ASX LIMITED — Interim / Quarterly Report 2011

Jan 5, 2012

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MARKET ANNOUNCEMENT

6 January 2 0 12

A SX Group Monthly A ctivity Report – De c ember 20 1 1

The value of ASX-listed stocks, as measured by the A ll Ordinaries Index, fell 1. 8 % in Decem b er 2011. Wh i le this follow s declines in o ther major m arkets, inclu d ing German y down 3.1% and Singapo r e down 2.1 % , most other markets ros e including Ho n g Kong up 2 . 5%, the UK up 1.2%, the U S up 0.9% a n d Japan up 0.2%.

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Australian Equity Market Volatility
Monthly average
60 3.0%
2.5%
50
2.0%
40
1.5%
30
1.0%
20
0.5%
10 0.0%
Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11
S&P/ASX 200 VIX (LHS) All Ordinaries Index - Daily change (RHS)
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M e asures of v olatility in t h e Australia n equity market re m ained abov e long-term a v erages durin g December:

• Current vo l atility (as m e asured by the average d a ily movement in the All O r dinaries Ind e x) was 1.1% in December, up on the pr e vious month ( 1.0%).

• Expected future volatility (as me a sured by t he S&P/ASX 2 00 VIX) fell on average in December to 20.8 (compared to 26.9 i n November).

V o latility in US m arkets (S& P 500 Index) f e ll in Decem b er, wi t h average daily movements of 0 .9% (1.5% in N o vember). Ex p ectations of f uture volatilit y in the US also fell during December.

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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
Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-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 Decem b er d e clined comp a red to Nove m ber, with an average tra d ed v a lue of $3.9 billion a day, c o mpared to $ 4 .4 billion a y e ar e a rlier.

A c tivity in inter e st rate future s contracts r e mained healthy. Tr a ding during D ecember in t he four main contracts (3 a nd 1 0 year bonds, 90 day ban k bills, and t h e 30 day c a sh ra t e) of 294,628 contracts t raded on av e rage each d ay w a s comparabl e to the Dece m ber 2010 total of 297,174.

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AUSTRALIAN SECURITIES EXCHANGE

Listings and capital raisings

• In December 2011 there were 12 new listings, down 66% on the 35 in the previous corresponding period (pcp).

• In calendar year 2011, 133 new entities listed, compared to 127 in calendar year 2010.

• Total listed entities at the end of December 2011 were 2,222, marginally higher than the 2,216 of a year ago.

• There was $3.7 billion of initial capital raised in December 2011 (including $2.3 billion for Centro Retail Australia), compared to $10.6 billion in the pcp, (including $8.4 billion for Westfield Retail Trust).

• Initial capital raised in calendar year 2011 was $15.5 billion, 36% lower than the $25.0 billion in calendar year 2010.

• Secondary capital raised in December 2011 totalled $5.3 billion, compared to $5.8 billion in the pcp. There was also $362 million of other capital raised, including scrip-for-scrip, in December 2011.

• Total secondary capital raised in calendar year 2011 was $33.1 billion, up 5% on the $31.4 billion in calendar year 2010.

• Total capital raised in December 2011 amounted to $9.0 billion, down 45% on the $16.4 billion raised in the pcp.

• Total capital raised in calendar year was $48.6 billion, down 14% on the $56.5 billion in calendar year 2010.

Listings and Capital Raisings	Dec 2011	Dec 2010	Dec 2011	Dec 2010
	Month	Month	Financial	Financial
			YTD	YTD
New listed entities admitted	12	35	57	84
Change on pcp	-66%		-32%
Total listed entities (at end of month)	2,222	2,216
Change on pcp	-
Initial capital raised ($million)	3,694	10,587	6,729	20,613
Secondary capital raised ($million)	5,335	5,790	17,725	18,369
Total capital raised ($million)	9,029	16,377	24,454	38,982
Change on pcp	-45%		-37%
Other capital raised including scrip-for- scrip ($million)	362	2,165	4,011	13,685

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

The All Ordinaries Index closed at 4,111.0 points at the end of December, a fall of 1.8% over the course of the month. The index has fallen 15.2% in the calendar year 2011.

• Total cash market trades for December 2011 were 11.7 million, up 7% on the pcp. Average daily trades for December 2011 of 585,138 were 12% higher than the pcp.

• Total cash market trades in calendar year 2011 were 161.2 million, 18% higher than calendar year 2010. Average daily trades for calendar year 2011 were 639,545, 19% higher than calendar year 2010.

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• Total cash market traded value was $78.4 billion in December 2011, down 16% on the pcp. The average daily value traded of $3.9 billion in December 2011 was down 11% on the pcp.

• Total cash market traded value in calendar year 2011 was $1.3 trillion, 4% lower than calendar year 2010, with a daily average value of $5.2 billion, 4% lower than calendar year 2010.

• In December 2011 the average value per trade was $6,701, down 21% on the pcp of $8,458. The percentage of traded value crossed was 24% (27% pcp).

Cash Markets	Dec 2011	Dec 2010	Dec 2011	Dec 2010
	Month	Month	Financial	Financial
			YTD	YTD
Total trading days	20	21	129	130
Cash market volume
Total trades	11,702,750	10,983,547	87,024,505	70,180,467
Change on pcp	7%		24%
Average daily trades	585,138	523,026	674,609	539,850
Change on pcp	12%		25%
Cash market value (including value of
crossed trades)
Total value ($billion)	78.420	92.895	643.908	675.387
Change on pcp	-16%		-5%
Average daily value ($billion)	3.921	4.424	4.992	5.195
Change on pcp	-11%		-4%
Cash market behaviour statistics
Turnover crossed (%)	24%	27%	24%	29%
Off-market turnover crossed (%)	12%	14%	11%	16%
On-market turnover crossed (%)	12%	13%	13%	13%
Total value crossed ($billion)	18.990	25.792	155.347	193.540
Non billable value (above cap) ($billion)	2.133	2.614	15.071	21.240
Total billable value ($billion)	76.287	90.281	628.837	654.147
Billable value – off-market crossings (%)	12%	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

• Against the backdrop of continuing economic uncertainty in Europe, trading activity in the benchmark interest rate and equity index futures products leading into contract expiry was comparable to December 2010 levels.

• In December, the RBA cut the official cash rate by a further 25 basis points to 4.25% following a cut of the same amount in November. This decision came amidst concerns of a slowdown in world economic growth and an easing of domestic inflationary pressures.

• On the ASX market, equity derivatives volume (excluding the ASX SPI 200) for December 2011 was 11.2 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 December 2011 of 1.9 million contracts. This represents a 17% increase in total volumes compared to the pcp, with a daily average of 94,456 contracts, up 23% on the pcp. As in November, the majority of this increase is attributable to equity index options.

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• On the ASX 24 market, total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for December 2011 was 7.3 million, down 4% on the pcp, with a notional value of $2.6 trillion. Average daily contracts volume during December 2011 of 363,071 was up 1% on the pcp.

• Total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for calendar year 2011 was $104.5 million, up 21% on calendar year 2010.

• A total of 4,894 ASX CFD trades were transacted in December 2011, comprising a volume of 6.8 million contracts. The total notional value of all CFD trades for December was $144.9 million, a decrease of 29% on the pcp, while the value of CFD open interest at the end of December was $85.0 million, a decrease of 39% on the pcp.

Derivatives Markets		Dec 2011	Dec 2010	Dec 2011	Dec 2010
		Month	Month	Financial YTD	Financial YTD
Derivatives total trading days		20	21	129	130
(Derivatives includes exchange-traded	options,
commodities, and index options and futures)
Derivatives volume
Total contracts		11,228,168	1,615,300	86,617,642	10,736,392
Total contracts – converted to previous
contract size		1,889,118	1,615,300	14,680,232	10,736,392
Change on pcp		17%		37%
Average daily contracts		561,408	76,919	671,455	82,588
Average daily contracts – converted to
previous contract size		94,456	76,919	113,800	82,588
Change on pcp		23%		38%
Futures and options total trading days		20	21	129	130
(Futures and options includes interest rate, ASX SPI
200 and energy contracts)
Futures volume		7,184,006	7,320,688	50,006,679	42,615,064
Change on pcp		-2%		17%
Average daily contracts		359,200	348,604	387,649	327,808
Change on pcp		3%		18%
Options on futures volume
Total contracts		77,411	215,441	1,141,098	2,014,247
Change on pcp		-64%		-43%
Average daily contracts		3,871	10,259	8,846	15,494
Change on pcp		-62%		-43%
Total futures and options on futures volume
Total contracts		7,261,417	7,536,129	51,147,777	44,629,311
Change on pcp		-4%		15%
Average daily contracts		363,071	358,863	396,494	343,302
Change on pcp		1%		15%
Contracts for difference market
Total trades		4,894	5,023	44,864	51,388
Total contracts traded		6,769,725	10,142,367	77,996,671	84,879,753
Notional value traded ($million)		144.9	202.8	1,542.5	1,823.7
Total open interest value (at end of
month) ($million)		85.0	139.5

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Trading – Energy and agricultural derivatives markets

• A total of 9,805 Australian electricity futures and options contracts were traded in December 2011, down 21% on the pcp. Total open interest was 39,272 contracts at the end of December 2011 up 5% on the 37,390 at the end of November 2011.

• The ASX grain futures and options market traded 47,474 contracts (just under 950,000 tonnes) during the month, down 33% on the pcp. Market activity was impacted, in part, by the suspension of MF Global as a Participant following the appointment of an administrator. MF Global was historically a very active Participant in the ASX grains futures market. Open interest at the end of December 2011 of 60,787 futures contracts represents approximately 1.2 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 $3.6 billion during December 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 three intra-day margin calls made on one day in December 2011 totalling $5.9 million, compared to $14.8 million of intra-day margin calls in November 2011.

ASX Clearing Corporation	Dec 2011	Dec 2010	Dec 2011	Dec 2010
	Month	Month	Financial	Financial
Collateral Balances – At End of Month			YTD	YTD
Cash margins held on-balance sheet:
- ASX Clear ($billion)	0.3	0.3
- ASX Clear (Futures) ($billion)	2.4	1.9
Cash equivalents held on-balance sheet – ASX Clear (Futures) ($billion)	0.3	0.3
Collateral cash cover held off-balance sheet
(equities and guarantees) – ASX Clear ($billion)	3.9	4.2
Total billable value cleared ($billion)	64.460	73.271	527.931	521.221

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ASX SETTLEMENT CORPORATION

ASX Settlement

• Total equity settlement delivery fail rate averaged 0.42% per day during December 2011, a small improvement on the 0.48% rate for November 2011.

ASX Settlement Corporation	Dec 2011	Dec 2010	Dec 2011	Dec 2010
	Month	Month	Financial	Financial
ASX Settlement			YTD	YTD
Gross value of novated settlements ($billion)	66.7	75.6	493.3	489.4
Net value of novated settlements ($billion)	26.2	34.4	183.8	199.7
Gross value of non-novated settlements ($billion)	108.6	142.7	805.5	815.2
Total value of settlements post netting ($billion)	134.8	177.1	989.3	1,014.9
Value of Chess holdings – period end ($billion)	1,089.3	1,220.8

Austraclear Settlement

• The levels of total debt holdings in Austraclear increased over the course of December by $4.6 billion to $1.289 trillion. During December, electronic certificates of deposit increased by $1.3 billion, semi government securities increased by $1.1 billion, treasury bonds increased by $2.8 billion and treasury notes increased by $1.5 billion. Floating rate notes decreased by $1.3 billion and all other holdings decreased by $0.8 billion.

Austraclear Settlement and Depository	Dec 2011	Dec 2010
	Month	Month
Austraclear securities holdings – period end ($billion)	1,289.2	1,187.5

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

ASX will announce its half-year result for the six month period ending 31 December 2011 on 16 February 2012.

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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