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Appendix 10 - SAFEX contract specifications 
(from SAFEX WebPages on 26/6/98)
(See index of the online book: "Understanding Financial Markets & Instruments")

 SHARE INDEX

Code ALSI GLDI INDI FNDI
Underlying instrument JSE Actuaries Top 40 
Companies All Share Index 		JSE Actuaries Top 10 Companies Gold Index JSE Actuaries Top 25 Companies Industrial Index JSE Actuaries Top 30 Companies Industrial Index
Contract Size R10 x Index Level R10 x Index Level R10 x Index Level R10 x Index Level
Expiry Dates & Times Mar, Jun, Sep & Dec (or 16h00 on 3rd "Friday of Mar, Jun, Sep & Dec (or previous business day) 16h00 on 3rd "Friday of Mar, Jun, Sep & Dec (or previous business day) 16h00 on 3rd "Friday of Mar, Jun, Sep & Dec (or previous business day) 16h00 on 3rd "Friday of Mar, Jun, Sep & Dec (or previous business day)
Quotations Index level (no decimal points) Index level (no decimal points) Index level (no decimal points) Index level (no decimal points)
Minimum Price Movement One index point (R10) One index point (R10) One index point (R10) One index point (R10)
Initial Margin Approximately R5000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R1000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R6500 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R12000 (revised periodically by the Risk Committee) Reduced margin for spread positions
Expiry valuation method Arithmetic average of the Index taken every 2 minutes, over the final two hours of trading on expiry date, as calculated by the JSE Arithmetic average of the Index taken every 2 minutes, over the final two hours of trading on expiry date, as calculated by the JSE Arithmetic average of the Index taken every 2 minutes, over the final two hours of trading on expiry date, as calculated by the JSE Arithmetic average of the Index taken every 2 minutes, over the final two hours of trading on expiry date, as calculated by the JSE
Settlement Method Cash Settled Cash Settled Cash Settled Cash Settled
Clearing House fees R1,00 per contract Options R0,50 per contract R1,00 per contract Options R0,50 per contract R1,00 per contract Options R0,50 per contract R1,00 per contract Options R0,50 per contract

BONDS AND INTEREST RATES

Code R153 R150 R162 R157 BBF3 RNDO
Underlying Instrument RSA R153 loan stock 13% 2010 RSA R150 loan stock 12% 2005 RSA R162 loan stock 12,5% 2002 RSA 157 loan stock 13,50% 2015 91 Day Bank Acceptance (BA) rate Rate of exchange between South African Rand and US Dollars
Contract Size R 1000 000 nominal R 1000 000 nominal R 1000 000 nominal R 1000 000 nominal R 1000 000 nominal $ 100 000 nominal
Expiry Dates & Times 12h00 on first Thurs of Feb, May, Aug or Nov (or previous business day) 12h00 on first Thurs of Feb, May, Aug or Nov (or previous business day) 12h00 on first Thurs of Feb, May, Aug or Nov (or previous business day) 12h00 on first Thurs of Feb, May, Aug or Nov (or previous business day) 11h00 on third Thurs each month (or previous business day) The Rand/Dollar futures contract expires at 12h00 midday on the Monday preceding the third Wednesday of the expiry month, if not a business day then the previous business day Preceding the third Wednesday
Quotations Yield to maturity to 4 decimal places Yield to maturity to 4 decimal places Yield to maturity to 4 decimal places Yield to maturity to 4 decimal places Discount rate to 2 decimal points In Rand per dollar to four decimals
Minimum Price Movement One twentieth of a point (0.0005%) One twentieth of a point (0.0005%) One twentieth of a point (0.0005%) One twentieth of a point (0.0005%) One point (0.01%) 0.0001 (R10)
Initial Margin Approximately R20,000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R25,000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R19,000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R35,000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R2,000 (revised periodically by the Risk Committee) Reduced margin for spread positions Approximately R9,000 (revised periodically by the Risk Committee) Reduced margin for spread positions
Expiry valuation method Mid point of best spot bid & offer yields advertised on Reuters at 12h00 on expiry Mid point of best spot bid & offer yields advertised on Reuters at 12h00 on expiry Mid point of best spot bid & offer yields advertised on Reuters at 12h00 on expiry Mid point of best spot bid & offer yields advertised on Reuters at 12h00 on expiry Average rate if 8 participants selected by SAFEX at 11h00 on expiry day Obtain notional offers to buy and sell US$5 000 000 from six authorised dealers, mid point of each offer is calculated and highest and lowest discarded.  The expiry price shall be the arithmetic average of the remaining four averages
Settlement Physically settled Physically settled Physically settled Physically settled Cash settled Cash settled
Cleaning House fees R2,00 per contract Options R1,00 R2,00 per contract Options R1,00 R2,00 per contract Options R1,00 R2,00 per contract Options R1,00 R2,00 per contract Options R1,00 R2,00 per contract Options R1,00

COMMODITIES

Code NABI BEEF SPUD WMAZ YMAZ
Trading Hours 09:00 to 12:00 09:00 to 12:00 09:00 to 12:00 09:00 to 12:00 09:00 to 12:00
Underlying Commodity National Average Beef Index (NAB) Chilled beef carcasses grade A2/A3 National Average Potato Price Index (NAPPI) White maize of African origin grade WM1 Yellow maize of African grade YM1
Contract Size 2000 x NABI 2000kg 100 x NAPPI 100 metric tons 100 metric tons
Expiry Dates & Times 12h00 on last Friday of four near consecutive calendar months 12h00 on second last Friday of four near consecutive calendar months.  Physical delivery on Monday to Friday of following week 12h00 on last Friday of four near consecutive calendar months 12h00 on eight last business day of March, May, July, September and December.  Physical deliveries from first business day to last business day of expiry month 12h00 on eight last business day of March, May, July, September and December.  Physical deliveries from first business day to last business day of expiry month
Quotations Rand/kg Rand/kg Rand/10kg pocket Rand/ton Rands/ton
Minimum Price Movement One cent per kg One cent per kg One cent per pocket Twenty cents per ton Twenty cents per ton
Initial Margin R2500 per contract, R750 per contract for calendar spreads R2500 per contract, R750 per contract for calendar spreads R200/contract.  No reduction for calendar months R6000 per contract up to the first notice day.  R10000 per contract up to expiry day.  R20000 per contract up to last delivery day, R2000 per contract for calendar spreads, R4000 per contract for white yellow spreads R6000 per contract up to the first notice day.  R10000 per contract up to expiry day.  R20000 per contract up to last delivery day, R2000 per contract for calendar spreads, R4000 per contract for white yellow spreads
Expiry valuation method Closing NABI value, being a six day weighted average of City Deep and Cato Ridge A2/A3 beef prices Closing futures price as determined by the Clearing House Closing NAPPI value, being a five day weighted average of Johannesburg, Cape Town, Durban and Pretoria prices Closing Futures price as determined by the Clearing House Closing Futures price as determined by the Clearing House
Settlement Method Cash settled Cash & Physical Cash settled Cash & Physical Cash & Physical
Clearing House fees R11,40/contract R11,40/contract R2,28/contract R45,60/contract R45,60/contract

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