RDP 8804: Pricing Behaviour in Australian Financial Futures Markets Appendix: Outline of Contract Specifications

This appendix summarises the main features of contract specification for the three contracts studied in the text. Full details are available in various SFE publications.

1. 90-day Bank Accepted Bills

• Deliverable contract (although in practice little physical delivery actually takes place; contracts are usually closed out prior to termination of trading).
• Contract unit: $500,000 face value.
• Delivery months: In practice only March, June, September and December contracts are traded in significant volumes, with trading concentrated in the two nearest of these contract months.
• Termination of trading: Wednesday prior to second Friday of the delivery month.

2. 10-year Treasury Bonds

• Non-deliverable (i.e. mandatory cash settlement).
• Contract unit: $100,000 face value.
• Contract months: March, June, September and December with trading concentrated in the nearest contract month.
• Termination of Trading: 15th or next business day of the contract month.

3. Share Price Index

• Non-deliverable.
• Contract unit: $100 times all ordinaries index.
• Contract months: March, June, September, December, with trading concentrated in the nearest contract month.
• Termination of trading: last business day of contract month.