Published On: Sat, Sep 11th, 2010

ASX Group Monthly Activity Report August 2010

The value of ASX-listed stocks, as measured by the All Ordinaries Index, fell 1.5% in August 2010 consistent with falls in most major global markets including: Japan down 7.5%, the US down 4.7%, Hong Kong down 2.3%, Singapore down 1.3%, and the UK down 0.6%. subdued this month (as measured by daily movements in the All Ordinaries Index) with average daily movements of 0.8% in August (0.8% in July) despite rising towards the end of the month.

Volatility in US markets (S&P 500 Index) was also subdued in August with average daily movements of 0.8% in the S&P 500 Index (0.9% in July). Expectations of future volatility (as measured by the CBOE Volatility Index) moved up over the course of August.The value of daily cash market trading in August rose following a dip in July, with the average traded value rising to $5.7 billion a day, compared to $4.4 billion in the previous month.

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 around 264,000 contracts traded.

There was steady activity in Australia’s primary capital raising market, with 5 initial public offerings (IPOs) during August representing $2.0 billion in value, including $0.8 billion value of scheme/compliance listings for which no cash was raised. Secondary capital raisings remained robust, notwithstanding the decline in secondary raisings compared to the very high levels of a year ago.

Listings and capital raisings
• In August 2010 there were 5 new listings, compared to 4 in the previous corresponding period (pcp). Total listed entities at the end of August 2010 were 2,186, up 0.6% on the 2,173 a year ago. Total capital raised in August amounted to $4.3 billion, down 32% on the $6.3 billion raised in the pcp which was dominated by several jumbo raisings. There was $2.0 billion of initial capital raised and $2.3 billion in secondary raisings. For the financial year-to-date (the months of July and August 2010), capital raised from IPOs was $3.3 billion ($189 million pcp) and from secondary raisings was $4.8 billion ($21.2 billion pcp).

Trading – Cash markets (including equities, interest rates and warrants trades)
The All Ordinaries Index closed at 4,438.8 points, a fall of 1.5% over the course of the month. The index has fallen 9.1% in the calendar year-to-date.
• Total cash market trades for August 2010 were 11.2 million, down 0.1% on the pcp.
• Average daily trades for August 2010 of 509,113 were 5% lower than the pcp.
• Total cash market traded value was $126.0 billion in August 2010, up 3% on the pcp, with a daily average value of $5.7 billion, down 2% on the pcp.
• In June 2010 the average value per trade increased to $11,248, up 3% on the pcp of $10,935. The percentage of traded value crossed was 32% (30% pcp).

Trading – Financial derivatives markets
Trading in the major ASX quoted interest rate futures contracts was robust during August, driven by strong bond issuance and continued volatility in global fixed interest markets. Trading in interest rate options was also strong, with monthly records in the 3 year overnight (217,760 contracts) and the 3 year intra-day (119,135 contracts) options contracts. August saw strong issuance of $A denominated debt, particularly focussed around the three to five-year maturity range, with more than $10 billion of corporate bonds and $4.8 billion of Commonwealth Government bonds issued. Volatility in the domestic markets continues to be largely driven by overseas events and market conditions, particularly in response to shifting views on the outlook for economic growth in the major economies of the US and China.

The Reserve Bank of Australia left the cash rate unchanged at 4.50% in early August and the cash rate futures curve flattened further during the month, indicating that the futures market has priced in no further cash rate changes for the next 18 months. Bond yields declined around 20 to 40 basis points during August.
• Equity derivatives volume (excluding ASX SPI 200) for August 2010 was 2.0 million contracts, up 11% on the pcp, with a daily average of 89,377 contracts, up 6% on pcp.
• Total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for August 2010 was 7.2 million, up 36% on the pcp, with a notional value of $3.0 trillion. Average daily contracts volume during August of 325,895 was also up 30% on the pcp.
• A total of 10,468 ASX CFD trades were transacted in August 2010, comprising a volume of 16.3 million contracts. The total notional value of all CFD trades for August was $371.6 million, up 9% on the pcp, while the value of CFD open interest at the end of August was $169.5 million, an increase of 99% on the pcp.

Trading – Energy and agricultural derivatives markets
• A total of 19,526 electricity futures and options contracts were traded in August 2010, which is an increase of 141% on the pcp. Total open interest was 51,189 contracts.
• The ASX grain futures and options market experienced record activity levels with 58,631 contracts (approximately 1.2 million tonnes) traded during the month, a new monthly volume record which represents 84% growth on the pcp. A new record for daily volume was established on 6 August with 11,404 contracts traded (228,080 tonnes). Open Interest, as at 31 August, of 118,065 futures contracts is also a record level and represents approximately 2.4 million tonnes.

The Western Australia Wheat contract traded a total of 15,260 contracts (305,200 tonnes) in August and has traded 151,465 contracts (3,029,300 tonnes) since inception in September 2009.

ASX CLEARING CORPORATION (intermediate holding company for ASX’s two central counterparty clearing

All on-market trades (equities and derivatives markets) are novated by ASX’s two central counterparty clearing subsidiaries, 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 over August 2010 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.8 billion.
• Intra-day margin call activity decreased slightly in August ($7 million called) compared to $17 million in July.
ASX SETTLEMENT CORPORATION (intermediate holding company for ASX’s two securities settlement facilities

ASX Settlement
There were no delays to the completion of batch settlement in the equities market during August 2010.
• Equity settlement delivery fail rates continued to average less than 0.5% per day during August 2010.
Austraclear Settlement There were no disruptions to the Austraclear settlement sessions during August 2010.
The level of total debt holdings in Austraclear fell over the course of August by $9 billion to $1.15 trillion, with the largest decreases being in electronic bank accepted bills down $7.7 billion, electronic certificates of deposit (ECD) down $5.6 billion, electronic promissory notes down $2.1 billion, asset backed fixed income down $640 million, and Treasury bonds down $2.9 billion. Austraclear holdings of corporate bonds increased by $3.5 billion, floating rate notes by $4.0 billion and Treasury notes by $3.2 billion. All other holdings decreased by $770 million.

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