JSE Market Communication Session. 8 June 2016

Transcription

1 JSE Market Communication Session 8 June 2016

2 Agenda Market Activity Update Services Feedback Integrated Trading and Clearing (ITaC) update T+3 update Debt Instrument System Questions 2

3 Market Activity Update Tshwantsho Matsena

4 Market Performance Q Trades Value Volume Equities 17.4% 27.7% 25.1% Equity Derivatives 13.8% 14.6% 147.8% Commodity Derivatives 5.1% 64.8% 0.6% Interest Rate Derivatives 15.8% 14.9% 37.7% Currency Derivatives 14.7% 33.1%

5 Analysis Basis of the analysis Analysis was conducted 495 days post colo go live 495 days preceding the implementation were used for comparison purposes Data set 1 & 2 were included to determine any seasonal trend Analysis was done for the following periods SET /05/30 to 2010/05/21 Pre colocation SET /05/24 to 2012/05/15 Pre colocation SET /05/16 to 2014/05/09 Pre colocation SET /05/12 to 2016/04/29 Post Colocation Over the period under consideration, the JSE implemented two new pricing methodologies which impacted clients trading strategies The trends identified post the implementation of colocation may be a result of a combination of factors

6 Volume Weighted Relative Spread FTSE/JSE Top 40 Index Spreads across the Top 40 have narrowed

7 Volume Weighted Relative Spread FTSE/JSE All Share Index Spreads across the All Share have also narrowed

8 Average Value and Volume per Order at BBBO FTSE/JSE Top 40 Index Average value per side BBBO Average volume per side BBBO Average value and volume at Top of Book has increased since colocation

9 Average Transaction size of Automated executions FTSE/JSE Top 40 Average transaction sizes have decreased

10 % Value Traded Since Colocation Go Live Colocation value traded increased from 20% to 32%

11 Services Feedback Recent Incidents and Services Availability Tshwantsho Matsena

12 Equity Market Publishing of real time indices data (FTSE) Description Client Services impacted Mitigations On the 5 & 6 May 2016 the JSE experienced a network disruption from a 3 rd party network service provider. This impacted FTSE connectivity to the JSE and hence impacted the real time dissemination of indices data to clients. Equity Market clients Disruptions to the distribution of the real time indices service, (FTSE) The network service provider implemented remedial network configurations to minimise the impact of future disruptions The network service provider has indicated to the JSE that they will be upgrading their network infrastructure to next-gen technology 12

13 Commodity Derivatives & Global Market Market Halt Description Client Services impacted Mitigations CDM and Global Clients Markets halted from 09h15 to 10h40 On 18 May 2016, the Commodity Derivatives Market (CDM) and Global Market were halted as a result of an internal business process error and unexpected trading system behaviour. Clearing Members Delay in EOD runs and balancing activities End of Day Dissemination Agricultural Derivatives (AD) end of day dissemination product delayed by 2 hours Equity Derivatives (ED) end of day dissemination product delayed by 24 minutes Business process reviewed and amended accordingly Discussions in progress with our trading software provider 13

14 Equity Market End of day Equities & Indices data dissemination Description Client Services impacted Mitigations Processing of Lonmin Plc restated headline earnings per share data that resulted in an impact to; Equity and Indices statistical values Associated data products Earning yield for the All Share Index End of Day Dissemination Re-publishing of the E, EE, I and SI (equity and indices) end of day data products for the period 18 May to 27 May JSE Market clients Impact on the Earnings Yield (EY) for the All Share Index (volatility) JSE in-depth investigation currently underway 14

15 Market availability 15

16 Market availability 16

17 Market availability 17

18 Integrated Trading and Clearing (ITaC) update Tshwantsho Matsena 18

19 ITaC High Level Timeline A reminder of the ITaC Project high level timeline ITaC Project 1a - Equity Market upgrade and enhancements scheduled for go live 26 September 2016 ITaC Project 1b - Equity Derivatives migration to new trading and clearing systems go live during Q2/Q ITaC Project 1c - Currency Derivatives migration to new trading and clearing systems will follow approximately 2 months after ITaC Project 1b 19

20 ITaC Project 1a Status Project 1a Equity market upgrade and enhancements is on track for go-live 26 September 2016 One on one awareness checkpoints are in progress with clients including international clients 40% of the one on one sessions with members have been completed and 20% of one on one sessions with software providers have been completed Information subscribers sessions are still to be scheduled Services documentation (specs) issued to clients in Feb 2016 Customer Test Service (CTS) launched in April 2016 and new Equity Market functionality changes were deployed to CTS 13 May 2016 JSE strongly advised that clients impacted by Project 1a should commence functionality testing and conformance as soon as possible New Equity Market enhancement (EME) functionality now available via FIX trading gateway and will go live within the current project 1a timelines (i.e. will go live at the same time as the native trading GW changes) FIX trading gateway EME changes were deployed to the CTS environment over the past weekend and are now available for testing 20

21 ITaC Project 1a Status Project 1a Additional documentation has been updated to include the Equity Market enhancement changes being introduced with ITaC Project 1a JSE Equity Market Enhancements 2016 Volume 00 Trading and Information Overview Volume 201 Guide to JSE Trading and Information Conformance Volume 202 Equity Market Conformance Test Report MIT Fast Templates Minor updates have been applied to some of the specs issued earlier this year to add further clarity, clients to ensure they check spec updates from time to time Equity Market client connectivity standards and bandwidth requirements document All Project 1a documentation published to-date is available at the following link Working group session 23 June 2016 will include Project 1a conformance and dress rehearsal expectations and participation requirements as well as a Derivatives high level functional overview 21

22 ITaC Project 1b & 1c Status Project 1b & c Trading & Information Services documents published to-date include derivatives functionality and messages A walkthrough of the derivatives trading model and functionality including quotes and RFQs will be provided in due course JSE Technical Integration Testing completed successfully JSE System Integration Testing (SIT) started 23 May 2016 and is in progress Post-trade Services documentation published 13 May 2016 ITaC Post-trade Services position papers published 24 May 2016 Connectivity standards and bandwidth requirements are being finalised and will be published in due course 22

23 Key Upcoming Events and Milestones Software Provider showcase day JSE will liaise with software providers to confirm the best timing to hold this session so that Software providers have a working solution/prototype to present to clients Customer Test Service (CTS) for Real Time Clearing (RTC) functionality will be available Q3/Q One on one client awareness checkpoints for Project 1b & c to follow those being held for Project 1a Next working group session is scheduled for 21 July 2016 agenda is being finalised and will be issued in due course 23

24 T+3 Update Leila Fourie / Brett Kotze / Tyrone Arendse 24

25 T+3 Go-live countdown 32 days 25

26 T+3 Go-live: affected instruments Equity shares ord s Warrants Exchange Traded Notes (ETNs) Cash equities instruments include: Exchange Traded Funds (ETFs) Preference shares Nil Paid Letters (NPLs) 26

27 T+3 High-level status Phase 1: Regulatory and Automation Status: Implemented successfully - 22 July 2013 Phase 2: ECS go-live on T+5 Settlement Cycle Status: Implemented successfully 20 and 27 October 2014 Phase 3: Market on T3 settlement cycle Status: Go-live scheduled for 11 July 2016 Recently concluded User Acceptance testing / focused on market readiness activities 27

28 T+3 Implementation Plan Jul Jun May Apr Mar Feb Jan Dec Nov Oct Sept Aug Jul Jun May Apr Mar Feb Jan Dec Nov Oct Sept SYT SIT UAT Code Freeze 09/06 09/07 UAT Cycle 2 16/05 09/06 UAT Cycle 1 13/04 13/05 SIT Cycle 6 (02/03 04//04) SIT Cycle 4 (13/01 01/02) SIT Cycle 3 (24/11 10/12) SIT Cycle 1 (01/10 20/10) Regression Cycle 07/09 18/09 Iteration 9 (18/08 02/09) Iteration 8 (28/07 13/08) Iteration 4 (02/06 25/06) Iteration 5 (07/05 29/05) Iteration 3 (03/03 09/03) Iteration 2 (04/02 23/02) Iteration 1 (10/12 12/01) Iteration 6 (05/06 30/06) Iteration 7 (08/07 24/07) SIT Environment prep 21/09 30/09 SIT Cycle 2 (26/10 17/11) SIT Cycle 5 (08/02 26/02) Integrated performance testing 01/03 28/04 Free market and CA testing 09/06 15/06 WE ARE HERE 28

29 T+5 to T+3 Migration Failed Trade Management Reason for uncommit Settlement Alledgments Rejections Back-to-back and dependency links Corporate Actions T+5 to T+3 Migration Failed Trade Management Reason for uncommit Settlement Alledgments Rejections Back-to-back and dependency links Corporate Actions T+5 to T+3 Migration Failed Trade Management Reason for uncommit Settlement Alledgments Rejections Back-to-back and dependency links Corporate Actions T+3 Testing: UAT performance (cont.) SIT Cycles 3-6 UAT Cycle 1 UAT Cycle 2 Participant A B C N/A N/A D E F G H I JSE JSE Pass % 98.82% 99.64% 99.49% JSE Coverage % 99.34% 99.83% 98.41% Feature fully functional Feature available but problematic Feature not available 29

30 New T+3 functionality The new Settlement Authority Lending System (SALS): JSE Settlement Authority normally borrows from controlled clients or proprietary holdings The JSE has created a web-based system which will be rolled out to members and lending desks SALS publishes securities required to be loaned Users submit BDA Acc. No. and lending fee JSE Settlement Authority with affirm the final loan The new system aims to: Reduce staff overhead Automate and simplify securities lending Reduce roll rates and failed trades 30

31 T+3 Testing: next steps Free market testing commenced from the 6 th of June Testing for: Settlement Authority Lending System (SALS) CSDP testing Client testing (Maitland) 31

32 T+3 Go-live Weekend: Deployment Plan Friday 08/07 Saturday 09/07 Sunday 10/ Strate Deployment (09h15 to 22h30) CSDP Deployment (15h00 to 23h00) Close queues between JSE / Strate (19h00) BDA Deployment (01h00 to 21h00) CSDPs Deployment (02h00 to 21h00) ECS Deployment (06h00 to 15h00) Strate Deployment (10h00 to 19h00) Internal testing (15h00 to 18h30) Integrated Testing (07h00 to 10.30) Final Go / No Go Decision (11h30) Internal Go / No Go Decision (18h40) Market Go / No Go Decision (21h00) Latest time to invoke Rollback will be 12pm 32

33 T+3 Go-live Weekend: Deployment Risks Risk Unexpected technical issues between systems on golive will put the deployment at risk Unsuccessful testing during the go live weekend will trigger the rollback option Batches running longer than expected will impact the go-live activities Mitigation Dry run scheduled for internal systems to mitigate the risk of possible technical issues Certain standalone systems will be deployed a week earlier to reduce complexity Extensive testing has been done throughout the test cycles to mitigate this risk as far as possible Ample test time (including troubleshooting time) has been planned for the go live weekend Certain standalone systems will be deployed a week earlier to reduce complexity Monitor batch runs and ensuring availability of support staff to assist with any technical issues during batch 33

34 T+3 Implementation Wed 06/07 Thurs 07/07 Fri 08/07 Mon 11/07 Tues 12/07 Wed 13/07 Thurs 14/07 Fri 15/07 Mon 18/07 Tues 19/07 T T+1 T+2 C T+3 T+4 T+5 T T+1 O T+2 T+3 T+4 T+5 T N T+1 T+2 T+3 T+4 T+5 V T T+1 T+2 T+3 CA E T T+1 T+2 T+3 CA R T T+1 T+2 T+3 S T T+1 T+2 T+3 I T T+1 T+2 O N LDT RD/RD PD/PD The first week involves the parallel settlement of T3 and T5 trades, with the first full T3 cycle settling on Thurs 14 July 34

35 T+3 Implementation SAT fees and penalties JSE will waive penalties and fees for the first week and will revisit in the second week 35

36 T+3 Go-live Week: Testing / Validation Margin for T+5 and T+3 settlement cycle to be calculated and then netted to a single payment Mon 11/07 Tues 12/07 Wed 13/07 Thurs 14/07 Fri 15/07 DAILY CHECKS: Netting for T+5 cycle Margining SFAs JSET sweeps Funding instructions Generation of settlement orders DAILY CHECKS: Netting for T+5 and T+3 cycle Margining for T+5 and T+3 cycle SFAs JSET sweeps Funding instructions Generation of settlement orders DAILY CHECKS: Netting for T+3 cycle Margining for T+5 and T+3 cycle SFAs JSET sweeps Funding instructions Generation of settlement orders DAILY CHECKS: Netting for T+3 cycle Margining for T+3 cycle SFAs JSET sweeps Funding instructions Generation of settlement orders DAILY CHECKS: Netting for T+3 cycle Margining for T+3 cycle SFAs JSET sweeps Funding instructions Generation of settlement orders Migration week timing changes: Monday to Friday (intraday) Compulsory Reverse Substitution (CRS) moved to 16:00 for T+5 settlement cycle 15:50 (just before CRS) Non-controlled clients commits Controlled clients sales SFAs 16:10 (after CRS) Proprietary SFAs Netting for the T+5 and T+3 settlement cycles will be separate 36

37 T+3 Go-live Comms Date Comms Mechanism Detail Audience Timing Fri - 01/07 Service Hotline Go-live Support Details (and BDA non-availability) Market 14h00 Market Notice Indication of upcoming comms for the go-live weekend Market 14h00 Pre-go-live period Tues - 05/07 Fri - 08/07 Market Notice & SMS Circulation of deployment plan along with CSDP / Member / JSE key contact details Confirmation of technical readiness for implementation weekend External parties to communicate successful Friday deployment completion Primary & Responsible officers Market & Regulators JSE 14h00 13h00 Ongoing Checkpoint to CSDPs to confirm JSE and Strate deployment of internal systems CSDPS 09h00 Sat - 09/07 External parties to communicate successful Saturday deployment completion JSE Ongoing (21h00 cut-off) & SMS Go/ No Go Confirmation to all external parties Market & Regulators 21h00 Go-live Weekend & SMS & SMS Confirmation that the JSE is ready for testing between BDA, JSE & Strate (internal deployment) Confirmation that the JSE is ready for testing with external parties JSE & Strate CSDPs 07h00 08h00 Sun - 10/07 Conference call Checkpoint meeting - confirm readiness between Strate, JSE and CSDPs JSE 11h30 & SMS Final Go/ No Go Confirmation to all external parties Market & Regulators 12h00 Market Notice Confirmation of technical implementation for T3 Market & Regulators 12h30 37

38 T+3 Go-live Comms (cont.) Date Comms Mechanism Detail Audience Timing Post go-live Week Mon - 11/07 Thurs - 14/07 Market Notice & SMS Go-Live Confirmation T3 settlement activated Market & Regulators 09h00 Press Release Go-Live Confirmation Public 13h00 Market Notice Press Release Go-Live Success (successful processing of first T3 settlement cycle) Go-Live Success (successful processing of first T3 settlement cycle) Market & Regulators Public 16h00 16h00 PLEASE NOTE The JSE will issue post-go-live communications if significant issues arise. These will be dealt with through the normal crisis management process. 38

39 Commits in a T+3 Environment While margin calculations will not be changing, the move to T+3 means that the timing of margin calls will change 39

40 Commits in a T+3 Environment: Key Actions Members CSDPs * Completing allocations in real-time (using BDA functionality) or at the latest by close of business on the day of trade (T) Encouraging clients to send settlement instructions by no later than 12h00 T+1 Enable CSDPs to be in a position to commit before end of day T+1 Ensuring that sufficient funds or facilities are in place to cater for average and peak margin calls Encouraging clients to send settlement instructions by no later than 12h00 T+1 Ensure commits are executed as soon as the clients place the CSDP in a position to commit Escalate any potential issues to JSE Settlement Authority Securing bank guarantees sufficient to cover (at least) their average margin requirements If settlement instructions not sent through by EOD T+1 ensure commits are done by 16h00 on T+2 : Actions to avoid incurring margin : Actions to manage the margin requirements (once incurred) 40

41 CSDP commits stats as at 18 May 2016 Volume Value 18-May May-16 Last 20 days 18-May May-16 Last 20 days A 91% 87% 88% 76% 68% 73% Large CSDPs B 99% 95% 97% 97% 92% 93% C 94% 95% 94% 78% 79% 80% D 96% 95% 94% 84% 78% 81% A 94% 92% 94% 74% 86% 82% Smaller CSDPs B 58% 57% 52% 38% 50% 31% C 19% 33% 26% 32% 72% 41% D 100% 100% 100% 100% 100% 100% Overall average of larger CSDPs 94% 92% 92% 80% 74% 78% Overall average of smaller CSDPs 74% 73% 73% 56% 67% 51% Overall average of CSDP commits 91% 89% 89% 74% 73% 71% 41

42 Member commits stats as at 18 May 2016 For the purpose of analysis, member firms have been categorised by size: large vs. medium vs. small broker firms Volume Value 18-May May-16 Last 20 days 18-May May-16 Last 20 days Average for larger Brokers 88% 87% 88% 74% 75% 75% Average for medium-sized Brokers 93% 88% 93% 77% 66% 73% Average for smaller Brokers 93% 93% 93% 70% 77% 65% Small - BEE 99% 94% 97% 96% 76% 86% Small - Non-BEE 92% 93% 92% 68% 77% 63% Overall Broker averages 91% 89% 89% 74% 73% 71% 42

43 Changing of commits behaviour: next steps On-going monitoring of commits performance Distribution of weekly reports to CSDPs showing commits stats One-on-one meetings with each CSDP Meetings with London-based clients in the month of May One-on-one meetings with smaller brokers facing potentially large margin obligations (base on current commits behaviour) Cape Town roadshow in June 43

44 User Readiness: Training Training: The second phase of T+3 training is taking place between the 9 th and 14 th of June in JHB / on the 21 st of June in Cape Town Training is aimed at Compliance Officers, Settlement Officers, alternate Settlement Officers and any other interested back-office Broker staff Attendees need only attend 1 of the individual sessions Johannesburg Cape Town 9 th June 10 th June 13 th June 14 th June 21 th June Session 1 09h00-11h00 Session 1 07h00-09h00 Session 1 09h00-11h00 Session 1 09h00-11h00 Session 1 09h00-11h00 Session 2 11h30-13h30 Session 2 09h30-11h30 Session 2 11h30-13h30 Session 2 11h30-13h30 Session 2 11h30-13h30 Session 3 14h00-16h00 Session 3 12h00-14h00 Session 3 14h00-16h00 Session 3 14h00-16h00 Session 3 14h00-16h00 Please note alternative timings 44

45 User Readiness: Market education The following new educational documents will be made available shortly: The Removal Process the movement of dual listed shares between share registers SLB impacts on Corporate Actions SLB and the associated tax implications Updates to the JSE Rules and Directives Claims process 45

46 CSDP Market Readiness overall progress The following CSDP Market Readiness activities have taken place: Four Market Readiness reporting cycles have been completed CSDPs will start compiling feedback for the fifth Market Readiness reporting cycle (due in late June) Individual letters detailing each CSDPs readiness for go-live were distributed in March In the months of April and May, follow-up one-on-one discussions have been completed with each CSDP, focussed on: o CSDP feedback on the formal market readiness checklists o Support required from the JSE to assist in concluding any readiness activities o Commits by EOD T+1 Commit statistics are distributed to each CSDP on a weekly basis Average CSDP Market Readiness Technical Activities Target Percentage Complete Technical Activities Actual Percentage Complete Business Activities Target Percentage Complete Business Activities Actual Percentage Complete 100% 92% 100% 92% 46

47 Broker Market Readiness overall progress The following Broker Market Readiness activities have taken place: Four Market Readiness reporting cycles have been completed Brokers will start compiling feedback for the fifth Market Readiness reporting cycle (due in mid-june) Three broker forum sessions have taken place covering the following topics: o Process Re-engineering o JSE Trustees o Market claims o SFA and Terminating Transactions methodology o Margin call methodology o Commits by EOD T+1 One-on-one sessions are currently taking place with the brokers to discuss their margin requirements in a T+3 environment Reports generated by the Risk team detailing each Broker s commit statistics are distributed bi-weekly Average Broker Market Readiness Technical Activities Target Percentage Complete Technical Activities Actual Percentage Complete Business Activities Target Percentage Complete Business Activities Actual Percentage Complete 77% 76% 83% 66% 47

48 Thank you The JSE would like to thank all market participants and regulators for their support over the course of the T+3 project Your commitment and substantial efforts are much appreciated

49 Contacts Should you have any queries, please do not hesitate to contact us on the following mail address: T 49

50 Debt Instrument System Brett Kotze 50

51 Debt Instrument System Strate embarked on this project in 2008 Final BRS was signed off in 2012 Market requested that Strate hold off on the project until T+3 has been taken live Market is refocused on the project go-live in the first half of 2017 JSE will set up workshops with members to go through the details 51

52 Questions? This presentation will be available post this session at the following link:- 52