INTEGRATED TRADING AND CLEARING (ITAC) GUIDANCE NOTE ON DATA TAKE ON FOR THE EQUITY DERIVATIVE AND CURRENCY DERIVATIVE MARKETS

Transcription

1 INTEGRATED TRADING AND CLEARING (ITAC) GUIDANCE NOTE ON DATA TAKE ON FOR THE EUITY DERIVATIVE AND CURRENCY DERIVATIVE MARKET OCTOBER 2018 Page 1 f 15

2 TABLE OF CONTENT 1. REVIION HITORY INTRODUCTION Backgrund Purpse f the dcument cpe TIMING OF DATA MIGRATION Deplyment Apprach Timing f Data Migratin Activities Deplyment f RTC and VI Perid Leading up t ITaC (Prject 1b and c) G Live ITaC (Prject 1b and c) G Live TRANFORMATION RULE Intrductin Transfrmatin Rules Applied t the Client Reference Data TAKE ON OF POITION Pre-Requisites fr the Take-n f Psitins Business Rules Applied t the Dividend Future Cntracts that are being cnverted t Cntracts Prcess fr the Take On f Psitins Cnversin f the Futures t s... 9 Page 2 f 15

3 1. REVIION HITORY Versin Descriptin Date 1.0 Initial release 02/10/ INTRODUCTION 2.1 Backgrund As part f the strategic integrated trading and clearing visin set ut in 2012, the Jhannesburg tck Exchange (JE) has embarked n designing and planning the new Infrmatin Technlgy (IT) and business landscapes that wuld deliver this visin. A frmal Integrated Trading and Clearing (ITaC) prgramme was kicked ff by the JE t implement an integrated Trading and Clearing slutin acrss all markets i.e. Equity, Bnds and Derivatives. 2.2 Purpse f the dcument The intentin f this Guidance Nte is t prvide a detailed explanatin f the data take n activities that will be undertaken leading up t the G Live f the ITaC Prject (1b and 1c). 2.3 cpe The migratin f: The reference data frm Nutrn/Nuclears t the Real Time Clearing slutin (RTC) The transactinal data fr the Equity Derivatives (EDM) and Currency Derivatives (FXM) instruments frm Nutrn/Nuclears t the Real Time Clearing slutin (RTC) r the Valuatin Input ystem (VI). Reference data that will be migrated includes: Clients Cash Accunts fr Freign Clients Linking f Clients t the Clearing ub Accunts Additinal Margin Percentages fr Clients and Tripartite agreements. Transactinal data that will be migrated t RTC includes: Clsing psitins n the last day f trading n Nutrn/Nuclears Margins balances n the last day f trading n Nutrn/Nuclears. Page 3 f 15

4 Transactinal data that will be migrated t VI (the JE s pricing system) includes: The clsing prices as set n the last day f trading n Nutrn/Nuclears. 3. TIMING OF DATA MIGRATION 3.1 Deplyment Apprach The deplyment apprach fr ITaC has always been t reduce risk by deplying systems int prductin as early as pssible, rather than fllwing a Big Bang deplyment apprach f all systems n the same weekend. T this end, the RTC and VI systems, tgether with the Integratin cmpnents required fr these tw systems, will be deplyed t prductin apprximately 2 t 4 weeks befre the actual G Live weekend fr ITaC Prject 1b and c. 3.2 Timing f Data Migratin Activities The diagram belw reflects the three stages f data migratin: Deplyment f RTC and VI Perid Leading up t ITaC (Prject 1b and c) G Live ITac (Prject 1b and c) G Live weekend Deplyment f RTC and VI In additin t deplying RTC and VI t the prductin envirnment, the fllwing reference data will be migrated frm Nutrn/Nuclears t RTC: Clients Cash Accunt fr Freign Clients The linking f Clients t the Clearing and ub Accunts Perid Leading up t ITaC (Prject 1b and c) G Live As Nutrn/Nuclears will cntinue t be used until ITaC Prject 1b and c ges live, any changes t the reference data n Nutrn/Nuclears will need t be aligned t RTC. This includes: Any new Clients created Changes t the persnal infrmatin f Clients Archiving f Clients Any Cash accunts created r changed Any changes in the linking between Clients and Clearing s Any new Psitin Accunts created. Page 4 f 15

5 3.2.3 ITaC (Prject 1b and c) G Live On the weekend f G Live, the fllwing migratin t RTC will be undertaken: A final delta uplad f changes t the reference data laded leading up t g live Additinal Margin Percentages fr Clients Tripartite agreements Clsing psitins and Margins balances n the last day f trading n Nutrn/Nuclears. In additin, the clsing prices frm Nutrn/Nuclears will be upladed t VI. 4. TRANFORMATION RULE 4.1 Intrductin There is a difference in business rules between Nutrn/Nuclears and RTC. When migrating the data frm the ld system t the new, certain transfrmatin rules need t be applied t the data t ensure that the migratin is successful. 4.2 Transfrmatin Rules Applied t the Client Reference Data Clients The fllwing rules have been applied t the Client data: If the Client s physical address is nt cmplete the Trading s physical address will be used If the Client s telephne number has nt been ppulated n Nutrn/Nuclears, the Trading s telephne number will be used. In the event that the Trading s telephne number is als null, then the telephne number f the Client is defaulted t If the Client s address has nt been ppulated n Nuclear / Nutrn, the Trading s address will be used. In the event that the Trading s address is als null, then the address f the Client is defaulted t null@null.c.za All Clients that have a Cuntry f Residence as FOR (r Freign ) will be defaulted t GB (Great Britain) If the Client s ID Number has nt been ppulated, the field is defaulted t If a nn-resident Client des nt have a passprt number, the passprt number is defaulted t If the Client is a Cmpany, and the cmpany registratin number has nt been ppulated, the cmpany registratin number will be defaulted t and If a Client trades under a different branch r Trading between the Equity Derivatives and Currency Derivatives markets, the JE will assciate the Client with the Trading r Branch n which the Client last traded acrss the tw markets. Page 5 f 15

6 The fllwing criteria will be used t determine which Clients will be migrated t RTC: tatus f the client must be Active and the Client must be Verified; and The Client: Must have had a clsing psitin in the past tw years leading up t ITaC Prject 1b and c G Live r Must have had an pen interest psitin in in the past tw years leading up t ITaC Prject 1b and c G Live r Has an active Tripartite agreement r Was added in the past 90 days leading up t ITaC Prject 1b and c G Live r Cash Accunts f Freign Clients The fllwing rules have been applied t the Cash Accunts f Freign Clients: The Bank name, accunt number and WIFT Cde are mandatry fields in RTC. As a result, any freign Client that des nt have cmpletes bank accunt details will nt have their cash accunts laded. This will result in the Client nt being enabled n RTC, even thugh the Client may have been laded as part f the migratin. Only cash accunts fr freign clients that meet the criteria fr migratin f Clients will be migrated ub Accunts The fllwing rules have been applied t the ub Accunts: In RTC, a sub accunt name cannt be used mre than nce in the same Trading / Branch structure. In the event that this des ccur a 1 is suffixed t the psitin accunt ID f the branch sub accunt that is duplicate. Page 6 f 15

7 5. TAKE ON OF POITION 5.1 Pre-Requisites fr the Take-n f Psitins The fllwing data must exist in the JE s Master Data ystem (MD) and RTC prir t taking n the clsing psitins: All Clearing s, Trading s and Branches must be aligned between MD and RTC All instruments that have a clsing psitin must exist n MD and must be aligned t RTC All Clients must be created n RTC and mastered n MD All Clients must be linked t a Clearing All ub Accunts must be created n RTC and mastered in MD. 5.2 Business Rules Applied t the Dividend Future Cntracts that are being cnverted t Cntracts There are tw types f Dividend Future cntracts that are impacted: ingle tck Dividend Futures and Internatinal Equity Dividend Futures. The fllwing business rules have been applied t ingle tck Dividend Futures: These cntracts are created as Physically ettled cntracts in MD The exceptin t this will be fr Futures that have a crrespnding Cash ettled Dividend Future cntract. The fllwing business rule has been applied t Internatinal Equity Dividend Futures: These cntracts are created as Cash ettled cntracts in MD. Page 7 f 15

8 5.3 Prcess fr the Take On f Psitins The table belw prvides a high-level verview f the prcess that will be fllwed t migrate the psitins acrss the Equity Derivatives and Currency Derivatives markets frm Nutrn/Nuclears t RTC: ID Prcess tep Descriptin 1 Map the new ID s fr reference data Map the current ID s in Nutrn/Nuclears t the Prductin Identifier Cde fr Trading s and Clearing s, r the MD unique ID fr Branches and Clients frm the JE s Master Data ystem (MD) Map the current instrument ID s in Nutrn/Nuclears t the Universal Master ID s frm the JE s Master Data ystem (MD) A mapping spreadsheet will be prvided n the Friday night prir t a Mandatry Market-facing Dress Rehearsal r the G Live weekend, tgether with the Clsing Price fr the individual instruments. 2 Rll Up All Balances The Clsing Psitins reflected in Nutrn/Nuclears are currently saved t the database up t a Dealer level. During this step all clsing balances are rlled up t the fllwing level: Clearing Trading (r Branch) Client External Accunt ID (Psitin Accunt ID) Instrument ID Instrument Expiry Date Instrument trike Price Instrument Call / Put. 3 Calculate the revised psitins fr Dividend Futures and cnvert t cntracts 4 Calculate the Market Value fr all pen psitins A Future is a virtual cntract in Nutrn/Nuclears. When trading a Future in Nuclears tday, yu will receive an F and a DIVF in the same quantity. With the G Live f ITaC Prject 1b and c, all virtual Futures in Nutrn/Nuclears will be cnverted t actual s in the new Reference Data system. Based n the Clsing Psitin and clsing price as at the last trading day befre G Live (r a Dress Rehearsal), calculate the Market Value and Initial Value. These values will becme the Open Psitin n RTC when markets pen n Day 1 f ITaC G Live. Page 8 f 15

9 5.4 Cnversin f the Futures t s The current Nutrn/Nuclears slutin makes prvisin fr virtual cntracts called Futures (suffixed by an N in the hrt Name n the new Reference Data ystem, e.g. RDFN ) and Internatinal Equity Futures. These virtual cntracts are stred as 2 recrds in the Nuclears database ne n the Dividend Future and ne n the F / Internatinal Equity Dividend future, as reflected in the example belw: Clearing Trading Client Psitin Accunt Instrument ID Expiry Date hrt Name Ntes Clsing Psitin ABC DEF ABC101 ABC RDFF Dividend Future ABC DEF ABC101 ABC RDF ingle tck Future There are three pssible scenaris when cnverting the Nuclears Futures t the ITaC s: 1. An F cntract (Dividend Future) is matched t a cntract (Physically ettled ingle tck Future) nly. 2. An F cntract (Dividend Future) is matched t an cntract (Cash ettled ingle tck Future) nly OR, in the case f the Internatinal Equity Future, a D cntract (Dividend Future) is matched t a G cntract (Cash ettled Internatinal Equity Future). 3. An F cntract (Dividend Future) is matched t a cntract and an cntract. Data Cnversin Prcess The fllwing prcess is undertaken when cnverting the Future t the Dividend Neutral: 1. Migrate all and psitins t RTC. 2. Match the F Cntract (Dividend Future) t the cntract (Physically ettled ingle tck Future): a. If the quantity f the Dividend Future is less than r equal t the quantity f the Physically ettled ingle tck Future then migrate the using the quantity f the Dividend Future (cenari 1 abve) as a Physically ettled b. If the quantity f the Dividend Future is greater than the quantity f the Physically ettled ingle tck Future, then update the uantity f the Dividend Future t that f the Physically ettled ingle tck Future. The difference is then reserved s that a cmparisn t a Cash ettled ingle tck Future can be dne (cenari 3 abve). 3. Create a cntra transactin against the cntract. Page 9 f 15

10 4. Match the F Cntract (Dividend Future) t the cntract (Cash ettled ingle tck Future): a. If the quantity f the Dividend Future is less than r equal t the quantity f the Cash ettled ingle tck Future then migrate the using the quantity f the Dividend Future (cenari 2 abve) as a Cash ettled b. If the quantity f the Dividend Future is greater than the quantity f the Cash ettled ingle tck Future, then update the uantity f the Dividend Future t that f the Cash ettled ingle tck Future. The difference is then reserved s that the difference can be applied against the Physically ettled ingle tck Future (cenari 3 abve). 5. Create a cntra transactin against the cntract. 6. Cnvert any balances in the F cntract t a Physically ettled. 7. Create a cntra transactin against the cntract. Page 10 f 15

11 Example 1 - An F cntract (Dividend Future) is matched t a cntract (Physically ettled ingle tck Future) nly Clearing Trading Client Psitin Accunt Instrument ID Expiry Date hrt Name Ntes Clsing Psitin ABC DEF ABC101 ABC RDFF Dividend Future 800 ABC DEF ABC101 ABC RDF Physically ettled ingle tck Future 1000 tep Pre Cnversin Pst Cnversin F Physically ettled 0 tarting Pint Migrate and psitins Ttal F ty F: ty F: ty Physically ettled 2a F t match Create a cntra transactin NET POITION Page 11 f 15

12 Example 2 - An F cntract (Dividend Future) is matched t an cntract (Cash ettled ingle tck Future) nly Clearing Trading Client Psitin Accunt Instrument ID Expiry Date hrt Name Ntes Clsing Psitin ABC DEF ABC101 ABC RDFF Dividend Future 1200 ABC DEF ABC101 ABC RDF Cash ettled ingle tck Future 1200 tep Pre Cnversin Pst Cnversin F Cash ettled 0 tarting Pint Migrate and psitins Ttal F ty F: ty F: ty Cash ettled 4a F t match Create a cntra transactin NET POITION Page 12 f 15

13 Example 3 - An F cntract (Dividend Future) is matched t a cntract and an cntract Clearing Trading Client Psitin Accunt Instrument ID Expiry Date hrt Name Ntes Clsing Psitin ABC DEF ABC101 ABC RDFF Dividend Future 1600 ABC DEF ABC101 ABC RDF Physically ettled ingle tck Future ABC DEF ABC101 ABC RDF Cash ettled ingle tck Future tep Pre Cnversin Pst Cnversin F Physically ettled Cash ettled Dividend Neutral 0 tarting Pint Migrate and psitins Ttal F ty F: ty F: ty Physically ettled Cash ettled Dividend Neutral 2b F t match Create a cntra transactin Ttal F ty F: ty F: ty Physically ettled Cash ettled Dividend Neutral 4b F t match * Create a cntra transactin Ttal F ty F: ty F: ty Physically ettled Cash ettled Dividend Neutral 6 Cnvert balance against Physically ettled Div Neutral cntracts ** Create a cntra transactin NET POITION Page 13 f 15

14 Nte: * The quantity n the cntract is updated t 400 as the quantity was 400. ** The quantity f the cntract is updated t 300 because: There were 700 units left t cmpare against the cntract in tep 4 Because the cntract nly had 400 units, the uantity is updated t 400 fr cnversin The difference f 300 is then allcated against the cntract. 5.3 Calculatin f Market Value and Initial Value The Market Value and the Initial Value are calculated based n the fllwing frmula: Fr Futures: Clsing Psitin X (Clsing Price f the Dividend Future + Clsing Price f ingle tck Future) X Cntract ize Fr Futures: Clsing Psitin X Clsing Price X Cntract ize Fr Optins: Clsing Psitin X Clsing Price The Clsing Price will be derived frm the Valuatin ystem n the Friday night prir t G Live i.e. the psitins will be taken n int RTC n the Friday night based n the clsing psitin and price fr that Friday s date. Page 14 f 15

15 Fr additinal infrmatin please cntact the Custmer upprt team n: Page 15 f 15