INTEGRATED TRADING AND CLEARING (ITAC)

Transcription

1 INTEGRATED TRADING AND CLEARING (ITAC) Instrument Reference Data Quick Reference v1.6.docx 26/9/2017 Page 1

2 Table of Contents 1. DOCUMENT PURPOSE DOCUMENT INFORMATION REVISION HISTORY CONTACT DETAILS INSTRUMENTS IDENTIFIERS CONTRACT CODE ISIN INSTRUMENT ID INSTRUMENT TYPES FULL LIST OF INSTRUMENT TYPES CONTRACT CODES PER INSTRUMENT TYPE OLD TO NEW INSTRUMENT TYPES MAPPING /09/17 Page 2

3 1. Document Purpose The Integrated Trading and Clearing (ITaC) project involves the migration of the Equity Derivatives and Currency Derivatives markets to the new trading, market data and post-trade technology of the JSE. This document explains the Instrument reference data standards and changes being introduced as part of the project. This document should be read in conjunction with Volume 09D JSE Reference Data Management 2. Document Information Drafted By Status JSE Information Services Final Version 1.5 Release Date 30 August Revision History Date Version Description March Initial document draft and release 12 April Updated with the full list of ITaC Instrument Types and mapping to csv files 21 April Added examples of all possible Contract Codes for each Instrument Type 8 May Change made to the Contract Code convention for JSE Index and s 17 May Added a table to explain the Contract code defaults 30 August Correction made on the instrument types created as a result of a Corporate Action. Single Stocks and International Equities on a basket underlying are created as a result of an Unbundling or Partial Conversion. Also corrected Contract Code lengths where the example did not correspond to the length specified. The examples are correct. v1.6.docx 26/9/2017 Page 3

4 18 September Updated section 6.2 to show the Short Instrument type code for the Instrument type names so that the Non live Market data reports can clearly associate the short codes in the reports with the actual Instrument name Updated CONVENTION - STRUCTURED PRODUCTS OPTION to show the convention for Delta s on Structured Products. 4. Contact Details JSE Limited One Exchange Square Gwen Lane, Sandown South Africa Tel: Client Services Centre (CSC) CustomerSupport@jse.co.za Tel: /09/17 Page 4

5 5. Instruments Identifiers There are three unique instrument identifiers for derivative instruments Contract Code International Securities Identification Number (ISIN) Instrument ID 5.1 Contract Code The new Contract Code in the ITaC solutions is an alphanumeric field (A-Z, a-z, 0-9) which is derived based on certain attributes of the system(s). This code is replacing the existing four characters Contract Code of the current legacy Derivatives system. A mapping will be provided between the old and the new Contract Codes for each instrument. The purpose of this field is to provide a clear and user friendly description of the instrument. Examples of a contract code are: 01DEC15 AGL PHY ANY DN 01DEC15 AGL PHY ANY 23.99C 17DEC15 GOOGL CSH 01DEC15 GOOGL CSH QUANTO 23.99C 17DEC15 ALSI MINI 01DEC15 USDZAR ANYDAY 17DEC15 USDZAR QUANTO C 15JUN17 USDZAR The following conventions are used to derive the Contract Code for the various instrument types: 26/09/17 Page 5

6 5.1.1 Equity Derivatives in ITaC s CONVENTION - FUTURE - EQUITY DERIVATIVES (e.g. 17DEC15 GOOGL CSH ANY DN MAXI) Components of Contract Max Values Example/Acronym Code Characters Expiry Date '17DEC15 7 Underlying Alpha Code Settlement type Cash Physical AGL ALSI GOOGL GOOGLQ CSH PHY Anyday Expiry (Note this is only displayed for Anyday instruments) Anyday ANY Detail (Note this is only displayed if applicable) Local Deposit JSE Code (Only for CFD) SAFEY/RODI SAFEY/RODI Contract Size Type (Note if the Contract Size Type is Base, nothing is displayed) 6 3 Dividend Neutral DN Quanto QUANTO Dividend Neutral Quanto DN QUA 6 CFD CFD Delta DEL The max characters is variable and will depend on the length of the JSE Code SABOR SABOR 5 captured Maxi MAXI Mini MINI Corporate 4 Action Odd Contract Size CA<#> MAX LENGTH /09/17 Page 6

7 s CONVENTION - OPTION - EQUITY DERIVATIVES (e.g. 01DEC15 GOOGL CSH DN QUA MAXI C) Components of Contract Max Values Example/Acronym Code Characters Expiry Date 17DEC15 7 Underlying Alpha Code AGL ALSI GOOGL GOOGLQ 6 Settlement type Cash CSH Physical PHY 3 Anyday Expiry (Note this is only displayed for Anyday instruments) Anyday ANY 3 Dividend Neutral DN Quanto QUANTO Detail (Note this is only Dividend Neutral displayed if applicable) 6 Quanto DN QUA CFD CFD Delta DEL Maxi MAXI Contract Size Type (Note if Mini MINI the Contract Size Type is Base, nothing is displayed) Corporate Action Odd 4 Contract Size CA<#> Strike Price Type Call C Put P 1 MAX LENGTH 49 26/09/17 Page 7

8 Structured Products CONVENTION - STRUCTURED PRODUCTS FUTURE (e.g. 19DEC15 GOOGL EXF_195) Components of Contract Max Values Example/Acronym Code Characters Expiry Date '17DEC15 7 Underlying Alpha Code Settlement type Detail (Note this is only displayed if applicable) Incremental Number AGL ALSI GOOGL GOOGLQ BSK001 6 AUDZAR USDZAR CADZAR CADCNH Cash CSH Physical PHY 3 Variance VRF Exotic EXO 3 Exotic EXF "_"Incremental Number _195 4 MAX LENGTH 27 26/09/17 Page 8

9 CONVENTION - STRUCTURED PRODUCTS OPTION (e.g. 01DEC15 BSK001 CSH C) Components of Contract Max Values Example/Acronym Code Characters Expiry Date '17DEC15 7 Underlying Alpha Code Settlement type Cash Physical AGL ALSI GOOGL GOOGLQ BSK001 AUDZAR USDZAR CADZAR CADCNH CSH PHY 6 3 Detail (Note this is only 3 Exotic EXF displayed if applicable) Delta DEL Incremental Number "_"Incremental Number _195 4 Strike Price Type Call C Put P 1 MAX LENGTH 42 26/09/17 Page 9

10 5.1.2 Currency Derivatives s CONVENTION - FUTURE - CURRENCY DERIVATIVES (e.g. 17DEC15 AUDZAR QUANTO) Components of Contract Max Values Example/Acronym Code Characters Expiry Date '17DEC15 7 Underlying Alpha Code AUDZAR USDZAR CADZAR CADCNH Anyday Expiry (Note this is only displayed for Anyday instruments) Anyday ANYDAY Detail (Note this is only displayed if applicable) Quanto Delta QUANTO DEL 6 6 Contract Size Type (Note if the Contract Size Type is 4 Base, nothing is displayed) Maxi MAXI MAX LENGTH /09/17 Page 10

11 s CONVENTION - OPTION - CURRENCY DERIVATIVES (e.g. 01DEC15 AUDZAR QUANTO C) Components of Contract Code Values Example/Acronym Max Characters Expiry Date '17DEC15 7 Underlying Alpha Code AUDZAR USDZAR CADZAR CADCNH 6 Anyday Expiry (Note this is only displayed for Anyday instruments) Anyday ANYDAY 6 Detail Quanto QUANTO (Note this is only 6 displayed if applicable) Delta DEL Contract Size Type (Note if the Contract Size Type is 4 Base, nothing is displayed) Maxi MAXI Strike Price Type Call C Put P 1 MAX LENGTH 48 26/09/17 Page 11

12 Structured Products CONVENTION - STRUCTURED PRODUCTS FUTURE (e.g. 19DEC15 GOOGL EXF_195) Components of Contract Code Values Example/Acronym Max Characters Expiry Date '17DEC15 7 Underlying Alpha Code Settlement type Detail (Note this is only displayed if applicable) Incremental Number AGL ALSI GOOGL GOOGLQ BSK001 6 AUDZAR USDZAR CADZAR CADCNH Cash CSH Physical PHY 3 Variance VRF Exotic EXO 3 Exotic EXF "_"Incremental Number _195 4 MAX LENGTH 27 26/09/17 Page 12

13 CONVENTION - STRUCTURED PRODUCTS OPTION (e.g. 01DEC15 BSK001 CSH C) Components of Contract Code Values Example/Acronym Max Characters Expiry Date '17DEC15 7 Underlying Alpha Code AGL ALSI GOOGL GOOGLQ BSK001 AUDZAR USDZAR CADZAR CADCNH 6 Settlement type Cash CSH Physical PHY 3 Detail (Note this is only 3 displayed if applicable) Exotic EXF Incremental Number "_"Incremental Number _195 4 Strike Price Type Call C Put P 1 MAX LENGTH 42 26/09/17 Page 13

14 5.1.3 Rules The following table explains how to interpret the rules if certain values do not appear in the Contract Code. This applies to all the above Contract Code conventions Market Number 1 EDM 2 FXM Underlying Type 1 JSE Listed Equity Underlying Alpha Code Mandatory Settlement Type blank CSH PHY If blank, assume CSH 1 JSE Index Mandatory If blank, assume CSH 1 International Equity 1 International Index Mandatory Mandatory If blank, assume CSH If blank, assume CSH 2 FX Pair Mandatory If blank, assume CSH 2 FX Index Mandatory If blank, assume CSH 1 or 2 Basket Mandatory If blank, assume CSH AnyDay blank ANY If blank, Standard expiry applies If blank, Standard expiry applies If blank, Standard expiry applies except for Quanto, which can have any expiry date If blank, Standard expiry applies except for Quanto, which can have any expiry date If blank, Standard expiry applies If blank, Standard expiry applies Structured products can have any expiry date, Additional Features blank DN QUANTO DN QUA If blank, no additional features apply If blank, no additional features apply If blank, no additional features apply If blank, no additional features apply If blank, no additional features apply If blank, no additional features apply If blank, no additional features apply Contract Size blank MAXI MINI SUPER If blank, assume BASE If blank, assume BASE If blank, assume BASE If blank, assume BASE If blank, assume BASE If blank, assume BASE If blank, assume BASE 26/09/17 Page 14

15 although they are not called Anydays. No rule can be built for this. 26/09/17 Page 15

16 5.2 ISIN This is the International Security Identification Number that is assigned to each tradable instrument. This is an ISO standard for the unique identification of instruments worldwide. The following convention is applied for derivative instruments in the Equity Derivatives market: s: ZAD s: ZAD<*> The following convention is applied for derivative instruments in the Currency Derivatives market: s: ZAF s: ZAF<*> * The fourth character for options will start with A and when all the numbers are used up, will increment to B, then C etc. This is to cater for the large number of options that are created over time. 5.3 Instrument ID Each instrument also has a unique number assigned to it. This number is unique across all the instruments in all the markets at the JSE. 26/09/17 Page 16

17 6. Instrument Types There are some changes to Instrument types introduced by ITaC. Some of the principle changes include the following: a. The correct Underlying names are used for all contracts e.g 17DEC15 ALMI will now be 17DEC15 ALSI MINI b. Many instrument types that are currently classified as Cando s will now have standardised instrument types and will not be part of Structured Products e.g. Anydays and Quantos c. Dividend Neutral Changes In the 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 (F) in equal amounts, for example: a. Member A Buy Jun17 AGLN i. Member A long Jun17 AGLQ ii. Member A long Jun17 AGLF As the Dividend on AGL goes Ex on the underlying market the JSE processes a Journal transaction to accommodate the Dividend going EX on the Dividend. In the new ITaC implementation the Dividend will no longer exist as the Dividend Neutral contract will now be one contract and the Journal transaction will be processed on this contract. The main reason for the removal of the Dividend is because when some Members roll over their SSF contracts to the next expiry they do not always roll the Dividend 6.1 Full list of Instrument Types Below is the complete list of Instrument types that are in scope for ITaC Project 1b (Equity Derivatives) and ITaC Project 1c (Currency Derivatives). All instrument types included in this table below will be effective and valid from the go-live of ITaC. i.e. they will be catered for in the ITaC functionality however may not all have an existing listing in the production environment on go-live, but can be introduced shortly thereafter. The client instrument reference data csv files contain at least one record of every instrument type below except for user-created instruments as these are not generated by the JSE. v1.6.docx 26/9/2017 Page 17

18 6.1.1 Equity Derivative Instrument Types Underlying Type Derivatives Tradable Instrument type User Created Instrument Only i.e. cannot be generated by JSE Client Reference data (csv) file to source the data JSE Listed Equity Single Stock JSE Listed Equity Single Stock Instruments JSE Listed Equity Single Stock AnyDay JSE Listed Equity Single Stock AnyDay Instruments JSE Listed Equity Single Stock Dividend Neutral JSE Listed Equity Single Stock Dividend Neutral AnyDay JSE Listed Equity CFD JSE Index Index JSE Index Index Instruments JSE Index Index AnyDay JSE Index Index AnyDay Instruments AnyDay Dividend Neutral Dividend Neutral AnyDay Quanto Quanto Instruments Quanto Dividend Neutral Instruments 26/09/17 Page 18

19 Underlying Type JSE Listed Equity JSE Listed Equity JSE Listed Equity JSE Listed Equity JSE Index Derivatives Tradable Instrument type AnyDay AnyDay Quanto Quanto Single Stock Inverse Single Stock Dividend Neutral Inverse Single Stock Delta Single Stock Anyday Delta Index Inverse Calendar Spread User Created Instrument Only i.e. cannot be generated by JSE Yes Yes JSE Index Index Delta Yes JSE Index Index Anyday Delta Inverse Calendar Spread Dividend Neutral Yes Client Reference data (csv) file to source the data Instruments Instruments Instruments Inverse Instruments Inverse Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta Instruments Inverse Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta Instruments Inverse Instruments Inverse 26/09/17 Page 19

20 Underlying Type Derivatives Tradable Instrument type Inverse Calendar Spread Quanto Delta Inverse Calendar Spread Delta Anyday Delta Quanto Delta User Created Instrument Only i.e. cannot be generated by JSE Yes Yes Yes Yes Client Reference data (csv) file to source the data Instruments Call Delta OR Instruments Put Delta Instruments Inverse Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta Basket Basket Basket on Basket Instruments Basket Exotic Basket Exotic JSE Equity Exotic JSE Index Exotic Exotic Single Stock Single Stock Dividend Neutral 26/09/17 Page 20

21 Underlying Type result of a an Unbundling or Partial Conversion) Derivatives Tradable Instrument type Single Stock AnyDay Single Stock AnyDay Single Stock Single Stock Dividend Neutral AnyDay Single Stock AnyDay Single Stock Inverse Single Stock Dividend Neutral Inverse Single Stock Delta Single Stock Anyday Delta AnyDay User Created Instrument Only i.e. cannot be generated by JSE Yes Yes Client Reference data (csv) file to source the data Instruments Instruments Instruments Inverse Instruments Inverse Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta 26/09/17 Page 21

22 Underlying Type Derivatives Tradable Instrument type Dividend Neutral Dividend Neutral AnyDay Quanto Dividend Neutral Quanto Quanto Inverse Calendar Spread Dividend Neutral Inverse Calendar Spread Quanto Delta User Created Instrument Only i.e. cannot be generated by JSE Yes Yes Client Reference data (csv) file to source the data Instruments Instruments Inverse Instruments Call Delta OR Instruments Put Delta Instruments Call Delta OR Instruments Put Delta 26/09/17 Page 22

23 6.1.2 Currency Derivative Instrument Types Underlying Type Tradable Instrument type User Created Instrument Only i.e. cannot be generated by JSE Client Reference data (csv) file to source the data Forex Pair Forex Forex Pair Forex Instruments Forex Pair Forex AnyDay Forex Pair Forex AnyDay Instruments Forex Pair Quanto Forex Forex Pair Quanto Forex Instruments Forex Pair Quanto Forex AnyDay Forex Pair Quanto Forex AnyDay Instruments Forex Pair Inverted Currency Forex Pair Inverted Currency Instruments Forex Pair FWDFWDFX Instruments FWDFWD Forex Index Forex Index Forex Pair Exotic Forex Pair Forex Pair Inverse on Forex s Delta on Forex s and s Yes Instruments Inverse Instruments Call Delta OR Instruments Put Delta 26/09/17 Page 23

24 6.2 Contract Codes per Instrument Type The below table will show all the variations of Contract Codes for each Instrument Type described in section 6.1. Please note that for each instrument type only one underlying instrument is shown in the example, e.g. AGL for Single Stocks, ALSI for Index derivatives. This value will be different for each individual underlying instrument. Please also note that MINI or MAXI contracts will only be applicable to Instrument types where the Underlying Type is JSE Index or Forex Pair as indicated below, and it will not apply to Anydays. For derivatives with a JSE Index as the underlying instrument, the old Safex code will be used to indicate the underlying, instead of the underlying itself. For example, the contract code will show ALMI and not ALSI for the ALSI Mini contracts, even though the ALSI is the actual underlying instrument. This is to avoid duplication in scenarios where the same underlying is used for a different type of product e.g. the standard ALSI and the ALSI TRI. This will not impact the structure of the Contract code; only the content of the Underlying portion will be different Equity Derivative Instrument Types Underlying Type Derivatives Tradable Instrument Types Example Contract Codes Instrument Type Code JSE Listed Equity Single Stock 15DEC17 AGL PHY SSF1 JSE Listed Equity Single Stock 15DEC17 AGL PHY SSO C JSE Listed Equity Single Stock AnyDay 01DEC17 AGL PHY ANY SSAF1 JSE Listed Equity Single Stock AnyDay 01DEC17 AGL PHY ANY SSAO C JSE Listed Equity Single Stock Dividend Neutral SSDN1 15DEC17 AGL PHY DN JSE Listed Equity Single Stock Dividend Neutral 01DEC17 AGL PHY ANY SSDN3 AnyDay DN JSE Listed Equity CFD 15MAR18 AGL CSH CFD CFD SAFEY JSE Index Index 15DEC17 ALSI IF 15DEC17 ALMI MINI 15DEC17 ALSI 23.99P IO JSE Index Index 15DEC17 ALMI MINI 23.99P JSE Index Index AnyDay 01DEC17 ALSX ANY IAF JSE Index Index AnyDay 01DEC17 ALSX ANY IAO 23.99P 26/09/17 Page 24

25 15DEC17 GOOGL CSH IEF1 AnyDay 01DEC17 GOOGL CSH IEAF1 ANY Dividend 15DEC17 GOOGL CSH IEDN1 Neutral DN Dividend 01DEC17 GOOGL CSH IEDN3 Neutral AnyDay ANY DN 01DEC17 GOOGLQ IEQF1 CSH QUANTO Quanto *Note - For Quantos the underlying code will be suffixed with a 'Q' Quanto Quanto Dividend Neutral 01DEC17 GOOGLQ CSH QUANTO 23.99C *Note - For Quantos the underlying code will be suffixed with a 'Q' 01DEC17 GOOGL CSH DN QUA *Note - For Quantos the underlying code will be suffixed with a 'Q' IEQ1 IEQD1 15DEC17 GDOW IIF 15DEC17 GDOW IIO 23.99C AnyDay IIAF 01DEC17 GDOW ANY AnyDay 01DEC17 GDOW ANY IIAO 23.99C 01DEC17 GDOWQ IIQF QUANTO Quanto *Note - For Quantos the underlying code will be suffixed with a 'Q' Quanto 01DEC17 GDOWQ QUANTO 23.99C *Note - For Quantos the underlying code will be suffixed with a 'Q' IIQO JSE Listed Equity Single Stock Inverse Calendar ICS1 26/09/17 Page 25

26 JSE Listed Equity JSE Listed Equity JSE Listed Equity JSE Index JSE Index JSE Index Basket Basket Basket Basket Basket Spread Single Stock Dividend Neutral Inverse Single Stock Delta Single Stock Anyday Delta Index Inverse Index Delta Index Anyday Delta Inverse Dividend Neutral Inverse Quanto Delta Inverse Delta Anyday Delta Quanto Delta Basket on Basket Delta on Basket Exotic Exotic AGL CSH AGL CSH DN 15DEC17 AGL PHY DEL 3.97P 15DEC17 AGL PHY ANY DEL 18.9P ALSI CSH ALSI CSH MINI 15MAR18 ALSI CSH DEL 46183P 15MAR18 ALSI CSH DEL MINI 46183P 30JUN17 ALSI CSH ANY DEL 156C GOOGL CSH GOOGL CSH DN 30JUN17 GOOGLQ CSH QUANTO DEL 25.57P GDOW CSH 15DEC17 GDOW CSH DEL 23.99P 30JUN17 GDOW CSH ANY DEL C 30JUN17 GDOWQ CSH QUANTO DEL P 15DEC17 BSK001 CSH BSF_196 15DEC17 BSK001 CSH C 15DEC17 BSK001 CSH DEL C 17DEC15 BSK001 CSH EXF_195 15DEC17 BSK001 CSH EXO_195 ICS2 DO1 DO2 ICS3 DO5 DO6 ICS5 ICS6 DO12 ICS9 DO14 DO15 DO18 BFF1 BFO1 BSKDO1 EFF1 EOF1B2 JSE Equity Exotic 15DEC17 AGL CSH EOF2 26/09/17 Page 26

27 JSE Index W Exotic Exotic Single Stock Single Stock Dividend Neutral Single Stock AnyDay Single Stock AnyDay Single Stock Single Stock Dividend Neutral AnyDay Single Stock AnyDay Single Stock Inverse Calendar Spread Single Stock Dividend Neutral Inverse Single Stock Delta Single Stock Anyday Delta AnyDay EXO_195 17DEC15 ALSI CSH EXO_195 17DEC15 GDOW CSH EXO_195 15DEC17 BSK002 PHY 15DEC17 BSK002 PHY DN 01DEC17 BSK002 PHY ANY 01DEC17 BSK002 PHY ANY 23.99C 15DEC17 AGL PHY 23.99C 01DEC17 AGL PHY ANY DN 15DEC17 AGL PHY DN BSK002 CSH BSK002 CSH DN 15DEC17 BSK002 PHY DEL 3.97P 15DEC17 BSK002 PHY ANY DEL 18.9P 15DEC17 BSK003 CSH 01DEC17 BSK002 CSH ANY EOF3 EOF5 SSF2 SSDN5 SSAF2 SSAO2 SSO2 SSDN7 ICS20 ICS21 SSDO2 SSADO2 IEF2 IEAF2 Dividend 15DEC17 BSK003 CSH IEDN5 26/09/17 Page 27

28 Neutral Dividend Neutral AnyDay Quanto Dividend Neutral Quanto Quanto Inverse Dividend Neutral Inverse Quanto Delta DN 01DEC17 BSK003 CSH ANY DN 01DEC17 BSK003 CSH DN QUA 01DEC17 BSK003 CSH QUANTO 01DEC17 BSK003 CSH QUANTO 23.99C BSK003 CSH BSK003 CSH DN 30JUN17 BSK003 CSH QUANTO DEL 25.57P IEDN7 IEQD3 IEQF2 IEQ2 ICS18 ICS19 IQEDO2 26/09/17 Page 28

29 6.2.2 Currency Derivative Instrument Types Underlying Type Derivatives Tradable Instrument type Example Contract Codes Instrument Type Code 15DEC17 EURZAR FF1 Forex Pair Forex 15DEC17 EURZAR MAXI 15DEC17 EURZAR FO Forex Pair Forex P 15DEC17 EURZAR MAXI P Forex Pair Forex AnyDay 31MAY17 EURZAR FAF ANYDAY Forex Pair Forex AnyDay 31MAY17 EURZAR FAO ANYDAY P 15DEC17 EURUSD QFF Forex Pair Quanto Forex QUANTO 15DEC17 EURUSD QUANTO MAXI 15DEC17 EURUSD QFO QUANTO P Forex Pair Quanto Forex 15DEC17 EURUSD QUANTO MAXI P Forex Pair Quanto Forex AnyDay 31MAY17 EURUSD QFAF ANYDAY QUANTO 31MAY17 EURUSD QFAO Forex Pair Quanto Forex AnyDay ANYDAY QUANTO P 18SEP17 ZARJPY ICF Forex Pair Inverted Currency 18SEP17 ZARJPY MAXI 18SEP17 ZARJPY ICO Forex Pair Inverted Currency C 18SEP17 ZARJPY MAXI C Forex Pair FWDFWDFX 28JUL17/30OCT17 FF2 USDZAR 3X6 Forex Index Forex Index 15DEC17 RAIN FIF Forex Pair Exotic 30JUN17 USDZAR EOF20 CSH EXO_ZAU1 26/09/17 Page 29

30 Forex Pair Forex Index Forex Pair Forex Pair Forex Pair Forex Pair Forex Pair Forex Pair Forex Pair Forex Inverse Forex Index Inverse Calendar Spread Quanto Forex Inverse Calendar Spread Inverted Currency Inverse Calendar Spread Forex Delta Forex Anyday Delta Inverted Currency Delta Quanto Forex Delta Quanto Forex AnyDay Delta GBPZAR GBPZAR MAXI RAIN EURUSD QUANTO EURUSD QUANTO MAXI ZARJPY ZARJPY MAXI 15DEC17 USDZAR QUANTO DEL P 15DEC17 USDZAR QUANTO DEL MAXI P 30MAY17 USDZAR ANYDAY DEL P 18SEP17 ZARJPY DEL P 18SEP17 ZARJPY DEL MAXI P 15DEC17 EURUSD QUANTO DEL P 15DEC17 EURUSD QUANTO DEL MAXI P 31MAY17 EURUSD ANYDAY QUANTO DEL P ICS13 ICS16 ICS14 ICS15 DO20 DO21 DO24 DO22 DO23 26/09/17 Page 30

31 6.3 Old to New Instrument Types mapping The below table describes how the existing instrument types will be converted into the ITaC system, and how those types will be loaded in the future. Nuclears Instrument type Equity Derivative Instruments on Instrument Type Code=SSF on Instrument Type Code=SSF on Instrument Type Code=SSF MDS Instrument Type Single Stock Single Stock Single Stock Single Stock Inverse Delta on Instrument Type Code=SSF on Instrument Type Code=Divneut on Instrument Type Code=DIVF on Instrument Type Code=Divneut on Instrument Type Code=DIVF on Instrument Type Code=CANDO on Instrument Type Code=CANDO Delta on Instrument Type Code=CANDO Not existing in Nuclears on Instrument Type Code=INDEX on Instrument Type Code=INDEX on Instrument Type Code=INDEX Delta on Instrument Type Code=INDEX on Instrument Type Code=CANDO on Instrument Type Code=CANDO Delta on Instrument Type Code=CANDO Single Stock Delta Single Stock Dividend Neutral Single Stock Dividend Neutral Inverse Calendar Spread Single Stock Anyday Single Stock Anyday Single Stock Anyday Delta Single Stock Dividend Neutral Anyday Index Index Index Index Inverse Index Delta Index Anyday Index Anyday Index Anyday Delta on Instrument Type Code=IDXFUT 26/09/17 Page 31

32 Nuclears Instrument type on Instrument Type Code=IDXFUT Not Existing Not Existing Not Existing Not Existing on Instrument Type Code=CANDO on Instrument Type Code=CANDO MDS Instrument Type Inverse Anyday Dividend Neutral Dividend Neutral Inverse Dividend Neutral Anyday Quanto Quanto Delta on Instrument Type Code=CANDO Not Existing on Instrument Type Code=CANDO on Instrument Type Code=CANDO Quanto Delta Quanto Dividend Neutral on Instrument Type Code=CANDO Delta on Instrument Type Code=CANDO Inverse Delta Not Existing Anyday Not Existing Anyday Not Existing Anyday Delta Not Existing Quanto Not Existing Quanto Not Existing Quanto Delta CFD on Instrument Type Code=ECFD CFD Structure Products on Instrument Type Code=CANDO Basket on Instrument Type Code=CANDO on Basket on Instrument Type Code=CANDO Exotic on Instrument Type Code=CANDO Exotic Currency Derivative Instruments Forex 26/09/17 Page 32

33 Nuclears Instrument type on Instrument Type Code=FOREX on Instrument Type Code=FOREX on Instrument Type Code=FOREX Delta on Instrument Type Code=FOREX MDS Instrument Type Forex Forex Forex Inverse Forex Delta on Instrument Type Code=ANYDAY on Instrument Type Code=ANYDAY Delta on Instrument Type Code=ANYDAY Not existing Not existing on Instrument Type Code=FOREX on Instrument Type Code=FOREX on Instrument Type Code=FOREX Not existing Not existing on Instrument Type Code=FOREX on Instrument Type Code=FOREX on Instrument Type Code=FOREX Forex Anyday Forex Anyday Forex Anyday Delta Forex Index Forex Index Forex Index Inverse Quanto Quanto Forex Quanto Forex Quanto Forex Inverse Quanto Forex Anyday Quanto Forex Anyday Inverted Currency Inverted Currency Inverted Currency Inverted Currency Inverse Delta on Instrument Type Code=FOREX Inverted Currency Delta FwdFwdFX on Instrument Type Code=FWDFWD FWDFWDFX Structure Products on Instrument Type Code=CANDO Exotic 26/09/17 Page 33