JSE Trading Services

1
JSE Trading Services

• Release 6.1
• User Brief

12 December 2002 Version 4.0
2
Agenda

• Release 6.1 Scope
• Detailed Explanations
• Order Modification
• Alphanumeric SEDOL codes
• Closing Price Enhancements (Carry VWAP to Day 2)
• Trade type validation enhancements/Instrument
  Effective Date
• Option Delta Trade Type
• Testing and Conformance
• Implementation Timeline
• General
• Questions

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Release 6.1 Scope
Requirement
Mandatory 2
Parameter 1
Order Modification
Segment
Yes
Alphanumeric SEDOL codes
Global
Yes
Closing Price Enhancements (Carry VWAP to Day 2)
Global
Yes
Trade type reporting validation
Global
Yes
Instrument effective date
Global
Yes
Option Delta Trade Type
Segment
Yes

• This indicates whether the new functionality is
  parameterised at a segment level, or applies
  globally across the system.
• This indicates if the functionality change is
  mandatory to the JSE Market or not.

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Detailed ExplanationOrder Modification

• Description of the enhancement
• Currently trading applications process order
  modifications by deleting the existing order and
  entering a new order. (2 secure interactive (SII)
  messages/confirmations).
• This enhancement will enable customers to modify
  orders using a single SII message that performs
  the delete and reentry of the order.
• Purpose of the enhancement
• Technical tuning of Order Modification
• Reduction of interactive messages (send and
  acknowledge)
• Reduction in functional processing (e.g.
  validation against segment and period rules)
• Reduction in the number of Best Prices and
  Enhanced Best Prices generated by new messages
• Reduction in the number of messages to be stored

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Detailed ExplanationOrder Modification (Cont.)

• Enhancement detail
• Two new messages introduced
• Order modification message (5MO)
• Order modification acknowledgement (5M6)
• Modified orders will receive a new time stamp and
  this together with the price will determine a new
  price-time priority
• Can be used to change either
• Price
• Size (Volume)
• In addition, the following can be changed
  provided that either the price or the size is
  also modified
• Participant order reference (Trader and
  Institutional IDs)
• Time validity
• Date validity
• The existing Client Reference Modification on
  orders will remain the same without any changes
  (5MF)

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Current Order Modification
JSE SETS InfoWiz
5DS Delete Single Order Order Code 1
Order Code 1
5OE Order Deletion Order Code 1
5D2 Delete Ack1
5SO Single Order Deletion Order Code 1
Empty Book
Generic Unsolicited Ack.
5OO Order Details Order Code 2 Broadcast
Update Action A
5EO Enter Order HOC Blank
Empty Book
5E3 Order Ack. Order Code 2
Key
Order Code 2
Regulatory Message
Broadcast Message
Interactive Message
Unsolicited Message
JSE Regulatory Systems
BUA Broadcast Update Action HOC Hit Order Code
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New Order Mod - Size change
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New Order Mod Partial Match
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Detailed ExplanationAlphanumeric SEDOL codes

• Description of enhancement
• The existing SEDOL code is nearing its numeric
  limit and requires expansion. The current code
  structure of a unique 7 byte numeric code will
  therefore be redefined as a 7 byte alphanumeric
  code
• Purpose of the enhancement
• New alphanumeric format can generate
  approximately 6 billion extra codes
• Remains unique

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Detailed ExplanationAlphanumeric SEDOL codes
(Cont.)

• Enhancement detail
• New layout of the 7 digit alphanumeric SEDOL Code
  will be as follows
• 1 Alpha
• 2 Alphanumeric
• 3 Alphanumeric
• 4 Alphanumeric
• 5 Alphanumeric
• 6 Alphanumeric
• Numeric check digit
• Alpha, Alphanumeric and Numeric
• Alpha characters are B-Z excluding vowels
• Numeric characters are 0-9
• Alphanumeric characters are 0-9, B-Z excluding
  vowels
• No SEDOL code will be issued without an alpha
  first character
• Enhancement only effective in Fourth Quarter of
  2003

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Detailed ExplanationClosing Price Enhancements

• Description of enhancement
• Currently, if the closing price on Day 1 for a
  JSE SETS security is determined by the Volume
  Weighted Average Price (VWAP), and no trading
  occurs on Day 2, the closing price on Day 2 is
  set to the last Automated Trade (AT) rather than
  the Day 1 VWAP.
• Purpose of the enhancement
• Processing will be altered to ensure that in the
  above situation the Day 2 Closing price will be
  set to the Day 1 VWAP if the closing price on Day
  1 is a VWAP price.

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Detailed ExplanationTrade type validation

• Description of enhancement
• Currently any trade type can be captured against
  any segment as there is validation to reject
  these
• Trade types can now be restricted per segment,
  all trade reports submitted will therefore be
  validated against what trade types are allowed
  for that segment
• Purpose of the enhancement
• To prevent trade reports for invalid trade types
  per segment within a market. E.g. Only allow
  trade type NX in segments ZA11

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Detailed ExplanationTrade type validation (Cont.)

• Enhancement Detail
• Refer to following documentation in the JSE User
  Spec
• JSE Equities Market and Trading Functionality
  Overview User Specification Document for Trades
  allowed in Segments.
• Data Formats Advisory Codes for the Trade
  reporting validation Advisory Codes.

The following trade types will be allowed in the
JSE market segments
AS ASSET SWAP AT AUTOMATICALLY EXECUTED
TRADE BT JSE BLOCK TRADE CF CORPORATE FINANCE
TRADE CT CONTRA TRADE LT LATE TRADE (AFTER
HOURS TRADE) NX NAMIBIA TRADE 1 OD OPTION
DELTA
OP OFF ORDER BOOK PRINCIPAL OX OPTION
EXERCISED PC PREVIOUS DAY CONTRA PF
PORTFOLIO TRADE TX TRADE OPTION EXERCISED UT
ORDER BASED UNCROSSING TRADE WX WARRANT
EXERCISED
1 The NX trade type is only allowed in ZA11 and
additionally in ZA21 and ZA22 in CDS
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Detailed ExplanationInstrument effective dates

• Description of enhancement
• Facilitate capture of instrument reference data
  with a future effective date in segment setting
• Purpose of the enhancement
• To allow for reference data loadings prior to
  their effective date. (currently can only capture
  the night before effective)
• Enhancement Detail
• No message layouts impacted, but front-ends to
  handle future dated reference data records
  published
• 50B Tradable Instrument Effective Date field
  populated
• Refer to guidance note for detailed examples

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Detailed ExplanationOption Delta Trade Type

• Description of enhancement
• Addition of a new Trade Type (OD) to the JSE SETS
  and InfoWiz systems
• Purpose of the enhancement
• The Option Delta trade type will enable the
  reporting of broker-to-broker transactions, which
  involves the transfer of the delta hedge from one
  broking member to another
• Definition
• An Option Delta trade type will be used for
  transactions where a broking member (equities)
  trades as a principal with another broking member
  (equities) in a single security where the
  transaction transfers the delta hedge from one
  broking member (equities) to another broking
  member (equities) in respect of an option
  transaction which is required to be reported to
  either the JSE derivative automated trading
  system or the derivative trade recording system
  on the same day as the delta trade.

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Detailed ExplanationOption Delta Trade Type
(Cont.)

• Enhancement Detail
• Included in the overall JSE market statistics
  figures on day reported
• Not guaranteed by the JSE (ring fenced as with
  all reported trades)
• No special trade size restrictions (unlike BT and
  OP trades)
• Will not affect the closing price (as with other
  reported trades)
• Will not form part of the JSE Index calculations
  as with all other existing reported trades
• Refer to JSE user guidance note for more detailed
  explanations and revised rules
• Trade Type -gt OD
• Dealing Capacity -gt P-P
• No. of Firms -gt 2 Only
• Dual Sided
• No publication delay
• No size delay
• Manual trade reporting
• Allowed in segments -gt ZA01, ZA02, ZA03 and ZA04

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Testing and Conformance

• JSE CDS and Conformance services were enhanced on
  2 December 2002 to accommodate new functionality
• Successful conformance test required prior to
  enablement on production
• 2 free conformance slots per software provider
• Conformance tests must be completed by 21
  February 2003
• 3 Conformance slots per week (Tuesday, Wednesday
  and Thursday) starting at 11h00 SAST
• JSE test scripts will be provided for users to
  follow in CDS
• JSE will be monitoring user testing in the CDS
  environment
• No production Dress Rehearsals planned for
  Release 6.1 Strongly recommend participation in
  the Participant Test Weekend (PTW) on 1 March
  2003.

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Conformance Test Script Changes
The following two Trading Conformance test cycles
have been updated for order modification

• The relevant sections of the three test documents
  that refer to order modification are listed
  below
• STS101 Volume 3 Section 1, cycles T01, T21
  Section 2, cycles T01, T21
• STS101 Volume 5a Cycles T01, T21
• STS101 Volume 5b Cycles T01, T21.

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Implementation Timeline
November 2002
December 2002
January 2003
February 2003
March 2003
1/2
2/12
15/11
22/2
Customer Test
Market Notice
Cutover
Production
Go-Live
Service Available
Spec Published
Rehearsal 1
Cutover
15/2
12/12
Cutover
User Brief 1
User Brief 2
Rehearsal 2
JSE Design Phase
JSE Jan Release
JSE Mar Release
JSE Development Phase
JSE Integration Testing Phase
JSE Deployment Phase
Market Design Phase
Market Development Phase
Market Testing Phase
Market Rollout Phase
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General

• Release 6.1
• Next user Brief will be January 2003
• Publication of Updated JSE Conformance Scripts
• Publication of CDS Test Scripts
• JSE Release Implementation Strategy
• Introduction of a new segment/sector for
  Warrants, IPs and TFs with JSE Jan Release
• Year 2003 Participant Test Week ends
• 25 January
• 1 March
• 5 April
• 10 May
• 14 June
• 12 July
• 23 August
• 27 September
• 1 November
• 6 December

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Questions
Questions should be addressed to
tradingservices_at_jse.co.za