JSE Briefing

1
JSE Briefing

• 5 September 2001

2
Agenda

• 1. New Trading Model
• 2. Technology Implementation
• 3. Technical Architecture
• Customer Testing
• JSE User Specification
• Trade Types
• TIDM
• General
• Questions

3
TRADING MODEL
4
Trading Model

• Characteristics
• Separate trading segments with individual trading
  rules and characteristics
• Enhanced price discovery rules, including Maximum
  Execution Volume as well as Minimum Surplus and
  Market Pressure
• Continuous order-driven Trading with use of
  Opening, Intra-day and Closing Auctions
• Anonymous order book (Pre-and Post-trade
  Anonymity)
• Full market depth with end-user configuration
• Removal of matching restrictions in the trading
  system e.g. Interested Party, Foreign Flag trades
  etc., the regulation of which will still be
  monitored by Surveillance.

5
Trading Model

• Trading Phases
• Market Opening - Current Pre-Open phase to be
  combined with future Opening Auction Call Phase -
  30 minutes for liquid and illiquid stocks
• Market Closing - Call Phase for the Closing
  Auction - 10 minutes for liquid and illiquid
  stocks
• Closing price determined in closing auction
• VWAP runs for the 10 minutes before the start of
  the Closing Auction
• Intra-day Auctions - One Intra-day Auction at 12
  pm to be used for illiquid stocks (segment ZA03)
  with a Call Phase of 15 minutes
• Volatility Auctions - Call Phase of 5 minutes
• Auctions Extensions - Price Monitoring and Market
  Order extensions will be used for all auction
  periods - 2 minutes each with a maximum of 2
  extensions

6
Trading Model

• Trading Hours
• 09h00 - 17h00 with a run off period from 17h00 -
  18h00 with effect from 2 January 2002
• Tick sizes
• 1 ZAc for all securities
• Order types
• Market and Limit Order types with various
  execution and lifetime constraints
• Only persistent orders will be allowed to be
  entered in the Call Phase of an auction
• During continuous trading all orders except
  Market Orders will be allowed
• Market orders have priority in auctions

7
Trading Model

• Volatility Controls
• Dynamic Volatility Bands - 5 band for liquid
  securities, 10 band for medium liquid
  securities and no band for illiquid securities
• Dynamic band to be reassessed by the JSE every
  quarter after the May implementation
• Static Volatility Bands - will not be implemented
• Volatility Bands on Warrants and ETFs - no
  volatility bands as the underlying instruments
  will have these
• Liquidity Classifications
• Current JSE liquidity model (based on average
  value traded and the percentage of days traded
  for a security) will be used to assist with the
  initial configuration of the new JSE trading
  system and the allocation of securities to
  segments and sectors

8
Trading Model

• VWAP
• VWAP to be used as an alternative means to
  calculating a closing price in cases where no
  trading takes places in the Closing Auction and
  therefor no closing price determined
• VWAP calculation will occur in the Continuous
  Trading period 10 minutes prior to the Closing
  Auction
• Modification of Orders
• Client account details can be modified without
  loss of price-time priority
• All other changes to orders will require existing
  order to be deleted and new order to be entered
  and therefor loss of price-time priority

9
Trading Model

• Report-only Trades
• Worst case for May 2002
• Same as current requirements including
  publication
• Currently being discussed by RWG, PWG TAC
• Current discussions indicate rationalisation
• Immediately reported but publication to market
  depends on risk and size of transaction
• General
• Odd lots
• Special terms

10
(No Transcript)
11
TECHNOLOGY IMPLEMENTATION
12
Trading System Name
13
Technology Implementation
The JSE Hub will link the JSE to the LSE
IMAS
JSE SETS
Public Broadcast
FTSE
LSE
Surveillance/ Supervision
Indices
Routers at LSE Comm. Link Routers other
components at JSE
JSE Hub
JSE
Legacy
LSV
Surveillance Bus.Support
Surveillance
e.g. BDA
Data Vendors
STRATE
Front End Option
External
Members
14
Information Dissemination Architecture
The release 1 information dissemination
architecture will ensure that the level of
service to current customers is in no way
compromised. It also forms the 1st step towards a
single information dissemination vehicle.
JSE SETS
FTSE
MAINFRAME
Upstream systems eg. EMIS, EMD, ENT
Public Broadcast
JSE Data Handler
DISS
Input Data Handler
IP- user maintains dedicated connection
Vendor Data Handler
Realtime Customers
SENS
EOD Customers
15
Timeline
2001
2002
June
Aug
Oct
Sept
Feb
Jan
Dec
Nov
July
Mar
April
May
4/6/01
3/8/01
JSE Design
19/10/01
6/8/01
JSE Development
4/6/01
19/10/01
JSE Build and Test of
Technical
Infrastructure
22/10/01
18/01/02
10/9/01
28/9/01
JSE/LSE Prepare and Execute
Integration Test

JSE Aux Test
21/1/02
12/4/02
4/6/01
3/8/01
9/11/01
Prepare and Execute Business Operations Proving
Design of JSE Front End Solution
Build and Test of JSE

Front End Solution
Design, Build and Test of Data Vendor / Member


Front End Solution
27/6/01
18/01/02
26/4/02
13/4/02
1st DR
12/04/02
4/6/01
18/7/01
27/6/01
3/5/02
JSE / LSE Draft Spec
JSE / LSE Final Spec
Prepare and Execute Customer Test
26/11/01
2nd DR

• We are here

Go-live
27/4/02
16
TECHNICAL ARCHITECTURE
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Technical Architecture
RNS
TE
INFO
FTSE
IMAS
HUB
LSV
JSE Main-frame
WEB
SENS
Data Vendor
Member
(1) SII Secure Interactive Interface (2) B/Cast
Public Broadcast Interface (3) IRI
Interactive Re-request Interface (4) Realtime
regulatory feed orders and trades (5) Generic
Information Input
18
BDG Overview
D
E
B
C
A
Service Filter
Service Filter
BDG 1
BDG 2
A, B D
C