Jse Limited · JSE:JSE
Jse — Non-Deal Roadshow (June 2018)
87 slides from Jse's roadshow presentation, Jun 26, 2018
Slide 1: Integrated Trading & Clearing (ITaC) London Roadshow
Integrated Trading & Clearing (ITaC) London Roadshow 26 June 2018 1
Slide 2: Agenda
Agenda • ITaC Overview • ITaC Timeline and status update • High Level Principle Changes and Key Concepts • Reference Data • Trading • Post-trade • Market Data • Rules • Agreements • General • Questions? • JSE team: Leanne Parsons, Alex Comninos, Sandra Borrageiro 2
Slide 3: ITaC Overview
| ITaC Overview Y) III | ITaC INTEGRATE ACCELERATE GROW
Slide 4: Global trends we are experiencing
Global trends we are experiencing • Technological arms race continues (speed and latency) • We are players on a global market stage and compete with venues even if they are not in SA (global standards and distribution) • Increasing computer based training especially more recently use of bots (robust
Slide 5: What is ITaC? Programme Overview
What is ITaC? Programme Overview • The JSE currently provides trading, clearing and settlement services for: • Equity derivatives (EDM) • Currency derivatives (FXM) • Interest Rate derivatives (IRD) • Commodity derivatives (CMD) • A multi-year programme to implement a new Integrated Trading and Clea
Slide 6: Principles
Principles • Separation of Trading and Clearing • Use out of box functionality aligned to international standards where possible • Deal Management considered a Post Trade activity • Alignment to international best practice and equivalent regulations • Addressing some aspects that may have not been c
Slide 7: Trading, Clearing and Information Systems
Trading, Clearing and Information Systems All Markets (except Bond ETP) – High-level Trading Clearing Information Member Member Subscribers ORDER & TRADE DEAL REFERENCE, MARKET DATA GATEWAYS MANAGEMENT MANAGEMENT & EOD & OTHER GATEWAYS CLEARING DATA ALL MARKETS ALL MARKETS ALL MARKETS ALL Full Depth
Slide 8: ITaC Value Proposition Summary
ITaC Value Proposition Summary Trading Post-trade General Internationally accepted trading model Efficient asset utilisation (collateral) Aligned to global best practice and API Intra-day risk monitoring Compliance with reg stds Enhanced market integrity & controls Automation of Clearing Member Stat
Slide 9: ITaC Timeline and status update
ITaC Timeline and status update 9
Slide 10: ITaC Timeline
ITaC Timeline • Most recent consultation with key stakeholders reached consensus on and a commitment to a targeted go-live date with a closed scope • Go-Live is subject to certain critical milestones being met • A Market Steering Committee comprising representatives from the JSE, Clearing Members (a
Slide 11: ITaC Key Dates
ITaC Key Dates Date Milestone 11 Jun – 22 Jun 2018 Clearing Member & Software Provider Testing in ETE environment 26 Jun 2018 Start of End to End Testing in ETE environment 26 Jun – 5 Jul 2018 ETE Testing – Cycle 1 Structured 9 Jul – 13 Jul 2018 Prep for MMDR; data clean up and full position take on
Slide 12: ITaC Project Principle Changes
ITaC Project Principle Changes 12
Slide 13: Agenda
Agenda • Functional Overview • Reference Data • Trading • Post Trade • Deal management • Clearing and Risk • Market Data • Live • Non Live • Corporate Actions 13 13
Slide 14: Reference Data
14 Reference Data Cu (Cp) aie ITaC INTEGRATE ACCELERATE GROW
Slide 15: Market Participant Structure
Market Participant Structure Production Identifier Code • New trading and clearing members Production Identifier Code (PIC) is 11 alpha-numeric characters for the Derivatives market • The Production Identifier Code is also known as the Business Identifier Code (BIC) for the Equity Market • The code
Slide 16: Client Reference Data Branches
Client Reference Data Branches • Branches will be migrated from Nuclears to the JSE’s central reference data system in their current state as part of the ITaC project • A Branch will be: • Linked to the Trading Member they belong to • Used for Post-trade deal management activities • A trade can be a
Slide 17: Market Participant Structure Users
Market Participant Structure Users • Trader IDs are assigned to all registered Traders , so that they can perform On Book and Reported trading functionality • Note: Each Trader must be registered with the JSE per Market. Upon registration, each Trader is assigned a unique Trader ID 5 numeric digits
Slide 18: Market Participant Structure On-behalf-of CompID and Trader Groups
Market Participant Structure On-behalf-of CompID and Trader Groups • A clearing member will own and login with a CompID belonging to the trading member firm dedicated as the on-behalf-of CompID • This CompID will facilitate the trade reporting functionality executed by clearing members or on-behalf-
Slide 19: Instrument Reference Data New naming standards
Instrument Reference Data New naming standards • Three Instrument Identifiers • Contract Code (replacing the existing four character code) • International Securities Identification Number (ISIN) • Equity Derivatives ZAD • Currency Derivatives ZAF • Unique ID (Numeric) • New Contract Code standard •
Slide 20: Instrument Reference Data Mapping old contract codes to new
Instrument Reference Data Mapping old contract codes to new contract codes • Existing four character Contract Code will be mapped to each contract that exists at go-live. We will call this the Old System Code • A Instrument Contract code mapping will be made available before go-live, but with new in
Slide 21: Instrument Reference Data Mapping old instrument types to new
Instrument Reference Data Mapping old instrument types to new instrument types • A mapping between the existing instrument types and how these instruments will be classified in the ITaC systems will be made available prior to ITaC go-live • Instrument standards • Correct Underlying names will be use
Slide 22: Instrument Reference Data Dividend Neutral changes
Instrument Reference Data Dividend Neutral changes • Current system (Nutron) the Dividend Neutral is a virtual contract meaning that when the Dividend Neutral (N) contract is traded the system creates an equivalent SSF (Q) and Dividend Future (F) in equal amounts, for example: • Member A Buy 100 15
Slide 23: Instrument Reference Data User created instruments
Instrument Reference Data User created instruments • Instrument Types permitted for user created Instruments: • AnyDay Futures • AnyDay (Naked) Options • Delta Options • Instruments that are eligible for user-creation can be found in the client Trading reference data (CSV) files • Futures can only b
Slide 24: Instrument Reference Data Automation of Corporate Actions processing
Instrument Reference Data Automation of Corporate Actions processing • Corporate Actions processing will be automated • Reference data updates – Master Data System (MDS) • Position adjustments – Post-trade Clearing System (RTC) • Corporate Actions on derivatives will now be managed by the same team
Slide 25: Trading
25 Trading Y) III ITaC INTEGRATE ACCELERATE GROW
Slide 26: Trading Market Layout
Trading Market Layout JS Information Subscribers Trading Gateway (Native) Trading Gateway Colocation (Native) Order Management Gateways Post Trade Gateway (FIX) Ref. Data Market Data Gateways Real Time Surveillance t Trading Information JSE Downstream System Post Trade System Systems Derivatives Tra
Slide 27: ITaC Trading Changes
ITaC Trading Changes Highlighting key changes and new services Order Types and Time Enforcers Trade Reporting - Specific On Book Trading More options for order types Trading Member Trade Sub-types Enhancement of Stop and and ability to allow orders to More specific reporting Stop Limit orders and th
Slide 28: ITaC Trading Changes
ITaC Trading Changes Highlighting key changes and new services Trading Member Reference data Now available via csv files Clearing Member on the JSE IDP site. Market Data Subscriber Intra-Day Trading Quotes Easier Market- Session Updates Making Latency Ability to change functionality. Improved Consis
Slide 29: Trading Functionality Changes
Trading Functionality Changes Order and Trade Management • Concept of status of an order/trade • New • Amend • Match pending • Withdrawn • Trade • Published • Cancelled • Time in Force enhancements for Orders • GTD, GTC, GTT • Order Type enhancements • MIT, MTL, Stop, Stop Limit, 29
Slide 30: Trade Functionality Changes
Trade Functionality Changes Off Book Trading • Reported trading model behaviour change • Submit/respond model • Single-sided or Dual-sided • Trade against a firm no longer a branch • Reference fields for Branch • Reference field for client reference • More defined Trade Sub Types (Guidance Note) • C
Slide 31: Trade Reporting Important to Note
Trade Reporting Important to Note • Editing of reported trades reference fields will not be possible after they have matched and fed into the clearing system • The Derivative Markets will not allow any backdated Reported trade submissions to be captured • Off Book trade requests (unmatched) can be w
Slide 32: Trade Functionality Changes Important to Note for Cancellations
Trade Functionality Changes Important to Note for Cancellations • On Book Trading • Must meet criteria defined in rule 7.181 (EDM) or 7.130 (FXM – still in process of being amended) • If criteria met, obtain permission from Director: Market Regulation • If permission granted: • Initiate a “Trade Can
Slide 33: Intraday Trading Sessions
Intraday Trading Sessions • Futures Close Out – EDM • During a Futures Close Out (FCO) day on the Equity Derivative Market all On-Book Continuous Trading will cease at 12:00 for all instruments with an expiry date equal to the FCO day • This is the same time in which the underlying Equity Market Ins
Slide 34: Post-Trade Services
Post-Trade Services Alex Comninos 34
Slide 35: ITaC Clearing Objectives
ITaC Clearing Objectives • The JSE aims to achieve its Integrated Clearing vision through ITaC • The vision is based on three pillars • Centralised and more real-time risk management • Efficient asset utilisation • Consolidated clearing operations • The JSE intends to migrate all its markets to Cinn
Slide 36: New Services and Functions Post-trade
New Services and Functions Post-trade Reference Data • ** Implement post Member Codes EoD Process bedding down Trade Entry • Sub accounts • Single EoD run across all period after 1bc go • Non-validation of accounts • Instrument codes/fields markets live. FX cash on trading system • Dividend neutrals
Slide 37: Integrated Clearing Conceptual view of consolidated portfolio
Integrated Clearing Conceptual view of consolidated portfolio EMD ABCE ABC ABCY 37
Slide 38: Trading, Deal Management & Clearing Client facing functions and interfaces
Trading, Deal Management & Clearing Client facing functions and interfaces • Client Front-End/s Client & account mgmt • Trading reference data • Order & Trade Mgmt All Post-trade functions including: • Post-trade reference • Deal & position mgmt & pricing data • Order & Trade Monitoring • Commission
Slide 39: Deal Management Actions allowed
Deal Management Actions allowed Capacity State of Deal* in RTC Action allowed • Accumulate • Deal sub account modification • Position sub account modification Principal - • Principal correction • Allocate on exception basis only • Allocation error correction • Accumulate • Allocate Deal is on client
Slide 40: Commissions Setup and Submission
Commissions Setup and Submission • With ITaC go-live taking a turn in deal management will NOT be possible • Trading members will need to charge commissions for transactions concluded in an agency capacity • Front-ends to cater for commission models per trading member requirements • E.g. percentage
Slide 41: Commissions Monitoring & Management
Commissions Monitoring & Management • Trading members will be required to actively monitor and manage commission entries • Executing trading members may cancel a submitted commission entry • Recipient trading members may reject a commission entry NB: • If a commission is rejected the trade is not re
Slide 42: Commissions EOD Processing
Commissions EOD Processing • JSE Clear will facilitate • Settlement of net commission amounts across Clearing Members on T+1 • Clearing Member to facilitate • Processing of commissions between their Trading Members • Clearing Member or Trading Member to facilitate • Collection of commissions charged
Slide 43: JSE Clear Securities Collateral Service Overview
JSE Clear Securities Collateral Service Overview Participants who Derivatives Trading Derivatives clients who are Clearing Members (for proprietary non-controlled clients in the can use the service Members exposures) Cash Equity market Obligations that Initial margin (including Clearing Member defau
Slide 44: ITaC Post-trade Documentation
ITaC Post-trade Documentation 44
Slide 45: Market Data
Market Data Leanne Parsons 45
Slide 46: Objective
Objective Material changes to the Public Market Data will take place. Not only to the Public Market Data covers both Live type of data, but also the format and and Non-Live Data structures, as well as the way that the data will be made available. Live Market Data is data that is This session is rele
Slide 47: High Level Architectural Overview
High Level Architectural Overview Trading Clearing Information Member Member Subscribers ORDER & TRADE DEAL REFERENCE, MARKET DATA GATEWAYS MANAGEMENT MANAGEMENT & EOD & OTHER GATEWAYS CLEARING DATA ALL MARKETS ALL MARKETS ALL MARKETS ALL Full Depth / Level 1 (MITCH) Trading (Native) Deal Mgmt (EMAP
Slide 48: High Level Architectural Overview Market Data Focus
High Level Architectural Overview Market Data Focus Trading Clearing Information Member Member Subscribers ORDER & TRADE DEAL REFERENCE, MARKET DATA GATEWAYS MANAGEMENT MANAGEMENT & EOD & OTHER GATEWAYS CLEARING DATA ALL MARKETS ALL MARKETS ALL MARKETS ALL Full Depth / Level 1 (MITCH) Trading (Nativ
Slide 49: Changes to Live Data Overview
Changes to Live Data Overview Full Market Depth Full depth order book feed available with immediacy of publication (Also referred to as L2 feed) Top of Order Book Indicative Auction Information Best Bid and Ask feed available. Real time update on Uncrossing Price (Also referred to as L1 feed) and Vo
Slide 50: Changes to Live Data Detail
Changes to Live Data Detail • Two types of MITCH based Live Data Feeds per market • Full Depth (L2) Data Feed – Throttled and Unthrottled • Top (L1) of Book Data Feed Changes • Both feed types will include Extended Statistics • The Extended Statistics message also includes three key Derivatives data
Slide 51: Changes to Live Data AS-IS to TO-BE
Changes to Live Data AS-IS to TO-BE Current EDM New/Changed EDM New/Changed FX Current FX Live Feeds Live Feeds Live Feeds Live Feeds Depth of 9 Snapshot feed Full Depth (L2) Tick by Tick Live Full Depth (L2) Tick by Tick Live Depth of 10 Snapshot feed Data Feed (Throttled) Data Feed (Throttled) Ful
Slide 52: Changes to Non-Live Data Overview
Changes to Non-Live Data Overview Web Reports and Data Products Integration Web Reports and Data Records integrated to form new sets of Data Records and Web Reports Changes to EDM Data Records New and changed Data Records Web Reports format and structure Some Data Records discontinued Web Reports wi
Slide 53: Changes to Non-Live Data Detail
Changes to Non-Live Data Detail • FX data will move from being provided via IRC Data Records to new set of FX Data Changes Records • IR Derivatives data will continue to be provided via existing IRD Data Records to Data • 16 EDM Data Records will be made available Records • 2 current EDM Data Record
Slide 54: Changes to Non-Live Data AS-IS to TO-Be for Equity Derivatives
New Changes to Non-Live Data Changed Discontinued AS-IS to TO-Be for Equity Derivatives Current New/Changed New/Changed Current Data Records Data Records Web Reports Web Reports Daily Traded Statistics - DED Daily Traded Statistics – DED EDM Daily Stats (D – 19:30) (D - 20:00) (D – 19:30) Daily Full
Slide 55: Changes to Non-Live Data AS-IS to TO-Be for Equity Derivatives
New Changes to Non-Live Data Changed Discontinued AS-IS to TO-Be for Equity Derivatives Current New/Changed New/Changed Current Data Records Data Records Web Reports Web Reports Early MTM - MED MTM Fair Report (D - 15:30) (D - 15:30) Margin Requirements - IED Margin Requirements Margin Requirements
Slide 56: Changes to Non-Live Data AS-IS to TO-Be for Currency Derivatives
New Changes to Non-Live Data Changed Discontinued AS-IS to TO-Be for Currency Derivatives Current New/Changed New/Changed Current Data Records Data Records Web Reports Web Reports Daily Traded Statistics - DIR Daily Traded Statistics – DCD (D - 19:30) (D – 20:00) Daily Full Market Type Totals – Dail
Slide 57: Changes to Non-Live Data AS-IS to TO-Be for Currency Derivatives
New Changes to Non-Live Data Changed Discontinued AS-IS to TO-Be for Currency Derivatives Current New/Changed New/Changed Current Data Records Data Records Web Reports Web Reports (M – 20:00) Monthly Market Monthly Market Statistics Monthly Market Statistics Statistics – MCD (M – midnight) (M – 19:3
Slide 58: Changes to Non-Live Data Detailed Change Impact Analysis
Changes to Non-Live Data AS-IS to TO-Be - Detailed Change Impact Analysis An AS-IS to TO-BE Change Impact Analysis document (Excel) has been created for the convenience of Information Subscribers. It maps out, in more detail, the changes to the Data records and Web reports. Also included is a data f
Slide 59: Summary of Key Value Points
Summary of Key Value Points More Non-Live data, More data feed types will including reference data, be made available will be provided via new Data Record based products More data will be made available to International Provision of Data Records Information Subscribers via in standardised manner the
Slide 60: Legal and Commercials
Legal and Commercials All Information Subscribers to the Live and Non-Live Data Products will be required to sign the JSE Data Agreement (JDA) which will stipulate the terms and conditions governing access and use of the Public Market Data The subset of Public Market Data made available via RTC will
Slide 61: Rules Overview
61 Rules Overview Cu (Cp) aie ITaC INTEGRATE ACCELERATE GROW
Slide 62: High level overview of changes
High level overview of changes • Best execution and off book trades • The principle of best execution is set out in new rule 7.15 (Trading with or on behalf of clients – best execution) • members must act in the best interests of their clients at all times • all transactions in derivative securities
Slide 63: High level overview of changes
High level overview of changes • The functionality of the system has facilitated the introduction of two new proposed reported trade types, being Roll Trades and Strategy Trades • Roll trades - members will be able to close out positions in a futures contracts for an expiry date and to open position
Slide 64: High level overview of changes
High level overview of changes • The terminology in respect of “on book” and “off book” transactions has replaced the references to “on-ATS” and “off-ATS” transactions and references to the various systems of the JSE, which previously referred to the specific markets on which particular securities w
Slide 65: Agreements
65 Agreements Cu (Cp) aie ITaC INTEGRATE ACCELERATE GROW
Slide 66: ITaC Agreements – cutoff date reminder
ITaC Agreements – cutoff date reminder • JSE Services Agreement (JSA) • Signed JSA is required to access all production and test services including the End-To-End environment • JSA must be signed by Friday, 27 July 2018 which is prior to the start of Scripted End-To-End testing on Monday, 30 July 20
Slide 67: End-To-End Testing
67 End-To-End Testing ITaC INTEGRATE ACCELERATE GROW
Slide 68: End-To-End (ETE) Testing
End-To-End (ETE) Testing • Two phases of End-to-end testing are envisaged: • Structured ETE testing - test specific identified scenarios and events on specific days • Scripted ETE testing – ring fenced with specific data and functionality on specific days with specific expected outcomes as well as o
Slide 69: End-To-End (ETE) Testing – High Level Plan
End-To-End (ETE) Testing – High Level Plan • Structured ETE testing - test specific identified scenarios and events on specific days • 2nd week – any additional scenarios that are required to be included in week 2, please submit requirements by no later than 12h00 Monday 25 June 2018 Structured ETE
Slide 70: End-To-End (ETE) Testing
End-To-End (ETE) Testing • What are the service times for ETE testing ? • 07h30 – 13h30 Trading (On Book, Off Book) and real-time/live Market Data published • Opening Auction: 7:30 – 8:00 (EDM only) • Continuous Trading: 8:00 – 13:00 • Post Close: 13:15 – 13:30, Market End: 13:30, Day End: 15:00 • 0
Slide 71: End-To-End (ETE) Testing
End-To-End (ETE) Testing • What should be tested? • All front end software and functionality • All downstream, back office integration and other impacted systems • Market Making and automated trading applications • DMA applications • Reports to Clients • System set up and configuration especially cl
Slide 72: End-To-End (ETE) Testing – How to get access?
End-To-End (ETE) Testing – How to get access? • Members and Live Information subscribers to contact CustomerSupport@jse.co.za via email to request enablement IP address information and to schedule required connectivity tests • Provide the CompIDs for Trading and RTC that you will connect with • Requ
Slide 73: Dress Rehearsal 14 July 2018
Dress Rehearsal 14 July 2018 73
Slide 74: Measuring Success of Dress Rehearsals
Measuring Success of Dress Rehearsals • What the JSE measures – input/suggestions welcome Trading Connectivity and authentication Market Data Order management & On Book trading Connectivity and authentication Off Book Trade Reports (incl OBO) Successfully receive and process real-time multicast data
Slide 75: Measuring Success of Dress Rehearsals
Measuring Success of Dress Rehearsals • Feedback from clients to simplify the dress rehearsal functional test checklist • JSE busy revising the trading and post-trade business test checklists to be more meaningful and relevant to traders and/or back office staff and guide important scenarios for tes
Slide 76: Participation in Dress Rehearsals – 14 July 2018
Participation in Dress Rehearsals – 14 July 2018 • This dress rehearsal is Mandatory for: • All Clearing Members • All Equity Derivatives and Currency Derivatives Trading Members that have not successfully passed 2 dress rehearsals • Letters confirming your overall Firm’s dress rehearsal results and
Slide 77: General
77 General Y) III ITaC INTEGRATE ACCELERATE GROW
Slide 78: General
General • International Access Point replaced JSE London PoP • Clients wanting to receive live JSE data can contract with an accredited Extranet Services Provider (ESP) and the ESP will connect you to where the JSE delivers the data • Currently 4 accredited ESPs • Colocation • Significant reduction
Slide 79: General
General • Equity Market tiered building model • Will be implemented 30 July 2018 • Trading fees will be progressively lower for each incremental tier with 6 tiers of value thresholds • Trade cap of R400 for Central Order Book trades • Complex order suite consisting of 5 trade types has a cap of R300
Slide 80: Questions?
Questions? Please refer all queries to the JSE Client Service Centre (CSC) CustomerSupport@jse.co.za +27 11 520 7777 80
Slide 81: ITaC High Level Impact Summary Trading
ITaC High Level Impact Summary Trading NEW CHANGED DECOMMISSIONED • Connectivity and bandwidth requirements • NUTRON front-end to be • Enhanced order types and ability to • JSE Services Agreement (JSA) for connectivity to decommissioned by JSE – clients to allow orders to live for more than one Prod
Slide 82: Trading and Post-trade (Deal Management & Clearing)
Trading and Post-trade (Deal Management & Clearing) Client facing functions and interfaces (contd.) • Client Front-End/s Client & account mgmt • Trading reference data • Order & Trade Mgmt All Post-trade functions including: • Post-trade reference • Deal & position mgmt & pricing data • Order & Trad
Slide 83: ITaC High Level Impact Summary Post-trade Deal Management and Clearing
ITaC High Level Impact Summary Post-trade Deal Management and Clearing NEW CHANGED DECOMMISSIONED • Connectivity (to trading system for on • JSE Rules and Directives relating to new, behalf activity) and Bandwidth • Market Notices will no longer be requirements changed and removed services issued fo
Slide 84: Instrument Reference Data: Creating an AnyDay Future
Instrument Reference Data: User created instruments Creating an AnyDay Future Step 1: • Value in Expiry Group field Identify eligible Reference • User Creation Allowed field must have a value of Instrument either ‘1’ (AnyDay Future) or ‘3’ (AnyDay Future and Naked Option) • Key fields the Message: S
Slide 85: Instrument Reference Data: Creating an AnyDay (Naked) Option
Instrument Reference Data: User created instruments Creating an AnyDay (Naked) Option • At least one Options Expiry Date populated Step 1: • User Creation Allowed field must have a value of Identify eligible Reference either ‘2’ (Naked Option Only) or ‘3’ (AnyDay Future Instrument and Naked Option)
Slide 86: Instrument Reference Data: Creating a Delta Option
Instrument Reference Data: User created instruments Creating a Delta Option Step 1: • At least one Options Expiry Date populated Identify eligible Reference • User Creation Allowed field must have a value of Instrument either ‘2’ (Naked Option Only) or ‘3’ (AnyDay Future and Naked Option) Step 2: •
Slide 87: ITaC High Level Impact Summary Market Data
ITaC High Level Impact Summary Market Data NEW CHANGED DECOMMISSIONED • JSE Data Agreement/schedules to be signed • all data distributors including Shared Infrastructure providers • EDM and FX Non Live Market Data via • Market Data fees NUTRON front-end to be • Non Live Market Data decommissioned by