JSE Limited · JSE:JSE
JSE — Corporate Update (November 2024)
19 slides from JSE's corporate update, November 2024
Slide 1: Nutron Repo Project Market Update
Nutron Repo Project Market Update Oct/Nov 2024 Let’s Connect
Slide 2: Agenda
Agenda • Project objective and revisiting functionality • BSB vs Classic repo • Trading Process Flow • Triparty Repo Flow • What has changed? • Impacts – Strate and CSDPs • Impacts – settlement flows & processes • Impacts API • Testing requirements 2
Slide 3: Repo Project Objective
Repo Project The purpose of this project is to manage the delivery and deployment of the reformed Repo Reporting requirements which will cater for the globally used Classic Repurchase Agreements, on the Nutron front- Project end and API. The new functionality will enable Repurchase Objective Agreeme
Slide 4: New Nutron functionality revisit
New Nutron functionality revisit Master Trade: • Allows all repo amendments to the classic repo to be linked to the original transaction such that an audit trail is available for all events Classic Repos: • Closed term, open-ended and evergreen repo • Fixed and floating rate repo rates • Collateral
Slide 5: Trade and Post-trade functionality
Trade and Post-trade functionality # Functionality Booking phase Live Trade phase 1 Classic Repos X 1.1 Closed/Open-Ended X 1.2 Floating /Fixed rate X 1.3 Hair-cut X 2 Collateral Switch X 3 Evergreen repo X 4 Repo Rate Reset X 5 Extendable X 6 Substitutions X 7 Triparty Repos X 5 7.1 Triparty – Rate
Slide 6: BSB vs Classic repo
BSB vs Classic repo • Coupon treatment differs between BSB and Classic but economics the same • On all repos, ownership of the collateral passes to the counterparty holding the collateral for the period of the Repo who will receive the coupons due. This counterparty is holding the security only as c
Slide 7: Basic Repo Flows (BSB)
Basic Repo Flows (BSB) Issuer Collateral 1 R1 legs (on day t) Coupon payment Cash1 Purchase during repo term Repo Term Seller Buyer (𝑇0 to 𝑇𝑛 ) (repos out) (repos in) Collateral 2 R2 legs (on day t+n) Cash2 Repurchase Cash2 payment includes effect of : Principle, repo interest, coupon and…
Slide 8: Basic Repo Flows (Classic with manufactured coupon)
Basic Repo Flows (Classic with manufactured coupon) Issuer Collateral 1 R1 legs (on day t) Coupon payment Cash1 Purchase during repo term Repo Term Seller Buyer (𝑇0 to 𝑇𝑛 ) (repos out) (repos in) Collateral 2 R2 legs (on day t+n) Cash2 payment includes effect of : Cash2 Repurchase Principle and…
Slide 9: Trading process flow – Buy-Sell Back vs Classic
Trading process flow – Buy-Sell Back vs Classic Current Nutron functionality - • NO CHANGES to current Cash Bonds & Buy-Sell Back (BSB) functionality • BSB still follows the same process where both parties submit trades and trades match on Nutron Classics and Triparty - New trade process flow • Clas
Slide 10: Master trade flow member to member
Master trade flow member to member Book Master trade Member A (Specify trade type) Trade accepted & system Settlement Legs creates Master trade generated Member B Accept/Edit/Reject trade Client trades auto-accepted Send settlement legs to CSD Strate & route to CSDP CSDP CSDP receives Settlement Leg
Slide 11: Triparty repo flow
Triparty repo flow ALL Triparty repo trades conducted under GMRA booked on JSE’s Nutron system and routed to Strate’s CMS 1. Triparty management is the post-trade processing of repo collateral baskets is outsourced to a third-party agent 2. Strate’s Collateral Management System (CMS) provides for Tr
Slide 12: Repo Reform: What has changed?
Repo Reform: What has changed? • New repo trade types – • Closed & Fixed Rate Repo’s – Both R1 and R2 legs will be sent to CSD/P • Open Ended Repo – Only R1 leg sent, R2 sent on repo close • Evergreen Repo – Only R1 leg sent, R2 sent on repo close • Variable Rate – Only R1 leg sent, R2 sent on repo
Slide 13: Impacts – downstream to Strate and CSDP
Impacts – downstream to Strate and CSDP • System designed with aim of minimizing impact to CSD and CSDPs • Messages and trade types will remain the same. • Reuse of existing SWIFT messages to be re-purposed, workflow to remain unchanged. • Classic Repo will be sent to the CSD/P in the same manner as
Slide 14: Impacts – settlement flows & processes
Impacts – settlement flows & processes There are no changes to the following • Current Buy-sell back repo functionality in Nutron/API • All message trade statuses (i.e. unconfirmed, unmatched, etc) • CSDP’s to continue to send Reason for Uncommits (MT548 messages) • Back-to-back trading links allowe
Slide 15: Impacts - API
Impacts - API Updates to be made to Nutron and API Current Production API will have no changes to existing functionality • cash bonds and • buy-sell back (repo) transactions New API includes the addition of 28 NEW API messages for: • Classic repo and • Triparty transactions API released; Software pr
Slide 16: Nutron and API will be UPDATED
Nutron and API will be UPDATED 1. Connect to Nutron Front End 2. Connect via API – using new functionality • Download new version of Nutron • Must development to new API • Conformance testing • Regression testing – current BAU (Bonds, Repos, • Functional testing IRD) • Regression testing – current B
Slide 17: Testing Requirements for Members
Testing Requirements for Members Classic Repo and Triparty Repo users • Comprehensive testing of new added functionality as well as regression testing of day-to-day BAU activities All other Bond and IRD Members • Regression testing of day-to-day BAU activities Clearing Members • Regression testing o
Slide 18: Indicative milestones
Indicative milestones* API specifications issued Mid Jul 2024 JSE initial testing End Aug 2024 API SW providers & developers dev Mid Jul to Mid Oct 2024 JSE testing with Strate Sep 2024 onwards Internal Integration Testing Mid Nov – early Jan 2025 SWP conformance testing Mid-Nov - early Jan 2025 Acc
Slide 19: Questions
Questions 20 20