	Feb 2010
	Month	Month	Financial	Financial
			YTD	YTD
New listed entities admitted	16	11	113	66
Change on pcp	45%		71%
Total listed entities (at end of month)	2,229	2,178
Change on pcp	2%
Initial capital raised ($million)	1,401	191	22,918	7,775
Secondary capital raised ($million)	1,134	2,835	20,285	55,381
Total capital raised ($million)	2,534	3,026	43,203	63,156
Change on pcp	(16%)		(32%)
Other capital raised including scrip-for-scrip ($million)	1,807	219	15,909	3,421

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

The All Ordinaries Index closed at 4923.6 points, a rise of 1.5% over the course of the month. The index has risen 1.6% in the calendar year-to-date. The market was halted 72 minutes prior to the normal close on 28 February due to a software issue with ASX Trade.

• Total cash market trades for February 2011 were 11.1 million, up 6% on the pcp.

• Average daily trades for February 2011 of 556,600 were also 6% higher than the pcp.

• Total cash market traded value was $108.3 billion in February 2011, up 1% on the pcp, with a daily average value of $5.4 billion, also up 1% on the pcp.

• In February 2011 the average value per trade was $9,730, down 5% on the pcp of $10,197. The percentage of traded value crossed was the same as pcp at 27%.

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Cash Markets	Feb 2011	Feb 2010	Feb 2011	Feb 2010
	Month	Month	Financial	Financial
			YTD	YTD
Total trading days	20	20	169	169
Cash market volume
Total trades	11,131,994	10,536,281	91,439,874	85,547,829
Change on pcp	6%		7%
Average daily trades	556,600	526,814	541,064	506,200
Change on pcp	6%		7%
Cash market value (including value of crossed
trades)
Total value ($billion)	108.318	107.438	869.320	864.834
Change on pcp	1%		1%
Average daily value ($billion)	5.416	5.372	5.144	5.117
Change on pcp	1%		1%
Cash market behaviour statistics
Turnover crossed (%)	27%	27%	28%	29%
Off-market crossings represent 13% and on-market
14% of turnover
Total value crossed ($billion)	29.733	29.145	245.020	247.601
Non billable value (above cap) ($billion)	2.593	2.670	25.635	29.064
Total billable value ($billion)	105.725	104.768	843.685	835.770
Billable value – off-market crossings (%)	12%	12%	13%	13%
Billable value – on-market crossings (%)	14%	14%	13%	13%
Cash market includes equity, warrant and interest rate market
transactions

Trading – Financial derivatives markets

• Trading activity in the major ASX interest rate futures contracts was solid across all benchmark contracts in February, with volatility in the interest rate market driving activity. The volatility was driven by the potential impact on the economy of the recent natural disasters and headline economic results on retail sales and employment.

• The RBA’s decision to leave the cash rate unchanged at 4.75% at the February meeting was anticipated by the market. The cash rate curve shape and level did not change substantially during the month, resulting in lower trading volumes in February, compared to prior months. The 3 and 10 year bond futures yields rallied during the first half of the month, before selling off during the remainder of the month following the release of employment data and the RBA parliamentary testimony which indicated the domestic economy continued to be strong. The market saw the recent natural disasters as having little long-term effect on the market.

• Equity derivatives volume (excluding the ASX SPI 200) for February 2011 was 1.9 million contracts, up 11% on the pcp, with a daily average of 95,774 contracts, also up 11% on pcp.

• Total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for February 2011 was 6.7 million, up 11% on the pcp, with a notional value of $2.8 trillion. Average daily contracts volume during February of 335,744 was also up 11% on the pcp.

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• A total of 7,033 ASX CFD trades were transacted in February 2011, comprising a volume of 17.2 million contracts. The total notional value of all CFD trades for February was $326.7 million, an increase of 21% on the pcp, while the value of CFD open interest at the end of February was $95 million, an increase of 14% on the pcp.

Derivatives Markets	Feb 2011	Feb 2010	Feb 2011	Feb 2010
	Month	Month	Financial	Financial
			YTD	YTD
Derivatives total trading days	20	20	169	169
(Derivatives includes exchange traded options, commodities,
and index options and futures)
Derivatives volume
Total contracts	1,915,484	1,726,262	14,062,174	13,421,539
Change on pcp	11%		5%
Average daily contracts	95,774	86,313	83,208	79,417
Change on pcp	11%		5%
Futures and options total trading days	20	20	170	170
(Futures and options includes interest rate, ASX SPI 200 and
energy contracts)
Futures volume	6,346,282	5,840,061	54,008,978	43,241,948
Change on pcp	9%		25%
Average daily contracts	317,314	292,003	317,700	254,364
Change on pcp	9%		25%
Options on futures volume
Total contracts	368,588	217,538	2,640,192	1,794,760
Change on pcp	69%		47%
Average daily contracts	18,429	10,877	15,531	10,557
Change on pcp	69%		47%
Total futures and options on futures volume
Total contracts	6,714,870	6,057,599	56,649,170	45,036,708
Change on pcp	11%		26%
Average daily contracts	335,744	302,880	333,230	264,922
Change on pcp	11%		26%
Contracts for difference market
Total trades	7,033	10,711	65,347	83,182
Total contracts traded	17,183,233	13,857,901	115,639,412	103,992,811
Notional value traded ($million)	326.7	271.1	2,449.0	2,449.8
Total open interest value as at 28 February
($million)	95.0	83.5

Trading – Energy and agricultural derivatives markets

• A total of 25,514 Australian electricity futures and options contracts were traded in February 2011, an increase of 117% on the pcp and a new monthly record. Calendar year-to-date volume of 47,376 contracts is an 80% increase on the same period last year. Total open interest was 50,128 contracts at the end of February 2011.

• The ASX grain futures and options market traded 26,698 contracts (533,960 tonnes) during the month, down 42% on the pcp. Open interest at the end of February 2011 of 89,947 futures contracts represents 1.79 million tonnes of Australian grain and oilseed.

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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 $2.8 billion during February 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.3 billion.

• There were four intraday margin calls in February 2011 totalling $1.1 million and none in January 2011.

ASX Clearing Corporation	Feb 2011	Feb 2010	Feb 2011	Feb 2010
	Month	Month	Financial	Financial
Collateral Balances – At End of Month			YTD	YTD
Cash margins held on-balance sheet:
- ASX Clear ($billion)	0.2	0.3
- ASX Clear (Futures) ($billion)	1.9	2.3
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)	4.4	4.1
Total billable value cleared ($billion)	85.819	87.335	676.647	690.059

ASX SETTLEMENT CORPORATION

ASX Settlement

There were no delays to the completion of batch settlement in the equities market during February 2011.

• Total equity settlement delivery fail rates averaged 0.5% per day during February 2011.

ASX Settlement Corporation	Feb 2011	Feb 2010	Feb 2011	Feb 2010
	Month	Month	Financial	Financial
ASX Settlement			YTD	YTD
Gross value of novated settlements ($billion)	78.8	79.2	624.0	622.3
Net value of novated settlements ($billion)	36.1	31.8	260.8	264.0
Gross value of non-novated settlements ($billion)	133.1	133.1	1,045.5	1,113.7
Total value of settlements post netting ($billion)	169.2	164.9	1,306.3	1,377.7
Value of Chess holdings – period end ($billion)	1,253.9	1,153.1

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Austraclear Settlement

There were no disruptions to the Austraclear settlement sessions during February 2011.

• The levels of total debt holdings in Austraclear increased over the course of February by $19.3 billion to $1.214 trillion. Electronic Certificates of Deposit decreased $4.1 billion, whilst there were increases in Treasury Bonds $4.7 billion, Floating Rate Notes $5.2 billion, Corporate Bonds $6.6 billion, and Semi-Government Securities $6.1 billion. Holdings of Electronic Bank Accepted Bills increased by $1.2 billion and Asset Backed Securities decreased by $83.8 million. All other holdings decreased by $243.4 million.

Austraclear Settlement and Depository	Feb 2011	Feb 2010
	Month	Month
Austraclear securities holdings –period end($billion)	1,213.6	1,126.1

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

For further information:

Media Investor Relations Leeanne Bland Ramy Aziz Corporate Relations Executive Chief Financial Officer (BH) +61 2 9227 0410 (BH) +61 2 9227 0027 leeanne.bland@asx.com.au ramy.aziz@asx.com.au www.asxgroup.com.au/media-releases.htm www.asxgroup.com.au/investor-relations.htm

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