DESCRIPTION OF THE SFE
The SFE New Zealand 36 to 40 Micron Wool Indicator is
a subset of Tectra’s crossbred indicators and has
been specifically designed for Sydney Futures Exchange’s New Zealand Broad Wool
Futures contract to provide a measure of wool prices which is directly
comparable from one sale to another regardless of the types of wool offered at
those sales.
Established in 1960 as the Sydney Greasy Wool
Futures Exchange, SFE Corporation (SFE) has been providing a wool futures
market almost continuously for 40 years.
SFE Corporation Limited and its subsidiary companies, Sydney Futures Exchange Limited, SFE Clearing Corporation Pty Ltd and Austraclear Limited, provide exchange traded and over-the-counter (OTC) services throughout the Asia Pacific region and in other major financial cities in the world. SFE is one of the major derivatives exchanges in the Asia Pacific Region and, at this time, the only wool futures market in the world.
SFE will be listing a New Zealand Broad Wool
Futures Contract on
For participants in the
-
a proven and successful wool futures market
-
transparent and competitive futures prices
-
contract specifications consistent with the global
standards
-
dedicated spread trading markets
-
a broad range of access and clearing alternatives;
and,
-
initial margin offsets.
Contract Specifications
The New
Zealand Broad Wool Futures Contract has the following specifications:
|
Contract Unit: |
2,500 kg clean weight of NZ Broad Wool (first and second shear wool
in the 36 to 40 micron range). |
|
Contract Months: |
February/ April/ June/ August/ October/ December up to 18 calendar
months ahead |
|
Commodity Code |
NW |
|
Minimum Price Movement: |
Prices are quoted in cents per kilogram clean weight. (The minimum
fluctuation of 1 cent per kilogram is equal to NZ$25.00 per contract). |
|
Last Trading Day: |
The last day of trading shall be the 3rd Friday of the
contract month, or if that day is not a Business Day the Business Day
immediately following that day. |
|
Settlement Day: |
The cash settlement day of
the contract will be the first business day after the last trading day. |
|
Trading Hours: |
|
|
Cash Settlement Price: |
The Settlement Price shall
be the SFE New Zealand 36 to 40 Micron Wool Indicator published by Tectra
Limited. All bought and sold contracts in existence at the close of trading
will be settled by SFE Clearing at the Settlement Price. The SFE New Zealand
36 to 40 micron wool indicator will be announced to the market no later than
4pm NZT on the Last Trading Day. |
The SFE
New Zealand 36 to 40 Micron Wool Indicator is very similar to the Strong Segment
Indicator (SSI) which has been in use since 1987. The methodology used in its calculation is
basically the same as for the SSI. There
are two differences:
1)
the range of wool covered by
the SFE New Zealand 36 to 40 Micron Wool Indicator is restricted to 36 to 40 microns (instead of
32 to 41 for the SSI); and,
2)
the set of weights used is
constant; which makes it possible to compare indicator values across seasons.
The Types comprising the 36 to 40 micron range of
the clip are divided into eight Groups based on category, and length. There are around 150 Types defined in the
process. These are defined in terms of
diameter, category, style, and processing length. Definitions for Groups and for some Types are
provided in this document.
The price averaging process is done in three steps. First, the selling prices of all lots of the
same Type are averaged to produce Type prices for the sale. Second, the prices of all Types within each
Group are averaged to produce Group prices.
Finally, all the Group prices are averaged to produce the SFE New
Zealand 36 to 40 Micron Wool Indicator.
Weighted averaging is used throughout.
This method is used so that, should a Type not be present at the sale, a price
can be estimated for it on the basis of the prices of other Types within the
same Group. Prices of Types within each
Group are assumed to behave similarly; so it is more likely that the price of a
Type will move in the same way as the average price of its Group than in the
same way as the overall SFE New Zealand 36 to 40 Micron Wool Indicator. For this purpose, the ratio of the price of
each Type to its group price is calculated and updated each sale. Ratios of group prices to the SFE New
Zealand 36 to 40 Micron Wool Indicator are also maintained and used to estimate
prices for the Groups with little or no wool in the sale.
Both Type and Group ratios are updated using a process which smoothes out
random fluctuations, but allows the ratios to follow any genuine trend.
The average price of a Type is the total value divided by the total clean
weight of all the wool of that Type sold at the sale. Type prices are calculated only when there
are at least two lots of the Type at the sale.
The Group price is a weighted average of all types within the Group, with the
prices of Types not present at the sale being estimated by multiplying the
Group price by the Type ratios. In essence, the process calculates the average
price of the Types present at the sale, and then adjusts it by the average
ratio of those Types so that the result is not affected by the composition of
the offering. The ratios used are those
calculated from the previous sale.
Once the Group prices are known, the ratios of Type prices to their Group
prices are calculated for use at the following sale. The ratios are updated from their previous
values using double exponential smoothing.
SFE
New
The SFE New Zealand 36 to 40 Micron Wool Indicator is a weighted average of
Group prices and is calculated exactly as above, using the Group data instead
of Type data. Group ratios are
calculated, smoothed and adjusted in the same way as Type ratios.
SFE New
The SFE New Zealand 36 to 40 Micron Wool Indicator
will be published by Tectra along-side its existing wool price indicators.
Tectra publishes its wool price indicators every week in:
·
various newspapers and other
publications on the day
following the sale day, including the NZ Farmers Weekly, Wool Record Weekly
Market Report, the New Zealand Herald, Dominion Post,
Christchurch Press, Otago Daily Times and other
regional newspapers;
·
on Tectra’s web-site – www.tectra.co.nz
; and,
Table 1
- The Eight Groups
|
Group |
Catgy |
Diameter |
style |
length |
|
Fleece |
F |
35.5-40.4 |
All |
105-124 |
|
2ndShear
long |
F |
35.5-40.4 |
All |
95-104 |
|
2ndShear
med |
F |
35.5-40.4 |
All |
65-94 |
|
2ndShear
short |
F |
35.5-40.4 |
All |
55-64 |
|
Cotts |
G,H |
35.5-40.4 |
All |
88-112 |
|
Bell/Nks/Pcs |
B,N,P |
35.5-40.4 |
All |
38-112 |
|
2nd
Pieces |
S |
35.5-40.4 |
All |
35-64 |
|
Crutchings |
K |
35.5-40.4 |
All |
38-62 |
Table 2
- Some of the 150 Types
|
Type |
Weight |
Diameter |
Catgy |
Style |
Length |
|
C360B100 |
17170 |
35.5-36.4 |
G,H |
1 |
88-112 |
|
C360C100 |
42523 |
35.5-36.4 |
G,H |
2 |
88-112 |
|
C360D100 |
58871 |
35.5-36.4 |
G,H |
3 |
88-112 |
|
C360E100 |
37070 |
35.5-36.4 |
G,H |
4 |
88-112 |
|
C370B100 |
24730 |
36.5-37.4 |
G,H |
1 |
88-112 |
|
C370C100 |
97202 |
36.5-37.4 |
G,H |
2 |
88-112 |
|
C370D100 |
109169 |
36.5-37.4 |
G,H |
3 |
88-112 |
|
C370E100 |
29910 |
36.5-37.4 |
G,H |
4 |
88-112 |
|
C380B100 |
32417 |
37.5-38.4 |
G,H |
1 |
88-112 |
|
C380C100 |
146610 |
37.5-38.4 |
G,H |
2 |
88-112 |
|
C380D100 |
77677 |
37.5-38.4 |
G,H |
3 |
88-112 |
|
C380E100 |
27960 |
37.5-38.4 |
G,H |
4 |
88-112 |
|
F360B100 |
261258 |
35.5-36.4 |
F |
1 |
95-104 |
|
F360B110 |
649229 |
35.5-36.4 |
F |
1 |
105-114 |
|
F360B120 |
587819 |
35.5-36.4 |
F |
1 |
115-124 |
|
F360B60 |
201402 |
35.5-36.4 |
F |
1 |
55-64 |
|
F360B80 |
175048 |
35.5-36.4 |
F |
1 |
75-84 |
|
F360B90 |
126216 |
35.5-36.4 |
F |
1 |
85-94 |
|
F360C100 |
312741 |
35.5-36.4 |
F |
2 |
95-104 |
|
F360C110 |
714207 |
35.5-36.4 |
F |
2 |
105-114 |
HISTORICAL
DATA