Published On: Fri, Nov 4th, 2011

ASX Group Monthly Activity Report October 2011

The value of ASX-listed stocks, as measured by the All Ordinaries Index, rebounded sharply during October 2011 to rise 7.1%, following a decline of 6.9% in September. This performance was in line with rises in other major markets including: the US up 10.8%, Hong Kong up 12.9%, the UK up 8.1%, Singapore up 6.8%, and Japan up 3.3%.

The movements in global markets continued to be driven by fluctuating views on the economic outlook for Europe and the stability of the European banking system. Volatility remained above average historical levels as investors reacted to changing perceptions of the ability of policy makers to address the underlying debt concerns.

Trading activity on ASX equity and derivative markets declined in October compared to September.

Measures of volatility in the Australian equity market remained above historical averages during October:
• Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 1.3% in October, down marginally on the previous month (1.4%).
• Expected future volatility (as measured by the S&P/ASX 200 VIX) fell on average in October to 31.8 (compared to 34.8 in September). Volatility in US markets (S&P 500 Index) remained high in October, with average daily movements of 1.6% (1.6% in September). Expectations of future volatility in the US also remained elevated during October.

The value of daily cash market trading in October reduced compared to September, with an average traded value of $4.7 billion a day ($5.4 billion in September).

Activity in interest rate futures contracts remained healthy but lower than recent months, with trading during October in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) of 258,952 contracts traded on average each day.

Listings and capital raisings
• In October 2011 there were 7 new listings, down 46% on the 13 in the previous corresponding period (pcp).
• Total listed entities at the end of October 2011 were 2,227, up 2% on the 2,192 of a year ago.
• There was $111 million of initial capital raised in October 2011, compared to $58 million in the pcp.
• Secondary capital raised in October 2011 totalled $3.8 billion compared to $2.8 billion in the pcp. There was also $290 million of other capital raised, including scrip-for-scrip, in October 2011.
• Total capital raised in October 2011 amounted to $3.9 billion, up 36% on the $2.9 billion raised in the pcp.

Trading – Cash markets (including equities, interest rates and warrants trades)
The All Ordinaries Index closed at 4,360.5 points at the end of October, a rise of 7.1% over the course of the month. The index has fallen 10.0% in the calendar year and is 7.9% lower than a year ago. Total cash market trades for October 2011 were 13.6 million, up 12% on the pcp.
• Average daily trades for October 2011 of 647,814 were also 12% higher than the pcp.
• Total cash market traded value was $99.5 billion in October 2011, down 11% on the pcp. The average daily value traded of $4.7 billion in October 2011 was also down 11% on the pcp.
• In October 2011 the average value per trade was $7,310, down 21% on the pcp of $9,207. The percentage of traded value crossed was 23% (27% pcp).

The cash market was halted from 10.05am until 2.00pm on 27 October due to an internal network connectivity issue with ASX Trade.

Trading – Energy and agricultural derivatives markets
• A total of 15,779 Australian electricity futures and options contracts were traded in October 2011, up 16% on the pcp. Total open interest was 40,376 contracts at the end of October 2011 compared to 49,367 at the end of September 2011.
• The ASX grain futures and options market traded 40,376 contracts (852,920 tonnes) during the month, down 44% on the pcp. Open interest at the end of October 2011 of 120,047 futures contracts represents 2.4 million tonnes of Australian grain and oilseed. The ASX grain futures and options market migrated to ASX 24 and ASX Clear (Futures) on Monday, 24 October 2011.

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 $3.4 billion during October 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.7 billion.
• There were nine intra-day margin calls made on three separate days in October 2011 totaling $48 million, compared to $13.8 million of intra-day margin calls in September 2011.

ASX Settlement
• There were no disruptions to the completion of batch settlement in the equities market during October 2011.
• Total equity settlement delivery fail rate averaged 0.35% per day during October 2011, a small improvement on the 0.37% rate for September 2011.

Austraclear Settlement
• One disruption to the Austraclear settlement sessions occurred during October 2011. Transactions entered into the Austraclear system from 3:14pm on Monday 10 October were unable to settle due to a system process issue. All transactions were settled prior to the extended end of day cut-off of 7:28pm.
• The levels of total debt holdings in Austraclear increased over the course of October by $10.9 billion to $1.283 trillion. During October, electronic certificates of deposit increased by $2.1 billion, electronic promissory notes increased by $1.1 billion, floating rate notes increased by $3.5 billion and Treasury bonds increased by $8.3 billion. Corporate bonds decreased by $2.7 billion and all other holdings decreased by $1.4 billion in October.

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